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  • Search: subject:"Method of Images"
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Year of publication
Subject
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Option pricing theory 5 Option trading 5 Optionsgeschäft 5 Optionspreistheorie 5 Method of Images 3 Method of images 3 method of images 3 Aktienoption 2 Employee stock options 2 Exercise multiple 2 Exotic options 2 Financial reporting standards 2 IFRS 2 Life and multiple decrement tables 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Partial-time barrier options 2 Stock option 2 barrier options 2 3D Wiener process 1 Credit risk 1 Derivat 1 Derivative 1 Double Mellin transform 1 Early counterparty default risk 1 Exotic Options 1 External barrier option 1 Externalities 1 Externer Effekt 1 Fourier series 1 Heat Equation 1 Hitting time densities 1 Kreditrisiko 1 Monte Carlo method 1 Put and call option pricing 1 Quadratic volatility 1 Stochastic process 1 Stochastischer Prozess 1 Strict local martingale 1 Triple Mellin transform 1
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Online availability
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Undetermined 7 Free 2
Type of publication
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Article 8 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 5 Undetermined 4
Author
All
Konstandatos, Otto 4 Bienek, Tobias 2 Buchen, Peter 2 Kim, Donghyun 2 Kyng, Timothy 2 Yoon, Ji-Hun 2 Andersen, Leif 1 Bermin, Hans-Peter 1 Escobar, Marcos 1 Ferrando, Sebastian 1 Kim, Geonwoo 1 Leung, Andrew 1 Wen, Xianzhang 1
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Published in...
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Applied Mathematical Finance 2 Computational economics 1 Finance and Stochastics 1 Insurance / Mathematics & economics 1 International Journal of Financial Markets and Derivatives 1 Journal of mathematical finance 1 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 5 RePEc 4
Showing 1 - 9 of 9
Cover Image
Analytic method for pricing vulnerable external barrier options
Kim, Donghyun; Yoon, Ji-Hun - In: Computational economics 61 (2023) 4, pp. 1561-1591
Persistent link: https://www.econbiz.de/10014327071
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Cover Image
Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
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Cover Image
Valuation of employee stock options using the exercise multiple approach and life tables
Konstandatos, Otto; Kyng, Timothy; Bienek, Tobias - 2015
Persistent link: https://www.econbiz.de/10011344313
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Cover Image
Constrained Wiener processes and their financial applications
Leung, Andrew - In: Journal of mathematical finance 8 (2018) 4, pp. 690-709
Persistent link: https://www.econbiz.de/10012016547
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Cover Image
Valuation of employee stock options using the exercise multiple approach and life tables
Kyng, Timothy; Konstandatos, Otto; Bienek, Tobias - In: Insurance / Mathematics & economics 68 (2016), pp. 17-26
Persistent link: https://www.econbiz.de/10011492438
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Barrier options in three dimensions
Escobar, Marcos; Ferrando, Sebastian; Wen, Xianzhang - In: International Journal of Financial Markets and Derivatives 3 (2014) 3, pp. 260-292
combinations of three-dimensional Gaussian cumulative distributions. The method of images is used as a key technique to establish …
Persistent link: https://www.econbiz.de/10010756273
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Option pricing with quadratic volatility: a revisit
Andersen, Leif - In: Finance and Stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009149760
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A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
Buchen, Peter; Konstandatos, Otto - In: Applied Mathematical Finance 16 (2009) 6, pp. 497-515
Black-Scholes model. Our approach, reminiscent of the method of images of electromagnetics, considerably simplifies the …
Persistent link: https://www.econbiz.de/10008609599
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Two Exotic Lookback Options
Bermin, Hans-Peter; Buchen, Peter; Konstandatos, Otto - In: Applied Mathematical Finance 15 (2008) 4, pp. 387-402
This paper formally analyses two exotic options with lookback features, referred to as extreme spread lookback options and look-barrier options, first introduced by Bermin. The holder of such options receives partial protection from large price movements in the underlying, but at roughly the...
Persistent link: https://www.econbiz.de/10005462484
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