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~isPartOf:"Review of derivatives research"
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Option pricing theory
170
Optionspreistheorie
170
Theorie
75
Theory
75
Option trading
74
Optionsgeschäft
74
Volatility
60
Volatilität
60
Derivat
49
Derivative
49
Stochastic process
43
Stochastischer Prozess
43
Black-Scholes model
25
Black-Scholes-Modell
25
Credit risk
23
Kreditrisiko
23
Yield curve
21
Zinsstruktur
21
Hedging
19
Option pricing
16
Portfolio selection
15
Portfolio-Management
15
Statistical distribution
15
Statistische Verteilung
15
Credit derivative
13
Estimation
13
Interest rate derivative
13
Kreditderivat
13
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13
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13
USA
13
United States
13
Zinsderivat
13
Risiko
12
CAPM
11
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11
Risikoprämie
10
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10
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213
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213
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Jarrow, Robert A.
6
Ritchken, Peter H.
5
Wang, Xingchun
4
Zhang, Jin E.
4
Drimus, Gabriel
3
Escobar, Marcos
3
Gibson, Rajna
3
Guillaume, Florence
3
Huang, James
3
Itkin, Andrey
3
Ronn, Ehud I.
3
Schoutens, Wim
3
Uhrig-Homburg, Marliese
3
Bondarenko, Oleg
2
Carr, Peter
2
Chance, Don M.
2
Chesney, Marc
2
Clewlow, Les
2
Cruz, Aricson
2
Das, Sanjiv R.
2
Dias, José Carlos
2
Dorfleitner, Gregor
2
Düring, Bertram
2
Farkas, Walter
2
Forsyth, Peter A.
2
Gao, Bin
2
Gerer, Johannes
2
Guillaume, Tristan
2
Handley, John C.
2
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2
Hodges, Stewart D.
2
Hung, Mao-Wei
2
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2
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2
Kwok, Yue-Kuen
2
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2
Li, Minqiang
2
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Review of derivatives research
International journal of theoretical and applied finance
554
The journal of futures markets
542
Journal of banking & finance
386
Mathematical finance : an international journal of mathematics, statistics and financial theory
298
The journal of derivatives : the official publication of the International Association of Financial Engineers
290
Applied mathematical finance
268
The journal of computational finance
267
Finance and stochastics
251
Quantitative finance
208
Journal of financial economics
183
Finance research letters
173
Journal of economic dynamics & control
169
European journal of operational research : EJOR
155
The review of financial studies
155
Insurance / Mathematics & economics
151
NBER working paper series
145
Working paper / National Bureau of Economic Research, Inc.
143
The journal of finance : the journal of the American Finance Association
133
Research paper series / Swiss Finance Institute
126
Journal of financial and quantitative analysis : JFQA
124
The North American journal of economics and finance : a journal of financial economics studies
122
International journal of financial engineering
121
International review of financial analysis
120
The European journal of finance
119
Journal of mathematical finance
117
Computational economics
116
Review of quantitative finance and accounting
111
International review of economics & finance : IREF
108
Risks : open access journal
108
The journal of fixed income
108
NBER Working Paper
105
MPRA Paper
104
Asia-Pacific financial markets
97
Management science : journal of the Institute for Operations Research and the Management Sciences
86
Journal of empirical finance
85
Applied economics
84
Journal of econometrics
84
Applied financial economics
82
Energy economics
80
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ECONIS (ZBW)
213
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1
Implied volatility surfaces : a comprehensive analysis using half a billion
option
prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Continuity correction : on the pricing of discrete double barrier options
Luo, Sheng-Feng
;
Wong, Hsin-Chieh
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 51-90
Persistent link: https://www.econbiz.de/10014266376
Saved in:
3
Arbitrage-free smile construction on FX
option
markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
5
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
6
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
7
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
8
The impact of the leverage effect on the implied volatility smile : evidence for the German
option
market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
9
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
10
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
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