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Option trading
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Levendorskij, Sergej Z.
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International journal of theoretical and applied finance
The journal of futures markets
189
Journal of banking & finance
94
The journal of derivatives : the official publication of the International Association of Financial Engineers
86
Review of derivatives research
74
The journal of computational finance
59
Applied mathematical finance
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Quantitative finance
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Finance research letters
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International review of financial analysis
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The European journal of finance
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The journal of finance : the journal of the American Finance Association
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Wiley trading series
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ECONIS (ZBW)
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1
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
2
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
3
Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
Saved in:
4
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
5
Consistent upper price bounds for exotic options
Bäuerle, Nicole
;
Schmithals, Daniel Matthias
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
Saved in:
6
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
7
The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky
;
Sun, Jia
;
Whalley, A. Elizabeth
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
Saved in:
8
Conic CVA and DVA for option portfolios
Bakel, Sjoerd van
;
Borovkova, Svetlana
;
Michielon, Matteo
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012496518
Saved in:
9
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
10
An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Shiraya, Kenichiro
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
Saved in:
11
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Alfonsi, Aurélien
;
Corbetta, Jacopo
;
Jourdain, Benjamin
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012019745
Saved in:
12
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
Saved in:
13
Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars
;
Deng, Shijie
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
Saved in:
14
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
15
On spread option pricing using two-dimensional fourier transform
Alfeus, Mesias
;
Schlögl, Erik
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012153028
Saved in:
16
Pricing double barrier options on homogeneous diffusions : a Neumann series of Bessel functions representation
Kravchenko, Igor V.
;
Kravchenko, Vladislav V.
;
Torba, …
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153074
Saved in:
17
American options and incomplete information
Ekström, Erik
;
Vannestål, Martin
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012153092
Saved in:
18
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
19
Smooth upper bounds for the price function of American style options
Bhim, Louis
;
Kawai, Reiichiro
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011845920
Saved in:
20
Sensitivities of Asian options in the black-scholes model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
Saved in:
21
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
22
The early exercise premium in American options by using nonparametric regressions
Li, Weiping
;
Chen, Su
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011956935
Saved in:
23
Most-likely-path in Asian option pricing under local voluntility models
Arguin, Louis-Pierre
;
Liu, Nien-Lin
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011903764
Saved in:
24
Algorithmic differentiation for discontinuous payoffs
Daluiso, Roberto
;
Facchinetti, Giorgio
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891863
Saved in:
25
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
26
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
27
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
28
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
29
Super-hedging American options with semi-static trading strategies under model uncertainty
Bayraktar, Erhan
;
Zhou, Zhou
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011734088
Saved in:
30
Barrier options pricing with joint distribution of Gaussian process and its maximum
Deng, Pingjin
;
Li, Xiufang
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011734153
Saved in:
31
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
32
The British asset-or-nothing put option
Gao, Min
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011687026
Saved in:
33
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
34
Random time forward-starting options
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011686733
Saved in:
35
Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
Saved in:
36
Efficient hedging of path-dependent options
Kolkiewicz, Adam W.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011525107
Saved in:
37
Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba
;
Goard, Joanna
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
Saved in:
38
Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin
;
Anderluh, J. H. M.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
Saved in:
39
The British knock-out put option
Al-Fagih, Luluwah
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011403188
Saved in:
40
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Saved in:
41
No-arbitrage bounds on two one-touch options
Tsuzuki, Yukihiro
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011403759
Saved in:
42
Conditional Asian options
Feng, Runhuan
;
Volkmer, Hans W.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
Saved in:
43
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
44
Effective and simple VWAP options pricing model
Buryak, Alexander
;
Guo, Ivan
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010438536
Saved in:
45
The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa
;
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
Saved in:
46
Prepayment option of a perpetual corporate loan : the impact of the funding costs
Papin, Timothee
;
Turinici, Gabriel
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010391495
Saved in:
47
Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel
;
Hok, Julien
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
Saved in:
48
Two processes for two prices
Madan, Dilip B.
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010363955
Saved in:
49
Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
Saved in:
50
American options with gradual exercise under proportional transaction costs
Roux, Alet
;
Zastawniak, Tomasz
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10010498817
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