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isPartOf:"Asia-Pacific financial markets"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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Black-Scholes model
109
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108
Option pricing theory
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52
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52
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35
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Asia-Pacific financial markets
International journal of theoretical and applied finance
The North American journal of economics and finance : a journal of financial economics studies
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
37
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33
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Options : classic approaches to pricing and modelling
11
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ECONIS (ZBW)
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1
Psychological barriers and option pricing in a local volatility model
Li, Dan
;
Liu, Lixin
;
Xu, Guangli
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
Saved in:
2
Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee
;
Kim, Geonwoo
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
Saved in:
3
Valuing lookback options with barrier
Lee, Hangsuck
;
Kim, Eunchae
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013449142
Saved in:
4
A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge
Lee, Hangsuck
;
Lee, Minha
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013449375
Saved in:
5
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:
6
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
7
Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian
;
Wang, Zi-Ling
;
Xiao, Wei-Lin
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
Saved in:
8
Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André
;
Rosenfeld, Rogério
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
Saved in:
9
Some pricing tools for the variance gamma model
Aguilar, Jean-Philippe
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012271024
Saved in:
10
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:
11
What a difference one probability makes in the convergence of binomial trees
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012496772
Saved in:
12
A forward equation for computing derivatives exposure
Lapeyre, Bernard
;
Taarit, Marouan Iben
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012019832
Saved in:
13
Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi
;
Lin, Shin-Hung
;
Wang, Chiu-Ping
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
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14
Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Lee, Hangsuck
;
Ahn, Soohan
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
Saved in:
15
Valuing step barrier options and their icicled variations
Lee, Hangsuck
;
Ko, Bangwon
;
Song, Seongjoo
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 396-411
Persistent link: https://www.econbiz.de/10012269361
Saved in:
16
Compound option pricing under a double exponential Jump-diffusion model
Liu, Yu-hong
;
Jiang, I-Ming
;
Hsu, Wei-tze
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 30-53
Persistent link: https://www.econbiz.de/10012036254
Saved in:
17
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Hok, Julien
;
Ngare, Philip
;
Papapantoleon, Antonis
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011854564
Saved in:
18
Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh
;
Mehra, Mani
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
Saved in:
19
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:
20
On the numerical aspects of optimal option hedging with transaction costs
Josephy, Norman H.
;
Kimball, Lucia
;
Steblovskaya, Victoria
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011686780
Saved in:
21
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
22
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:
23
An explicit implied volatiltiy formula
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011763940
Saved in:
24
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
25
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
Saved in:
26
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:
27
On robustness of the black-scholes partial differential equation model
Mastinsek, Miklavz
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011455391
Saved in:
28
Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
29
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel
;
Žitňanská, Magdaléna
- In:
Asia-Pacific financial markets
23
(
2016
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
Saved in:
30
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
31
Simplified hedge for path-dependent derivatives
Bernard, Carole
;
Tang, Junsen
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011568749
Saved in:
32
Dupire's formulas in the Piterbarg option pricing model
Labuschagne, Coenraad C. A.
;
Boetticher, Sven T. von
- In:
The North American journal of economics and finance : a …
38
(
2016
),
pp. 148-162
Persistent link: https://www.econbiz.de/10011673354
Saved in:
33
Static hedging of chained-type barrier options
Jun, Doobae
;
Ku, Hyejin
- In:
The North American journal of economics and finance : a …
33
(
2015
),
pp. 317-327
Persistent link: https://www.econbiz.de/10011535249
Saved in:
34
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
35
Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung
;
Huang, Hung-Hsi
;
Li, Sheng-Han
- In:
The North American journal of economics and finance : a …
32
(
2015
),
pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
Saved in:
36
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:
37
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:
38
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
39
An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
Saved in:
40
Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Liu, Yanxin
;
Siu-Hang Li, Johnny
;
Ng, Andrew Cheuk-Yin
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 108-125
Persistent link: https://www.econbiz.de/10011511067
Saved in:
41
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
Saved in:
42
Convergence of European lookback options with floating strike in the binomial model
Heuwelyckx, Fabien
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010391506
Saved in:
43
Evolution of firm size
Gonon, Lukas
;
Rogers, Leonard C. G.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010437201
Saved in:
44
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:
45
Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
46
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:
47
Pricing equations in jump-to-default models
Dyrssen, Hannah
;
Ekström, Erik
;
Tysk, Johan
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010364757
Saved in:
48
Solving replication problems in a complete market by orthogonal series expansion
Dong, Chaohua
;
Gao, Jiti
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 306-317
Persistent link: https://www.econbiz.de/10009779212
Saved in:
49
Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V.
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
Saved in:
50
Target volatility option pricing
Di Graziano, Giuseppe
;
Torricelli, Lorenzo
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10009562145
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