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Black-Scholes model
59
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59
Option pricing theory
42
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25
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Asia-Pacific financial markets
Journal of banking & finance
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International journal of theoretical and applied finance
79
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40
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37
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1
A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana
;
Consigli, Giorgio
;
Varun, Vivek
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
Saved in:
2
A study on numerical solution of Black-Scholes model
Anwar, Md. Nurul
;
Andallah, Laek Sazzad
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 372-381
Persistent link: https://www.econbiz.de/10011874785
Saved in:
3
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Saved in:
4
Model risk and model choice in the case of barrier options and bonus certificates
Baule, Rainer
;
Shkel, David Sebastian
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013256692
Saved in:
5
The barrier binary options
Gao, Min
;
Wei, Zhenfeng
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10012545572
Saved in:
6
A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
Saved in:
7
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael
;
Fadugba, Sunday Emmanuel
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
Saved in:
8
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria
;
Olmo, Jose
;
Strittmatter, Marius
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
Saved in:
9
Computation of Greeks using binomial tree
Muroi, Yoshifumi
;
Suda, Shintaro
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 597-623
Persistent link: https://www.econbiz.de/10011752400
Saved in:
10
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:
11
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
12
Optimal delta hedging for options
Hull, John
;
White, Alan
- In:
Journal of banking & finance
82
(
2017
),
pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
Saved in:
13
A comparison study of ADI and LOD methods on option pricing models
Bagheri, Neda
;
Haghighi, Hassan Karnameh
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 275-290
Persistent link: https://www.econbiz.de/10011673885
Saved in:
14
Application of fast N-body algorithm to option pricing under CGMY model
Sakuma, Takayuki
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 308-318
Persistent link: https://www.econbiz.de/10011673900
Saved in:
15
Mathematical analysis of financial model on market price with stochastic volatility
Mondal, Mitun Kumar
;
Alim, Md. Abdul
;
Rahman, Md. Faizur
; …
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10011673935
Saved in:
16
Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
17
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:
18
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:
19
Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Contreras, Mauricio
;
Pellicer, Rely
;
Santiagos, Daniel
; …
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 541-561
Persistent link: https://www.econbiz.de/10011656953
Saved in:
20
On the solution of the multi-asset black-scholes model : correlations, eigenvalues and geometry
Contreras, Mauricio
;
Llanquihuén, Alejandro
;
Villena, …
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 562-579
Persistent link: https://www.econbiz.de/10011656962
Saved in:
21
Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos
;
Back, Janis
; …
- In:
Journal of banking & finance
66
(
2016
),
pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
Saved in:
22
Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.
;
Lungu, E. M.
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
Saved in:
23
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:
24
Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
Nteumagné, B. F.
;
Pindza, E.
;
Maré, E.
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 35-46
Persistent link: https://www.econbiz.de/10010422895
Saved in:
25
Equivalent martingale measure in Asian geometric average option pricing
Zhu, Yonggang
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 304-308
Persistent link: https://www.econbiz.de/10011312412
Saved in:
26
A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method
Lo, Chi-fai
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 178-187
Persistent link: https://www.econbiz.de/10010400107
Saved in:
27
Pricing discrete path-dependent options under a double exponential jump-diffusion model
Fuh, Cheng-der
;
Luo, Sheng-feng
;
Yen, Ju-fang
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2702-2713
Persistent link: https://www.econbiz.de/10009776395
Saved in:
28
A general closed-form spread option pricing formula
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
Saved in:
29
Recent developments in fuzzy sets approach in option pricing
Appadoo, Srimantoorao S.
;
Thavaneswaran, Aerambamoorthy
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 312-322
Persistent link: https://www.econbiz.de/10010239557
Saved in:
30
Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
Saved in:
31
A simple method to price window reset options
Hsiao, Yi-long
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 96-102
Persistent link: https://www.econbiz.de/10010240821
Saved in:
32
Dynamics and controllability of financial derivatives : towards stabilization the global financial crisis
Shibli, Murad
- In:
Journal of mathematical finance
2
(
2012
)
1
,
pp. 54-65
Persistent link: https://www.econbiz.de/10009668280
Saved in:
33
The simulation of European call options' sensitivity based on black-scholes option formula
Cui, Yujie
;
Yu, Baoli
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 264-268
Persistent link: https://www.econbiz.de/10009711970
Saved in:
34
The comovement of option listed stocks
Agyei-Ampomah, Sam
;
Mazouz, Khelifa
- In:
Journal of banking & finance
35
(
2011
)
8
,
pp. 2056-2069
Persistent link: https://www.econbiz.de/10009247319
Saved in:
35
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
Ishimura, Naoyuki
- In:
Asia-Pacific financial markets
17
(
2010
)
3
,
pp. 241-259
Persistent link: https://www.econbiz.de/10009237116
Saved in:
36
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
Meng, Li
;
Wang, Mei
- In:
Asia-Pacific financial markets
17
(
2010
)
2
,
pp. 99-111
Persistent link: https://www.econbiz.de/10009237122
Saved in:
37
The instantaneous volatility and the implied volatility surface for a generalized black-scholes model
Takaoka, Koichiro
;
Futami, Hidenori
- In:
Asia-Pacific financial markets
17
(
2010
)
4
,
pp. 391-436
Persistent link: https://www.econbiz.de/10009237752
Saved in:
38
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
Madan, Dilip B.
;
Roynette, B.
;
Yor, Marc
- In:
Asia-Pacific financial markets
15
(
2008
)
2
,
pp. 97-115
Persistent link: https://www.econbiz.de/10003796203
Saved in:
39
Bank capital regulation in a barrier option framework
Episcopos, Athanasios
- In:
Journal of banking & finance
32
(
2008
)
8
,
pp. 1677-1686
Persistent link: https://www.econbiz.de/10003749410
Saved in:
40
Inter-temporal optimization in a stochastic evironment : special section
Stein, Jerome L.
(
contributor
);
Zheng, Ziyu
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003461125
Saved in:
41
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F.
;
Levchenkov, Dmitriy
;
Li, Yuying
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3398-3419
Persistent link: https://www.econbiz.de/10003577412
Saved in:
42
Pricing exotic options with L-stable Padé schemes
Khaliq, Abdul Q. M.
;
Voss, David A.
;
Yousuf, Muhammad
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3438-3461
Persistent link: https://www.econbiz.de/10003577471
Saved in:
43
Estimation and prediction of a non-constant volatility
Abramov, Vyacheslav M.
;
Klebaner, Fima C.
- In:
Asia-Pacific financial markets
14
(
2007
)
1/2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003609524
Saved in:
44
A complete-market generalization of the black-scholes model
Takaoka, Koichiro
- In:
Asia-Pacific financial markets
11
(
2004
)
4
,
pp. 431-444
Persistent link: https://www.econbiz.de/10003370691
Saved in:
45
A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
Khaliq, A. Q. M.
;
Voss, D. A.
;
Kazmi, S. H. K.
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 489-502
Persistent link: https://www.econbiz.de/10003291300
Saved in:
46
Modeling time series information into option prices : an empirical evaluation of statistical projection and GARCH option pricing model
Chen, An-sing
;
Leung, Mark T.
- In:
Journal of banking & finance
29
(
2005
)
12
,
pp. 2947-2969
Persistent link: https://www.econbiz.de/10003203805
Saved in:
47
Large traders, hidden arbitrage, and complete markets
Jarrow, Robert A.
;
Protter, Philip E.
- In:
Journal of banking & finance
29
(
2005
)
11
,
pp. 2803-2820
Persistent link: https://www.econbiz.de/10003121053
Saved in:
48
Normal mixture diffusion with uncertain volatility : modelling short- and long-term smile effects
Alexander, Carol
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2957-2980
Persistent link: https://www.econbiz.de/10002410726
Saved in:
49
Forecasting credit spread volatility : evidence from the Japanese Eurobond market
Johnson, Brock N.
;
Batten, Jonathan A.
- In:
Asia-Pacific financial markets
10
(
2003
)
4
,
pp. 335-357
Persistent link: https://www.econbiz.de/10003083939
Saved in:
50
Edokko options : a new framework of barrier options
Fujita, Takahiko
;
Miura, Ryozo
- In:
Asia-Pacific financial markets
9
(
2002
)
2
,
pp. 141-151
Persistent link: https://www.econbiz.de/10001758329
Saved in:
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