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Search: subject_exact:"Black-Scholes option pricing model"
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Black-Scholes model
33
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Option pricing theory
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Câmara, António
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Shin, Jeongwoo
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The journal of futures markets
International journal of theoretical and applied finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
39
The journal of computational finance
32
Computational economics
31
Finance and stochastics
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
Review of derivatives research
25
Quantitative finance
23
International journal of financial engineering
22
Journal of mathematical finance
22
Journal of banking & finance
19
Asia-Pacific financial markets
18
The North American journal of economics and finance : a journal of financial economics studies
14
Finance research letters
13
Journal of economic dynamics & control
13
Journal of econometrics
12
Options : classic approaches to pricing and modelling
11
The European journal of finance
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
CoFE discussion papers
9
Review of quantitative finance and accounting
9
Risks : open access journal
9
The review of financial studies
9
European journal of operational research : EJOR
8
International review of financial analysis
8
Research paper series / Swiss Finance Institute
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of finance : the journal of the American Finance Association
7
Annals of financial economics
6
Applied economics
6
Applied financial economics
6
Discussion paper / B
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Finanzmarkt und Portfolio-Management
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International journal of financial markets and derivatives
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ECONIS (ZBW)
33
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1
A Black-Scholes user's guide to the Bachelier model
Choi, Jaehyuk
;
Kwak, Minsuk
;
Tee, Chyng Wen
;
Wang, Yumeng
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 959-980
Persistent link: https://www.econbiz.de/10013187619
Saved in:
2
Psychological barriers and option pricing
Jang, Bong-Gyu
;
Kim, Changki
;
Kim, Kyeong Tae
;
Lee, Seungkyu
- In:
The journal of futures markets
35
(
2015
)
1
,
pp. 52-74
Persistent link: https://www.econbiz.de/10011346173
Saved in:
3
Recursive formula for arithmetic Asian option prices
Lee, Kyungsub
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 220-234
Persistent link: https://www.econbiz.de/10010355436
Saved in:
4
Options on troubled stock
Câmara, António
;
Popova, Ivilina
;
Simkins, Betty J.
- In:
The journal of futures markets
34
(
2014
)
7
,
pp. 637-657
Persistent link: https://www.econbiz.de/10010507943
Saved in:
5
Valuing stock options when prices are subject to a lower boundary : a correction
Hertrich, Markus
;
Veestraeten, Dirk
- In:
The journal of futures markets
33
(
2013
)
9
,
pp. 889-890
Persistent link: https://www.econbiz.de/10009779058
Saved in:
6
Reply to a comment on "A new simple square root option pricing model"
Wang, Yaw-huei
- In:
The journal of futures markets
32
(
2012
)
2
,
pp. 199-202
Persistent link: https://www.econbiz.de/10009487020
Saved in:
7
Comment on "A new simple square root option pricing model"
Kim, Hwa-sung
;
Kang, Jangkoo
;
Shin, Jeongwoo
- In:
The journal of futures markets
32
(
2012
)
2
,
pp. 191-198
Persistent link: https://www.econbiz.de/10009487021
Saved in:
8
Alternative tilts for nonparametric option pricing
Haley, M. Ryan
;
Walker, Todd B.
- In:
The journal of futures markets
30
(
2010
)
10
,
pp. 983-1006
Persistent link: https://www.econbiz.de/10008900930
Saved in:
9
A new simple square root option pricing model
Câmara, António
;
Wang, Yaw-huei
- In:
The journal of futures markets
30
(
2010
)
11
,
pp. 1007-1025
Persistent link: https://www.econbiz.de/10008900941
Saved in:
10
Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul
;
Dowd, Kevin
;
Cairns, Andrew
;
Blake, David
- In:
The journal of futures markets
29
(
2009
)
8
,
pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
Saved in:
11
Closed-form option pricing formulas with extreme events
Câmara, António
;
Heston, Steven L.
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 213-230
Persistent link: https://www.econbiz.de/10003699314
Saved in:
12
Valuing stock options when prices are subject to a lower boundary
Veestraeten, Dirk
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 231-247
Persistent link: https://www.econbiz.de/10003699316
Saved in:
13
Path-dependent currency options with mean reversion
Wong, Hoi Ying
;
Lau, Ka Yung
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 275-293
Persistent link: https://www.econbiz.de/10003699322
Saved in:
14
Nonparametric American option pricing
Alcock, Jamie
;
Carmichael, Trent
- In:
The journal of futures markets
28
(
2008
)
8
,
pp. 717-748
Persistent link: https://www.econbiz.de/10003746342
Saved in:
15
The impact of return nonformality on exchange options
Li, Minqiang
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 845-870
Persistent link: https://www.econbiz.de/10003746357
Saved in:
16
Hedging under the influence of transaction costs : an empirical investigation on FTSE 100 index options
Gregoriou, Andros
;
Healy, Jerome
;
Ioannidis, Christos
- In:
The journal of futures markets
27
(
2007
)
5
,
pp. 471-494
Persistent link: https://www.econbiz.de/10003493098
Saved in:
17
Is there information in the volatility skew?
Doran, James S.
;
Peterson, David R.
;
Tarrant, Brian C.
- In:
The journal of futures markets
27
(
2007
)
10
,
pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
Saved in:
18
Black-Scholes-Merton revisited under stochastic dividend yields
Lioui, Abraham
- In:
The journal of futures markets
26
(
2006
)
7
,
pp. 703-732
Persistent link: https://www.econbiz.de/10003331430
Saved in:
19
Option pricing with a non-zero lower bound on stock price
Dong, Ming
- In:
The journal of futures markets
25
(
2005
)
8
,
pp. 775-794
Persistent link: https://www.econbiz.de/10003012201
Saved in:
20
Canonical valuation of options in the presence of stochastic volatility
Gray, Philip K.
;
Newman, Scott
- In:
The journal of futures markets
25
(
2005
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10002528167
Saved in:
21
Option pricing under extended normal distribution
Ki, Hosam
;
Ch'oe, Pyŏng-uk
;
Chang, Kook-hyun
;
Lee, Miyoung
- In:
The journal of futures markets
25
(
2005
)
9
,
pp. 845-871
Persistent link: https://www.econbiz.de/10003105998
Saved in:
22
Knock-in American options
Dai, Min
;
Kwok, Yue-Kuen
- In:
The journal of futures markets
24
(
2004
)
2
,
pp. 179-192
Persistent link: https://www.econbiz.de/10001905050
Saved in:
23
A note on the derivation of Black-Scholes hedge ratios
Su, Tie
- In:
The journal of futures markets
23
(
2003
)
11
,
pp. 1119-1122
Persistent link: https://www.econbiz.de/10001795043
Saved in:
24
Factors explaining movements in the implied volatility surface
Mixon, Scott
- In:
The journal of futures markets
22
(
2002
)
10
,
pp. 915-937
Persistent link: https://www.econbiz.de/10001696748
Saved in:
25
The Binominal Black-Scholes model and the Greeks
Chung, San-lin
;
Shackleton, Mark B.
- In:
The journal of futures markets
22
(
2002
)
2
,
pp. 143-153
Persistent link: https://www.econbiz.de/10001646605
Saved in:
26
Pricing options using implied trees: evidence from FTSE-100 options
Lim, Kian-Guan
;
Zhi, Da
- In:
The journal of futures markets
22
(
2002
)
7
,
pp. 601-626
Persistent link: https://www.econbiz.de/10001678534
Saved in:
27
Accuracy and reliability considerations of option pricing algorithms
Kwok, Yue-Kuen
;
Lau, Ka-wo
- In:
The journal of futures markets
21
(
2001
)
10
,
pp. 875-903
Persistent link: https://www.econbiz.de/10001613564
Saved in:
28
The valuation of options with restrictions on preferences and distributions
Câmara, António
- In:
The journal of futures markets
21
(
2001
)
12
,
pp. 1091-1117
Persistent link: https://www.econbiz.de/10001620297
Saved in:
29
An application of finite elements to option pricing
Tomas, Michael J.
;
Yalamanchili, Kishore K.
- In:
The journal of futures markets
21
(
2001
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10001537232
Saved in:
30
Empirical performance of alternative pricing models of currency options
Sarwar, Ghulam
;
Krehbiel, Timothy L.
- In:
The journal of futures markets
20
(
2000
)
3
,
pp. 265-291
Persistent link: https://www.econbiz.de/10001485242
Saved in:
31
Extracting market views from the price of options on futures
Martinez, Gregory M.
- In:
The journal of futures markets
18
(
1998
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10001234362
Saved in:
32
An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph
- In:
The journal of futures markets
18
(
1998
)
4
,
pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
Saved in:
33
Time-dependent barrier option values
Hui, Cho H.
- In:
The journal of futures markets
17
(
1997
)
6
,
pp. 667-688
Persistent link: https://www.econbiz.de/10001228027
Saved in:
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