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Black-Scholes model
37
Black-Scholes-Modell
37
Option pricing theory
24
Optionspreistheorie
24
Theorie
18
Theory
18
Volatility
16
Volatilität
16
Stochastic process
12
Stochastischer Prozess
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Optionsgeschäft
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implied volatility
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option pricing
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Atkinson, Colin
2
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Alexandropoulos, C. A.
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Avellaneda, Marco
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Ban, Junhwa
1
Baptiste, Julien
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Bayraktar, E.
1
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Buff, Robert
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1
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1
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1
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Figueroa-López, José E.
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Florescu, Ionuţ
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Funahashi, Hideharu
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Glau, Kathrin
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Applied mathematical finance
International journal of theoretical and applied finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
The journal of futures markets
33
The journal of computational finance
31
Computational economics
29
Finance and stochastics
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
Review of derivatives research
25
International journal of financial engineering
22
Journal of mathematical finance
22
Quantitative 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
Journal of economic dynamics & control
13
Finance research letters
12
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
CoFE Discussion Paper
8
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
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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
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ECONIS (ZBW)
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1
On a neural network to extract implied information from american options
Liu, Shuaiqiang
;
Leitao, Álvaro
;
Borovykh, Anastasia
; …
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
Saved in:
2
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
3
American strangle options
Qiu, Shi
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 228-263
Persistent link: https://www.econbiz.de/10012315168
Saved in:
4
Short maturity forward start Asian options in local volatility models
Pirjol, Dan
;
Wang, Jing
;
Zhu, Lingjiong
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
Saved in:
5
Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien
;
Lépinette, Emmanuel
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
Saved in:
6
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
7
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
8
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.
;
Zhu, Dan
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
Saved in:
9
Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi
;
Sheu, Yuan-Chung
;
Tsai, Ming-Yao
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
Saved in:
10
Perpetual options on multiple underlyings
Duck, Peter W.
;
Evatt, Geoffrey W.
;
Johnson, Paul V.
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
Saved in:
11
An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu
;
Kijima, Masaaki
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
Saved in:
12
Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst
;
Glau, Kathrin
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
Saved in:
13
Option pricing with transaction costs and stochastic interest rate
SenGupta, Indranil
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 399-416
Persistent link: https://www.econbiz.de/10010500884
Saved in:
14
Comparison of two methods for superreplication
Ekström, Erik
;
Tysk, Johan
- In:
Applied mathematical finance
19
(
2012
)
1/2
,
pp. 181-193
Persistent link: https://www.econbiz.de/10009561234
Saved in:
15
Characterization of the American put option using convexity
Xie, Dejun
;
Edwards, David A.
;
Schleiniger, Gilberto
; …
- In:
Applied mathematical finance
18
(
2011
)
3/4
,
pp. 353-365
Persistent link: https://www.econbiz.de/10009381899
Saved in:
16
Numerical methods for non-linear black-scholes equations
Heider, Pascal
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10003975272
Saved in:
17
A note on the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven
;
Chernih, Andrew
;
Maj, Matheusz
; …
- In:
Applied mathematical finance
16
(
2009
)
3/4
,
pp. 315-330
Persistent link: https://www.econbiz.de/10003916188
Saved in:
18
General lower bounds for arithmetic Asian option prices
Albrecher, H.
;
Mayer, Philipp
;
Schoutens, W.
- In:
Applied mathematical finance
15
(
2008
)
1/2
,
pp. 123-149
Persistent link: https://www.econbiz.de/10003751123
Saved in:
19
Stochastic volatility : option pricing using a multinomial recombining tree
Florescu, Ionuţ
;
Viens, Frederi G.
- In:
Applied mathematical finance
15
(
2008
)
1/2
,
pp. 151-181
Persistent link: https://www.econbiz.de/10003751159
Saved in:
20
Pricing options of defaultable stocks
Bayraktar, E.
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 277-304
Persistent link: https://www.econbiz.de/10003751256
Saved in:
21
Pricing a European basket option in the presence of proportional transaction costs
Atkinson, Colin
;
Alexandropoulos, C. A.
- In:
Applied mathematical finance
13
(
2006
)
3
,
pp. 191-214
Persistent link: https://www.econbiz.de/10003383647
Saved in:
22
On estimation of volatility surface and precition of future spot volatility
Klebaner, Fima
;
Le, Truc
;
Lipcer, Robert S.
- In:
Applied mathematical finance
13
(
2006
)
3
,
pp. 245-263
Persistent link: https://www.econbiz.de/10003383702
Saved in:
23
Exact superreplication strategies for a class of derivative assets
Vanden, Joel M.
- In:
Applied mathematical finance
13
(
2006
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10003320040
Saved in:
24
Calibration of the SABR model in illiquid markets
West, Graeme
- In:
Applied mathematical finance
12
(
2005
)
4
,
pp. 371-385
Persistent link: https://www.econbiz.de/10003229244
Saved in:
25
A possible way of estimating options with stable distributed underlying asset prices
Tsibiridi, C.
;
Atkinson, Colin
- In:
Applied mathematical finance
11
(
2004
)
1
,
pp. 51-75
Persistent link: https://www.econbiz.de/10002001538
Saved in:
26
Contingent claim pricing using probability distortion operators : methods from insurance risk pricing and their relationship to financial theory
Hamada, Mahmoud
;
Sherris, Michael
- In:
Applied mathematical finance
10
(
2003
)
1
,
pp. 19-47
Persistent link: https://www.econbiz.de/10001756866
Saved in:
27
Stock options as barrier contingent claims
Ericsson, Jan
;
Reneby, Joel
- In:
Applied mathematical finance
10
(
2003
)
2
,
pp. 121-147
Persistent link: https://www.econbiz.de/10001805363
Saved in:
28
Interest rate model calibration using semidefinite programming
D'Aspremont, A.
- In:
Applied mathematical finance
10
(
2003
)
3
,
pp. 183-213
Persistent link: https://www.econbiz.de/10001841285
Saved in:
29
L2-discrete hedging in a continuous-time model
Trabelsi, Faouzi
;
Trad, Abdelhamid
- In:
Applied mathematical finance
9
(
2002
)
3
,
pp. 189-217
Persistent link: https://www.econbiz.de/10001718680
Saved in:
30
Valuation of European options in the market with daily price limit
Ban, Junhwa
;
Choi, Hyeong In
;
Ku, Hyejin
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 61-74
Persistent link: https://www.econbiz.de/10001546120
Saved in:
31
Hedging lookback and partial lookback options using Malliavin calculus
Bermin, Hans-Peter
- In:
Applied mathematical finance
7
(
2000
)
2
,
pp. 75-100
Persistent link: https://www.econbiz.de/10001563798
Saved in:
32
A PDE approach to risk measures of derivatives
Siu, Tak-kuen
;
Yang, Hailiang
- In:
Applied mathematical finance
7
(
2000
)
3
,
pp. 211-228
Persistent link: https://www.econbiz.de/10001590511
Saved in:
33
Equivalent black volatilites
Hagen, Patrick S.
;
Woodward, Diana E.
- In:
Applied mathematical finance
6
(
1999
)
3
,
pp. 147-157
Persistent link: https://www.econbiz.de/10001490687
Saved in:
34
Optimal hedging strategies for misspecified asset price models
Ahn, Hyungsok
;
Muni, Adviti
;
Swindle, Glen H.
- In:
Applied mathematical finance
6
(
1999
)
3
,
pp. 197-208
Persistent link: https://www.econbiz.de/10001490690
Saved in:
35
Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options
Avellaneda, Marco
;
Buff, Robert
- In:
Applied mathematical finance
6
(
1999
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10001449223
Saved in:
36
General black-scholes models accounting for increased market volatility from hedging strategies
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
5
(
1998
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10001238442
Saved in:
37
Fuzzy measures and asset prices : accounting for information ambiguity
Cherubini, Umberto
- In:
Applied mathematical finance
4
(
1997
)
3
,
pp. 135-149
Persistent link: https://www.econbiz.de/10001229351
Saved in:
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