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Option pricing theory
87
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28
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Applied financial economics
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International journal of theoretical and applied finance
467
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
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253
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251
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240
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ECONIS (ZBW)
87
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Farmland sales under returns and price uncertainty
Plogmann, Jana Maria
;
Mußhoff, Oliver
;
Odening, Martin
; …
- In:
Economic modelling
117
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014229160
Saved in:
2
Real options with overextrapolation
Deng, Kebin
;
Peng, Jiaxin
;
Peng, Juan
;
Zhang, Yuhua
- In:
Economic modelling
114
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013367520
Saved in:
3
What determines volatility smile in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
4
Financing with equity-for-guarantee swaps and dynamic investment under incomplete markets
Xia, Xin
;
Gan, Liu
- In:
Economic modelling
98
(
2021
),
pp. 349-360
Persistent link: https://www.econbiz.de/10012793994
Saved in:
5
A risk index to model uncertain portfolio investment with options
Wang, Xuting
;
Huang, Xiaoxia
- In:
Economic modelling
80
(
2019
),
pp. 284-293
Persistent link: https://www.econbiz.de/10012200594
Saved in:
6
Convenience yield, realised volatility and jumps : evidence from non-ferrous metals
Omura, Akihiro
;
Li, Bin
;
Chung, Richard
;
Todorova, Neda
- In:
Economic modelling
70
(
2018
),
pp. 496-510
Persistent link: https://www.econbiz.de/10012027980
Saved in:
7
Modelling the implied volatility surface based on Shanghai 50ETF options
Wang, Jinzhong
;
Chen, Shijiang
;
Tao, Qizhi
;
Zhang, Ting
- In:
Economic modelling
64
(
2017
),
pp. 295-301
Persistent link: https://www.econbiz.de/10011761005
Saved in:
8
A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin
;
Wu, Xinyu
- In:
Economic modelling
64
(
2017
),
pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
Saved in:
9
Do the central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura
;
Vicente, José Valentim …
- In:
Economic modelling
65
(
2017
),
pp. 129-137
Persistent link: https://www.econbiz.de/10011813619
Saved in:
10
Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis
- In:
Economic modelling
58
(
2016
),
pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
Saved in:
11
Does debt curb controlling shareholders' private benefits? : modelling in a contingent claim framework
La Bruslerie, Hubert de
- In:
Economic modelling
58
(
2016
),
pp. 263-282
Persistent link: https://www.econbiz.de/10011647350
Saved in:
12
Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Ruan, Xinfeng
;
Zhu, Wenli
;
Huang, Jiexiang
;
Zhang, Jin E.
- In:
Economic modelling
54
(
2016
),
pp. 326-338
Persistent link: https://www.econbiz.de/10011642179
Saved in:
13
A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun
;
Liu, Guifang
;
Li, Hongyi
- In:
Economic modelling
59
(
2016
),
pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
Saved in:
14
An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif
;
Dempsey, Michael
;
Kabir, M. Humayun
; …
- In:
Economic modelling
59
(
2016
),
pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
Saved in:
15
An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si
;
Zhou, Zhen
;
Li, Shenghong
- In:
Economic modelling
58
(
2016
),
pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
Saved in:
16
Stochastic lattice models for valuation of volatility options
Ma, Jingtang
;
Li, Wenyuan
;
Han, Xu
- In:
Economic modelling
47
(
2015
),
pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
Saved in:
17
Decomposing and valuing convertible bonds : a new method based on exotic options
Feng, Yun
;
Huang, Bing-hua
;
Young, Martin R.
;
Zhou, Qi-yuan
- In:
Economic modelling
47
(
2015
),
pp. 193-206
Persistent link: https://www.econbiz.de/10011439095
Saved in:
18
Catastrophe options with double compound Poisson processes
Yu, Jun
- In:
Economic modelling
50
(
2015
),
pp. 291-297
Persistent link: https://www.econbiz.de/10011440613
Saved in:
19
Valuing commodity options and futures options with changing economic conditions
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
51
(
2015
),
pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
Saved in:
20
Preemptive investment game with alternative projects
Nishihara, Michi
- In:
Economic modelling
43
(
2014
),
pp. 124-135
Persistent link: https://www.econbiz.de/10010502204
Saved in:
21
Pricing foreign equity options with regime-switching
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
37
(
2014
),
pp. 296-305
Persistent link: https://www.econbiz.de/10010417689
Saved in:
22
A barrier option framework for rescue package designs and bank default risks
Chang, Chuen-ping
- In:
Economic modelling
38
(
2014
),
pp. 246-257
Persistent link: https://www.econbiz.de/10010419117
Saved in:
23
Collective behavior and options volatility smile : an agent-based explanation
Liu, Yi-fang
;
Zhang, Wei
;
Xu, Hai-chuan
- In:
Economic modelling
39
(
2014
),
pp. 232-239
Persistent link: https://www.econbiz.de/10010421855
Saved in:
24
On the optimality of funding and hiring/firing according to stochastic demand : the role of growth and shutdown options
Letifi, N.
;
Prigent, Jean-Luc
- In:
Economic modelling
40
(
2014
),
pp. 410-422
Persistent link: https://www.econbiz.de/10010425583
Saved in:
25
Optimal stopping time with stochastic volatility
Zhang, Ran
;
Xu, Shuang
- In:
Economic modelling
41
(
2014
),
pp. 319-328
Persistent link: https://www.econbiz.de/10010440735
Saved in:
26
Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Kim, Hwa-sung
;
Kim, Bara
;
Kim, Jerim
- In:
Economic modelling
41
(
2014
),
pp. 15-22
Persistent link: https://www.econbiz.de/10010438507
Saved in:
27
Pricing gold options under Markov-modulated jump-diffusion processes
Lin, Shih-kuei
;
Lian, Yu-Min
;
Liao, Szu-Lang
- In:
Applied financial economics
24
(
2014
)
10/12
,
pp. 825-836
Persistent link: https://www.econbiz.de/10010402550
Saved in:
28
Analyses of retirement benefits with options
Lin, Chung-gee
;
Yang, Wei-ning
;
Chen, Shu-chuan
- In:
Economic modelling
36
(
2014
),
pp. 130-135
Persistent link: https://www.econbiz.de/10010412430
Saved in:
29
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
30
A study of the solution to the Riccati equation in term structure modelling
Juneja, Januj
- In:
Applied financial economics
23
(
2013
)
22/24
,
pp. 1797-1803
Persistent link: https://www.econbiz.de/10010337262
Saved in:
31
Currency option pricing in a credible exchange rate target zone
Veestraeten, Dirk
- In:
Applied financial economics
23
(
2013
)
10/12
,
pp. 951-962
Persistent link: https://www.econbiz.de/10009772210
Saved in:
32
Option pricing with time-changed Lévy processes
Klingler, Sven
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Applied financial economics
23
(
2013
)
13/15
,
pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
Saved in:
33
Implied volatility smiles in the Nikkei 225 options
Fukuta, Yuichi
;
Wenjie Ma
- In:
Applied financial economics
23
(
2013
)
7/9
,
pp. 789-804
Persistent link: https://www.econbiz.de/10009750979
Saved in:
34
A note on the use of fractional Brownian motion for financial modeling
Rostek, Stefan
;
Schöbel, Rainer
- In:
Economic modelling
30
(
2013
),
pp. 30-35
Persistent link: https://www.econbiz.de/10009702270
Saved in:
35
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
36
Operational risk of option hedging
Mitra, Sovan
- In:
Economic modelling
33
(
2013
),
pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
Saved in:
37
Applying the Model Order Reduction method to a European option pricing model
Lin, Shao-bin
;
Chen, Chun-Da
- In:
Economic modelling
33
(
2013
),
pp. 533-536
Persistent link: https://www.econbiz.de/10010193332
Saved in:
38
A barrier option framework for bank interest margin management under anticipatory regret aversion
Lin, Jyh-horng
;
Hung, Wei-ming
- In:
Economic modelling
33
(
2013
),
pp. 794-801
Persistent link: https://www.econbiz.de/10010195688
Saved in:
39
Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
Saved in:
40
A fractal version of the Hull-White interest rate model
Hainaut, Donatien
- In:
Economic modelling
31
(
2013
),
pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
Saved in:
41
Convertible bonds with resettable conversion prices
Qiu, Junfeng
;
Zhang, Yongli
- In:
Economic modelling
31
(
2013
),
pp. 198-205
Persistent link: https://www.econbiz.de/10009729140
Saved in:
42
Calibrated GARCH models and exotic options
Kanniainen, Juho
;
Halme, Tero
- In:
Applied financial economics
23
(
2013
)
4/6
,
pp. 403-414
Persistent link: https://www.econbiz.de/10009718911
Saved in:
43
Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process
Degiannakis, Stavros
;
Livada, Alexandra
- In:
Economic modelling
30
(
2013
),
pp. 212-216
Persistent link: https://www.econbiz.de/10009703683
Saved in:
44
Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin
;
Gao, Y.
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
Saved in:
45
Estimating volatility from ATM options with lognormal stochastic variance and long memory
Cardinali, Alessandro
- In:
Applied financial economics
22
(
2012
)
7/9
,
pp. 733-748
Persistent link: https://www.econbiz.de/10009624321
Saved in:
46
Evaluating catastrophe reinsurance contracts : an option pricing approach with extreme risk
Lin, Wen-chang
;
Lai, Yi-hsun
- In:
Applied financial economics
22
(
2012
)
10/12
,
pp. 1017-1028
Persistent link: https://www.econbiz.de/10009625558
Saved in:
47
The double exponential jump diffusion model for pricing European options under fuzzy environments
Zhang, Li-Hua
;
Zhang, Wei-guo
;
Xiao, Wei-Lin
- In:
Economic modelling
29
(
2012
)
3
,
pp. 780-786
Persistent link: https://www.econbiz.de/10009545516
Saved in:
48
Calibration strategies of stochastic volatility models for option pricing
Larikka, Mauri
;
Kanniainen, Juho
- In:
Applied financial economics
22
(
2012
)
22/24
,
pp. 1979-1992
Persistent link: https://www.econbiz.de/10009719310
Saved in:
49
Decomposition valuation of complex real options embedded in creative financial leases
Liang, Zhaohui
;
Wang, Wei
;
Li, Shusheng
- In:
Economic modelling
29
(
2012
)
6
,
pp. 2627-2631
Persistent link: https://www.econbiz.de/10009673635
Saved in:
50
Default probability of a captive credit bank with government capital injections : a capped barrier option approach
Chang, Chuen-ping
- In:
Economic modelling
29
(
2012
)
6
,
pp. 2444-2450
Persistent link: https://www.econbiz.de/10009673700
Saved in:
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