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Option pricing theory
103
Optionspreistheorie
103
Volatility
43
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43
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39
Optionsgeschäft
39
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36
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Wang, Xingchun
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Finance research letters
International journal of theoretical and applied finance
467
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of futures markets
253
The journal of computational finance
251
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
209
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
190
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
131
Journal of economic dynamics & control
130
International journal of financial engineering
115
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107
Computational economics
102
Risks : open access journal
93
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
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79
Asia-Pacific financial markets
77
Journal of econometrics
66
Journal of financial and quantitative analysis : JFQA
57
NBER working paper series
57
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Energy economics
56
Review of quantitative finance and accounting
55
SFB 649 discussion paper
54
The journal of finance : the journal of the American Finance Association
53
Annals of finance
50
Journal of risk and financial management : JRFM
50
The journal of real estate finance and economics
50
The review of financial studies
50
Working paper / National Bureau of Economic Research, Inc.
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Economic modelling
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
International review of economics & finance : IREF
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ECONIS (ZBW)
103
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1
Pricing first-touch digitals with a multi-step double boundary and American barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Kong, Byungdoo
- In:
Finance research letters
59
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014445122
Saved in:
2
Price discovery of the Chinese crude oil options and futures markets
Zou, Mi
;
Han, Lin
;
Yang, Zhini
- In:
Finance research letters
60
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014490178
Saved in:
3
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
4
Traders' heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets
Nappo, Giovanna
;
Marchetti, Fabio Massimo
;
Vagnani, Gianluca
- In:
Finance research letters
53
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472484
Saved in:
5
Another application of call options : explaining the divergence between the housing market and the rental market
Lee, Hung-Wei
;
Lin, Che-Chun
;
Tsai, I-Chun
- In:
Finance research letters
53
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472494
Saved in:
6
The COVID-19 risk in the cross-section of equity options
Jitsawatpaiboon, Kanokrak
;
Ruan, Xinfeng
- In:
Finance research letters
53
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014472524
Saved in:
7
Pricing multi-step double barrier options by the efficient non-crossing probability
Lee, Hangsuck
;
Ha, Hongjun
;
Kong, Byungdoo
;
Lee, Minha
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472740
Saved in:
8
Whose sentiment explains implied volatility change and smile?
Ryu, Doojin
;
Ryu, Doowon
;
Yang, Heejin
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473013
Saved in:
9
The pricing and static hedging of multi-step double barrier options
Lee, Hangsuck
;
Ko, Bangwon
;
Lee, Minha
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473264
Saved in:
10
Generalized two-barrier proportional step options
Li, Xin
- In:
Finance research letters
51
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014288833
Saved in:
11
Price discovery in the volatility index option market : a univariate GARCH approach
Venter, Pierre J
;
Maré, E.
- In:
Finance research letters
44
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014494881
Saved in:
12
Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
Finance research letters
44
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
Saved in:
13
Price dispersion and vanilla options in a financial market game
Toraubally, Waseem A.
- In:
Finance research letters
50
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014245352
Saved in:
14
An empirical study on the characterization of implied volatility and pricing in the Chinese option market
Fan, Qingqian
;
Feng, Sixian
- In:
Finance research letters
49
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013479611
Saved in:
15
Multi-step double barrier options
Lee, Hangsuck
;
Jeong, Himchan
;
Lee, Minha
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013457467
Saved in:
16
Pricing defaultable bonds under Hawkes jump-diffusion processes
Chen, Li
;
Ma, Yong
;
Xiao, Weilin
- In:
Finance research letters
47
(
2022
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013553778
Saved in:
17
A comparative analysis of housing prices in different cities using the Black-Scholes and Jump Diffusion models
Oh, Sebeom
;
Ku, Hyejin
;
Jun, Doobae
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013339274
Saved in:
18
Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
Saved in:
19
The closed-form approximation to price basket options under stochastic interest rate
Yu, Bo
;
Zhu, Hongmei
;
Wu, Ping
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013342195
Saved in:
20
On pricing of vulnerable barrier options and vulnerable double barrier options
Wang, Heqian
;
Zhang, Jiayi
;
Zhou, Ke
- In:
Finance research letters
44
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014495047
Saved in:
21
Merton's portfolio problem under Volterra Heston model
Han, Bingyan
;
Wong, Hoi Ying
- In:
Finance research letters
39
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
Saved in:
22
Pricing volatility-equity options under the modified constant elasticity of variance model
Wang, Xingchun
- In:
Finance research letters
38
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012490200
Saved in:
23
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
24
Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang
- In:
Finance research letters
41
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
Saved in:
25
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi
;
Lai, Yongzeng
;
Li, Lin
;
Tan, Vinna
- In:
Finance research letters
34
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Saved in:
26
Do it with a smile : forecasting volatility with currency options
Reus, Lorenzo
;
Carrasco, José A.
;
Pincheira, Pablo
- In:
Finance research letters
34
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012436844
Saved in:
27
Pricing arithmetic Asian options under jump diffusion CIR processes
Park, Jong Jun
;
Jang, Hyun Jin
;
Jang, Jiwook
- In:
Finance research letters
34
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012436988
Saved in:
28
A general method for valuing complex capital structures
Borochin, Paul
;
Kopeliovich, Yaacov
;
Shea, Kevin
- In:
Finance research letters
35
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012438435
Saved in:
29
Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos
;
Lin, Fang
- In:
Finance research letters
35
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
Saved in:
30
An idea of risk-neutral momentum and market fear
Schadner, Wolfgang
- In:
Finance research letters
37
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012484870
Saved in:
31
Rough stochastic elasticity of variance and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
32
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Saved in:
33
Volatility discovery : can the CDS market beat the equity options market?
Forte, Santiago
;
Lovreta, Lidija
- In:
Finance research letters
28
(
2019
),
pp. 107-111
Persistent link: https://www.econbiz.de/10012388022
Saved in:
34
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
Saved in:
35
Analytical valuation of power exchange options with default risk
Xu, Guangli
;
Shao, Xinjian
;
Wang, Xingchun
- In:
Finance research letters
28
(
2019
),
pp. 265-274
Persistent link: https://www.econbiz.de/10012388320
Saved in:
36
Investing in a random start American option under competition
Pereira, Paulo
;
Rodrigues, Artur
- In:
Finance research letters
28
(
2019
),
pp. 388-397
Persistent link: https://www.econbiz.de/10012388350
Saved in:
37
Valuation of catastrophe equity put options with correlated default risk and jump risk
Bi, Hongwei
;
Wang, Guanying
;
Wang, Xingchun
- In:
Finance research letters
29
(
2019
),
pp. 323-329
Persistent link: https://www.econbiz.de/10012419135
Saved in:
38
Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps
Ulyah, Siti Maghfirotul
;
Lin, Xenos Chang-Shuo
;
Miao, …
- In:
Finance research letters
24
(
2018
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011982515
Saved in:
39
Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu
;
Tae, Hyeon-Wuk
- In:
Finance research letters
24
(
2018
),
pp. 301-312
Persistent link: https://www.econbiz.de/10011982658
Saved in:
40
Closed-form solutions for valuing partial lookback options with random initiation
Kim, Geonwoo
;
Jeon, Junkee
- In:
Finance research letters
24
(
2018
),
pp. 321-327
Persistent link: https://www.econbiz.de/10011982667
Saved in:
41
Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.
;
Prasanna, P. Krishna
- In:
Finance research letters
25
(
2018
),
pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
Saved in:
42
Strike asymptotics for Laplace implied volatilities
Madan, Dilip B.
;
Wang, King
- In:
Finance research letters
25
(
2018
),
pp. 183-189
Persistent link: https://www.econbiz.de/10012003516
Saved in:
43
Deposit insurance pricing under GARCH
Liu, Hailong
;
Li, Rui
;
Yuan, Jinjian
- In:
Finance research letters
26
(
2018
),
pp. 242-249
Persistent link: https://www.econbiz.de/10012005690
Saved in:
44
Valuing executive stock options under correlated employment shocks
Wang, Xingchun
- In:
Finance research letters
27
(
2018
),
pp. 38-45
Persistent link: https://www.econbiz.de/10012006731
Saved in:
45
Closed-form solutions for options with random initiation under asset price monitoring
Jun, Doobae
;
Ku, Hyejin
- In:
Finance research letters
20
(
2017
),
pp. 68-74
Persistent link: https://www.econbiz.de/10011806786
Saved in:
46
Examining the flight-to-safety with the implied volatilities
Sarwar, Ghulam
- In:
Finance research letters
20
(
2017
),
pp. 118-124
Persistent link: https://www.econbiz.de/10011806824
Saved in:
47
A unified tree approach for options pricing under stochastic volatility models
Lo, C. C.
;
Nguyen, Duy
;
Skindilias, K.
- In:
Finance research letters
20
(
2017
),
pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Saved in:
48
Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
Gzyl, Henryk
;
Milev, M.
;
Tagliani, Aldo
- In:
Finance research letters
20
(
2017
),
pp. 281-288
Persistent link: https://www.econbiz.de/10011806950
Saved in:
49
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
50
Real option with liquidity constraints under secondary debt illiquidity risk market
Xu, Qing
;
Yang, Jinqiang
- In:
Finance research letters
21
(
2017
),
pp. 57-65
Persistent link: https://www.econbiz.de/10011807494
Saved in:
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