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Option pricing theory
131
Optionspreistheorie
131
Stochastic process
38
Stochastischer Prozess
38
Theorie
38
Theory
38
Option trading
37
Optionsgeschäft
37
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Dai, Min
5
Zenios, Stauros Andrea
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Chang, Chien-hung
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Glasserman, Paul
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2
Cui, Zhenyu
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Duan, Jin-Chuan
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Journal of economic dynamics & control
International journal of theoretical and applied finance
467
The journal of futures markets
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
254
Applied mathematical finance
244
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
199
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
133
Finance research letters
116
International journal of financial engineering
116
Computational economics
107
Journal of mathematical finance
107
Risks : open access journal
96
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Energy economics
59
Journal of financial and quantitative analysis : JFQA
58
NBER working paper series
58
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Review of quantitative finance and accounting
55
The journal of finance : the journal of the American Finance Association
55
SFB 649 discussion paper
54
Annals of finance
52
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.
50
Economic modelling
49
International review of economics & finance : IREF
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
131
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131
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1
Exact simulation of the Hull and White stochastic volatility model
Brignone, Riccardo
;
Gonzato, Luca
- In:
Journal of economic dynamics & control
163
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10015050813
Saved in:
2
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
3
Systemic risk of optioned portfolio : controllability and optimization
Pang, Xiaochuan
;
Zhu, Shushang
;
Cui, Xueting
;
Ma, Jiali
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479336
Saved in:
4
The stock implied volatility and the implied dividend volatility
Quaye, Enoch Nii Boi
;
Tunaru, Radu
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013383766
Saved in:
5
Media-expressed tone, option characteristics, and stock return predictability
Chen, Yi-Hsuan
;
Fengler, Matthias
;
Härdle, Wolfgang
; …
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013384809
Saved in:
6
Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
7
New insights in capacity investment under uncertainty
Balter, Anne G.
;
Huisman, Kuno J. M.
;
Kort, Peter M.
- In:
Journal of economic dynamics & control
144
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013543151
Saved in:
8
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
9
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk
;
Wu, Lixin
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
Saved in:
10
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
11
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
12
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
13
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
14
Valuing switching options with the moving-boundary method
Dabadghao, Shaunak S.
;
Chockalingam, Arun
;
Soltani, Taimaz
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012668925
Saved in:
15
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
Saved in:
16
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
17
Valuation of mortgage interest deductibility under uncertainty : an option pricing approach
Ghoddusi, Hamed
;
Afkhami, Mohamad
- In:
Journal of economic dynamics & control
103
(
2019
),
pp. 102-122
Persistent link: https://www.econbiz.de/10012131078
Saved in:
18
A profitable modification to global quadratic hedging
Augustyniak, Maciej
;
Godin, Frédéric
;
Simard, Clarence
- In:
Journal of economic dynamics & control
104
(
2019
),
pp. 111-131
Persistent link: https://www.econbiz.de/10012131108
Saved in:
19
Functional Ross recovery : theoretical results and empirical tests
Dillschneider, Yannick
;
Maurer, Raimond
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012313623
Saved in:
20
Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian
- In:
Journal of economic dynamics & control
95
(
2018
),
pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
Saved in:
21
Level and slope of volatility smiles in long-run risk models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
Saved in:
22
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
23
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
24
Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea
;
Zenios, Stauros Andrea
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 137-155
Persistent link: https://www.econbiz.de/10011973933
Saved in:
25
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
26
Hysteresis due to irreversible exit : addressing the option to mothball
Guerra, Manuel
;
Kort, Peter M.
;
Nunes, Cláudia
; …
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011974233
Saved in:
27
Real options and contingent convertibles with regime switching
Luo, Pengfei
;
Yang, Zhaojun
- In:
Journal of economic dynamics & control
75
(
2017
),
pp. 122-135
Persistent link: https://www.econbiz.de/10011817155
Saved in:
28
Equal risk pricing under convex trading constraints
Guo, Ivan
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Saved in:
29
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
30
Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro
;
Chen, Louisa
;
Valenzuela, Marcela
- In:
Journal of economic dynamics & control
82
(
2017
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
Saved in:
31
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Saved in:
32
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
33
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
34
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
35
An options pricing approach to ramping rate restrictions at hydro power plants
Niu, Shilei
;
Insley, Margaret
- In:
Journal of economic dynamics & control
63
(
2016
),
pp. 25-52
Persistent link: https://www.econbiz.de/10011708181
Saved in:
36
Calibration of stochastic volatility models : a Tikhonov regularization approach
Dai, Min
;
Tang, Ling
;
Yue, Xingye
- In:
Journal of economic dynamics & control
64
(
2016
),
pp. 66-81
Persistent link: https://www.econbiz.de/10011708221
Saved in:
37
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
38
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
39
Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.
;
Feldman, David
;
Hu, Wei
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
Saved in:
40
Solving asset pricing models with stochastic volatility
De Groot, Oliver
- In:
Journal of economic dynamics & control
52
(
2015
),
pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
Saved in:
41
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
42
A model for irreversible investment with construction and revenue uncertainty
Thijssen, Jacco J. J.
- In:
Journal of economic dynamics & control
57
(
2015
),
pp. 250-266
Persistent link: https://www.econbiz.de/10011574628
Saved in:
43
Electricity derivatives pricing with forward-looking information
Füss, Roland
;
Mahringer, Steffen
;
Prokopczuk, Marcel
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 34-57
Persistent link: https://www.econbiz.de/10011574636
Saved in:
44
Superhedging under ratio constraint
Chen, Yingshan
;
Dai, Min
;
Xu, Jing
;
Xu, Mingyu
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 250-264
Persistent link: https://www.econbiz.de/10011574773
Saved in:
45
Robustness of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
46
Super-exponential growth expectations and the global financial crisis
Leiss, Matthias
;
Nax, Heinrich H.
;
Sornette, Didier
- In:
Journal of economic dynamics & control
55
(
2015
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011587105
Saved in:
47
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
Hainaut, Donatien
;
Deelstra, Griselda
- In:
Journal of economic dynamics & control
44
(
2014
),
pp. 124-146
Persistent link: https://www.econbiz.de/10010473569
Saved in:
48
Valuation of stock loans with jump risk
Cai, Ning
;
Sun, Lihua
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
Saved in:
49
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
50
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
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