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isPartOf:"Applied mathematical finance"
~subject:"Stochastic process"
~subject:"European options"
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Stochastic process
European options
Option trading
54
Optionsgeschäft
54
Option pricing theory
51
Optionspreistheorie
51
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24
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24
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Applied mathematical finance
International journal of theoretical and applied finance
28
Quantitative finance
22
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16
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13
Journal of economic dynamics & control
12
Review of derivatives research
12
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European journal of operational research : EJOR
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International journal of financial engineering
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1
Arbitrage-free neural-SDE market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10014390284
Saved in:
2
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
3
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:
4
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
5
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:
6
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:
7
Pricing occupation-time options in a mixed-exponential jump-diffusion model
Aoudia, Djilali Ait
;
Renaud, Jean-François
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011546980
Saved in:
8
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A.
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Saved in:
9
Implied volatility of leveraged ETF options
Leung, Tim
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
Saved in:
10
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Saved in:
11
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten
;
Ewald, Christian-Oliver
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
Saved in:
12
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:
13
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:
14
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
15
Arithmetic Asian options under stochastic delay models
McWilliams, Nairn
;
Sabanis, Sotirios
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 423-446
Persistent link: https://www.econbiz.de/10009422591
Saved in:
16
Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin
;
Jacquier, Antoine
- In:
Applied mathematical finance
17
(
2010
)
3/4
,
pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
Saved in:
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