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Finanzmarkt und Portfolio-Management
Review of quantitative finance and accounting
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94
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A reduced-form model for lease contract valuation with embedded options
Chang, Chuang-chang
;
Ho, Hsiao-Wei
;
Huang, Henry Hongren
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
2
,
pp. 841-864
Persistent link: https://www.econbiz.de/10014503183
Saved in:
2
Option implied riskiness and risk-taking incentives of executive compensation
Lu, Chia-Chi
;
Shen, Hsin-han
;
Shih, Pai-Ta
;
Tsai, Wei‐Che
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1143-1160
Persistent link: https://www.econbiz.de/10014291781
Saved in:
3
A dark side to options trading? : evidence from corporate default risk
Yang, Haoyi
;
Luo, Shikong
- In:
Review of quantitative finance and accounting
60
(
2023
)
2
,
pp. 531-564
Persistent link: https://www.econbiz.de/10013549094
Saved in:
4
Analytical pricing formulae for vulnerable vanilla and barrier options
Liu, Liang-Chih
;
Chiu, Chun-Yuan
;
Wang, Chuan-Ju
;
Dai, …
- In:
Review of quantitative finance and accounting
58
(
2022
)
1
,
pp. 137-170
Persistent link: https://www.econbiz.de/10012796126
Saved in:
5
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
6
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
7
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
8
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
9
The nonlinear relation between financing decisions and option compensation
Choi, Yoon K.
;
Han, Seung Hun
;
Mun, Seongjae
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1343-1356
Persistent link: https://www.econbiz.de/10012549797
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10
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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11
Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
12
On extensions of the Barone-Adesi and Whaley method to price American-type options
Mathys, Ludovic
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 33-76
Persistent link: https://www.econbiz.de/10012543615
Saved in:
13
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
14
Monte Carlo pathwise sensitivities for barrier options
Gerstner, Thomas
;
Harrach, Bastian von
;
Roth, Daniel
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 75-99
Persistent link: https://www.econbiz.de/10012295868
Saved in:
15
An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
Gűr, Sercan
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012295871
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16
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
17
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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18
Path-dependent American options
Chevalier, Etienne
;
Ly Vath, Vathana
;
Mnif, Mohamed
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
Saved in:
19
Relative option liquidity and price efficiency
Du, Brian
- In:
Review of quantitative finance and accounting
52
(
2019
)
4
,
pp. 1119-1135
Persistent link: https://www.econbiz.de/10012172939
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20
Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
Saved in:
21
Hedging of options in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
Saved in:
22
Portfolio optimization for American options
Zeng, Yaxiong
;
Klabjan, Diego
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
Saved in:
23
American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
Saved in:
24
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
25
Error analysis in Fourier methods for option pricing
Crocce, Fabián
;
Häppölä, Juho
;
Kiessling, Jonas
; …
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
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26
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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27
An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling
;
Xu, Wei
;
Qian, Zhehui
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
Saved in:
28
Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.
;
Del Moral, Pierre
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
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29
Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
Saved in:
30
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
31
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
32
Stratified approximations for the pricing of options on average
Privault, Nicolas
;
Yu, Jiadong
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
Saved in:
33
High-performance American option pricing
Andersen, Leif B. G.
;
Lake, Mark
;
Offengenden, Dimitri
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 39-87
Persistent link: https://www.econbiz.de/10011639531
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34
Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
46
(
2016
)
4
,
pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
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35
Option listing : market quality revisited
Lundstrum, Leonard L.
- In:
Review of quantitative finance and accounting
47
(
2016
)
3
,
pp. 565-578
Persistent link: https://www.econbiz.de/10011595669
Saved in:
36
The dynamic relation between options trading, short selling, and aggregate stock returns
DeLisle, R. Jared
;
Lee, Bong-soo
;
Mauck, Nathan
- In:
Review of quantitative finance and accounting
47
(
2016
)
3
,
pp. 645-671
Persistent link: https://www.econbiz.de/10011595696
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37
Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel
;
Farkas, Walter
;
Gourier, Elise
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
Saved in:
38
Some characteristics of an equity security next-year impairment
Azzaz, Julien
;
Loisel, Stéphane
;
Thérond, Pierre-E.
- In:
Review of quantitative finance and accounting
45
(
2015
)
1
,
pp. 111-135
Persistent link: https://www.econbiz.de/10011333134
Saved in:
39
Growth options, option exercise and firms' systematic risk
Koussis, Nicos
;
Makrominas, Michalis
- In:
Review of quantitative finance and accounting
44
(
2015
)
2
,
pp. 243-267
Persistent link: https://www.econbiz.de/10011327631
Saved in:
40
Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka
;
Li, Wei
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
Saved in:
41
Do dividend initiations signal a reduction in risk? : evidence from the option market
Jones, Jeffrey S.
;
Gu, Jenny
;
Liu, Pu
- In:
Review of quantitative finance and accounting
42
(
2014
)
1
,
pp. 143-158
Persistent link: https://www.econbiz.de/10010345141
Saved in:
42
Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan
;
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
43
(
2014
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
Saved in:
43
Comparing the information in short sales and put options
Blau, Benjamin
;
Wade, Chip
- In:
Review of quantitative finance and accounting
41
(
2013
)
3
,
pp. 567-583
Persistent link: https://www.econbiz.de/10010188234
Saved in:
44
Non-parametric method for European option bounds
Lin, Hsuan-chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
38
(
2012
)
1
,
pp. 109-129
Persistent link: https://www.econbiz.de/10009507969
Saved in:
45
Interest tax shields : a barrier options approach
Couch, Robert B.
;
Dothan, Michael U.
;
Wu, Wei
- In:
Review of quantitative finance and accounting
39
(
2012
)
1
,
pp. 123-146
Persistent link: https://www.econbiz.de/10009629103
Saved in:
46
Pricing timer options
Bernard, Carole
;
Cui, Zhenyu
- In:
The journal of computational finance
15
(
2011/12
)
1
,
pp. 69-104
Persistent link: https://www.econbiz.de/10009382523
Saved in:
47
Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
36
(
2011
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
Saved in:
48
Adaptive and high-order methods for valuing American options
Christara, Christina C.
;
Dang, Duy Minh
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 73-113
Persistent link: https://www.econbiz.de/10009241248
Saved in:
49
Fast simplified approaches to Asian option pricing
Tangman, D. Y.
;
Peer, A. A. I.
;
Rambeerich, N.
;
Bhuruth, M.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 3-36
Persistent link: https://www.econbiz.de/10009241264
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50
The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino
;
Zanette, Antonino
;
Lepellere, …
- In:
The journal of computational finance
14
(
2010/11
)
1
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pp. 29-56
Persistent link: https://www.econbiz.de/10008736753
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