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47
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Journal of economic dynamics & control
The journal of futures markets
194
International journal of theoretical and applied finance
111
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94
The journal of derivatives : the official publication of the International Association of Financial Engineers
86
Review of derivatives research
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ECONIS (ZBW)
47
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Option-implied skewness : Insights from ITM-options
Mohrschladt, Hannes
;
Schneider, Judith Christiane
- In:
Journal of economic dynamics & control
131
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012818193
Saved in:
7
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:
8
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:
9
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:
10
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:
11
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:
12
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:
13
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:
14
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:
15
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:
16
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:
17
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:
18
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:
19
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:
20
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
21
Pricing Parisian and Parasian options analytically
Zhu, Song-ping
;
Chen, Wen-ting
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 875-896
Persistent link: https://www.econbiz.de/10009726170
Saved in:
22
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik
- In:
Journal of economic dynamics & control
37
(
2013
)
3
,
pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
Saved in:
23
Asymmetry in the jump-size distribution of the S&P 500 : evidence from equity and option markets
Kaeck, Andreas
- In:
Journal of economic dynamics & control
37
(
2013
)
9
,
pp. 1872-1888
Persistent link: https://www.econbiz.de/10009786062
Saved in:
24
An inverse finite element method for pricing American options
Zhu, Song-ping
;
Chen, Wen-ting
- In:
Journal of economic dynamics & control
37
(
2013
)
1
,
pp. 231-250
Persistent link: https://www.econbiz.de/10009703598
Saved in:
25
Asian and Australian options : a common perspective
Ewald, Christian-Oliver
;
Menkens, Olaf
;
Ting, Sai Hung …
- In:
Journal of economic dynamics & control
37
(
2013
)
5
,
pp. 1001-1018
Persistent link: https://www.econbiz.de/10009738291
Saved in:
26
Pricing European and American options with two stochastic factors : a highly efficient radial basis function approach
Ballestra, Luca Vincenzo
;
Pacelli, Graziella
- In:
Journal of economic dynamics & control
37
(
2013
)
6
,
pp. 1142-1167
Persistent link: https://www.econbiz.de/10009740447
Saved in:
27
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
28
A lattice algorithm for pricing moving average barrier options
Dai, Min
;
Li, Peifan
;
Zhang, Jin E.
- In:
Journal of economic dynamics & control
34
(
2010
)
3
,
pp. 542-554
Persistent link: https://www.econbiz.de/10003966493
Saved in:
29
Behavioral heterogeneity in the option market
Frijns, Bart
;
Lehnert, Thorsten
;
Zwinkels, Remco C. J.
- In:
Journal of economic dynamics & control
34
(
2010
)
11
,
pp. 2273-2287
Persistent link: https://www.econbiz.de/10009008886
Saved in:
30
Pricing derivatives with barriers in a stochastic interest rate environment
Bernard, Carole
;
Le Courtois, Olivier
;
Quittard-Pinon, …
- In:
Journal of economic dynamics & control
32
(
2008
)
9
,
pp. 2903-2938
Persistent link: https://www.econbiz.de/10003775152
Saved in:
31
Call market book information and efficiency
Arifovic, Jasmina
;
Ledyard, John O.
- In:
Journal of economic dynamics & control
31
(
2007
)
6
,
pp. 1971-2000
Persistent link: https://www.econbiz.de/10003487860
Saved in:
32
Analysis of quadrature methods for pricing discrete barrier options
Fusai, Gianluca
;
Recchioni, Maria Cristina
- In:
Journal of economic dynamics & control
31
(
2007
)
3
,
pp. 826-860
Persistent link: https://www.econbiz.de/10003421624
Saved in:
33
Hedging using simulation : a least squares approach
Tebaldi, Claudio
- In:
Journal of economic dynamics & control
29
(
2005
)
8
,
pp. 1287-1312
Persistent link: https://www.econbiz.de/10003002256
Saved in:
34
Evaluation of American strangles
Chiarella, Carl
;
Ziogas, Andrew
- In:
Journal of economic dynamics & control
29
(
2005
)
1/2
,
pp. 31-62
Persistent link: https://www.econbiz.de/10002590105
Saved in:
35
The compound option approach to American options on jump-diffusions
Gukhal, Chandrasekhar Reddy
- In:
Journal of economic dynamics & control
28
(
2004
)
10
,
pp. 2055-2074
Persistent link: https://www.econbiz.de/10002100158
Saved in:
36
The American put under transactions costs
Perrakis, Stylianos
;
Lefoll, Jean
- In:
Journal of economic dynamics & control
28
(
2004
)
5
,
pp. 915-935
Persistent link: https://www.econbiz.de/10001855995
Saved in:
37
Utility based option evaluation with proportional transaction costs
Damgaard, Anders
- In:
Journal of economic dynamics & control
27
(
2003
)
4
,
pp. 667-700
Persistent link: https://www.econbiz.de/10001712762
Saved in:
38
Small dimension PDE for discrete Asian options
Benhamou, Eric
;
Duguet, Alexandre
- In:
Journal of economic dynamics & control
27
(
2003
)
11/12
,
pp. 2095-2114
Persistent link: https://www.econbiz.de/10001768895
Saved in:
39
Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of economic dynamics & control
27
(
2003
)
10
,
pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
Saved in:
40
Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990 - 1999
Blomvall, Jörgen
;
Lindberg, Per O.
- In:
Journal of economic dynamics & control
27
(
2003
)
6
,
pp. 1099-1112
Persistent link: https://www.econbiz.de/10001734566
Saved in:
41
PDE methods for pricing barrier options
Zvan, R.
;
Vetzal, Kenneth R.
;
Forsyth, Peter A.
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1563-1590
Persistent link: https://www.econbiz.de/10001508750
Saved in:
42
The valuation of American barrier options using the decomposition technique
Gao, Bin
;
Huang, Jing-Zhi
;
Subrahmanyam, Marti G.
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1783-1827
Persistent link: https://www.econbiz.de/10001508774
Saved in:
43
Nonparametric estimation of American options' exercise boundaries and call prices
Broadie, Mark
(
contributor
)
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1829-1857
Persistent link: https://www.econbiz.de/10001508777
Saved in:
44
On the investment-uncertainty relationship in a real options model
Sarkar, Sudipto
- In:
Journal of economic dynamics & control
24
(
2000
)
2
,
pp. 219-225
Persistent link: https://www.econbiz.de/10001433007
Saved in:
45
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
Chiarella, Carl
;
Hassan, Nadima el
;
Kuczera, Adam
- In:
Journal of economic dynamics & control
23
(
1999
)
9/10
,
pp. 1387-1424
Persistent link: https://www.econbiz.de/10001415373
Saved in:
46
A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1445-1470
Persistent link: https://www.econbiz.de/10001222037
Saved in:
47
The pricing of credit risk derivatives
Pierides, Yiannos A.
- In:
Journal of economic dynamics & control
21
(
1997
)
10
,
pp. 1579-1611
Persistent link: https://www.econbiz.de/10001224143
Saved in:
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