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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Option pricing theory"
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Option pricing theory
Statistical distribution
62
Statistische Verteilung
62
Theorie
28
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Optionspreistheorie
24
Stochastic process
20
Stochastischer Prozess
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International journal of theoretical and applied finance
Journal of econometrics
14
Quantitative finance
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Review of derivatives research
11
Applied mathematical finance
10
Computational economics
10
Journal of banking & finance
9
The journal of computational finance
9
Journal of economic dynamics & control
8
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8
International journal of financial engineering
7
The North American journal of economics and finance : a journal of financial economics studies
7
European journal of operational research : EJOR
6
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SFB 649 discussion paper
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Asia-Pacific journal of financial studies
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CREATES research paper
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Economics letters
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Finance and stochastics
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International review of economics & finance : IREF
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Journal of empirical finance
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Journal of financial and quantitative analysis : JFQA
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Journal of risk
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Research paper series / Swiss Finance Institute
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Staff reports / Federal Reserve Bank of New York
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Working papers / Rutgers University, Department of Economics
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Asia-Pacific financial markets
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Center for Research in Economics and Finance (CIEF), Working Papers
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Central European journal of economic modelling and econometrics
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Computational Management Science : CMS
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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1
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
2
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
3
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Saved in:
4
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
5
Defaultable claims in switching models with partial information
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
Saved in:
6
Option pricing with heavy-tailed distributions of logarithmic returns
Basnarkov, Lasko
;
Stojkoski, Viktor
;
Utkovski, Zoran
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012153313
Saved in:
7
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
8
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
9
Option pricing in the variance-gamma model under the drift jump
Ivanov, Roman V.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011892547
Saved in:
10
Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang
;
Menoukeu-Pamen, Olivier
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
Saved in:
11
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
12
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
13
Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
14
Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo
;
Arunachalam, V.
;
Serna, G. M.
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
Saved in:
15
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
16
Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
17
Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki
;
Siu, Chi Chung
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
Saved in:
18
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
19
A simple time-consistent model for the forward density process
Hult, Henrik
;
Lindskog, Filip
;
Nykvist, Johan
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
Saved in:
20
Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
Saved in:
21
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
22
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
23
Stochastic intensity modeling for structured credit exotics
Chapovsky, Alexander
;
Rennie, Andrew
;
Tavares, Pedro
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 633-652
Persistent link: https://www.econbiz.de/10003503353
Saved in:
24
Analytical pricing of double-barrier options under a double-exponential jump diffusion process : applications of laplace transform
Sepp, Artur
- In:
International journal of theoretical and applied finance
7
(
2004
)
2
,
pp. 151-175
Persistent link: https://www.econbiz.de/10002021501
Saved in:
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