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~subject:"Option pricing theory"
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Option pricing theory
jump-diffusion
54
Jump-diffusion
52
Optionspreistheorie
52
Stochastic process
42
Stochastischer Prozess
42
Portfolio selection
30
Portfolio-Management
30
Hedging
27
Volatilität
27
Volatility
26
Theorie
23
Option trading
21
Optionsgeschäft
21
martingale measure
21
Theory
20
Derivat
18
Derivative
18
Quantile hedging
18
Martingale measure
17
Efficient hedging
15
quantile hedging
15
stochastic volatility
13
Markov chain
12
Markov-Kette
12
Lebensversicherung
10
Life insurance
10
CAPM
8
Stochastic volatility
8
option pricing
8
Martingale
7
Risiko
7
Risikomanagement
7
Risk
7
Risk management
7
American options
6
Option pricing
6
Arbitrage
5
Incomplete market
5
Incomplete markets
5
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Undetermined
24
Free
5
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Article
47
Book / Working Paper
3
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Article in journal
47
Aufsatz in Zeitschrift
47
Hochschulschrift
2
Arbeitspapier
1
Graue Literatur
1
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English
50
Author
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Melʹnikov, Aleksandr V.
6
Glazyrina, Anna
3
Tong, Shuo
3
Benth, Fred Espen
2
Bouziane, Markus
2
Guambe, Calisto
2
Kufakunesu, Rodwell
2
Le Courtois, Olivier
2
Su, Xiaoshan
2
Abbasi, Wajih
1
Amonov, Kholnazar
1
Aoudia, Djilali Ait
1
Badescu, Alexandru
1
Bhattacharya, Sujoy
1
Bo, Lijun
1
Boloorforoosh, Ali
1
Bosserhoff, Frank
1
Bouveret, Géraldine
1
Cheang, Gerald H. L.
1
Chen, Dachuan
1
Chen, Ting-fu
1
Chevallier, Julien
1
Chiarella, Carl
1
Crosby, John
1
Di Nunno, Giulia
1
Dong, Linjia
1
Elliott, Robert J.
1
Frau, Carme
1
Goutte, Stéphane
1
Guillaume, Tristan
1
Hawkes, Alan G.
1
Hilliard, Jimmy E.
1
Hoyle, Edward
1
Hsu, Chih-chen
1
Hájek, Petr
1
Ismailova, Diana
1
Jessen, Cathrine
1
Jing, Bo
1
Khedher, Asma
1
Khelifa, Zouhaier Ben
1
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International journal of theoretical and applied finance
6
Insurance / Mathematics & economics
4
Journal of banking & finance
4
Applied mathematical finance
3
Decisions in economics and finance : a journal of applied mathematics
2
Energy economics
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Risk and decision analysis
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
26th Australasian Finance and Banking Conference 2013
1
Asia Pacific financial markets
1
Asia-Pacific journal of financial studies
1
Computational economics
1
Finance and stochastics
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International journal of economics and financial issues : IJEFI
1
International journal of financial engineering
1
Journal of mathematical finance
1
Lecture notes in economics and mathematical systems : LNEMS
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
Prague economic papers : a bimonthly journal of economic theory and policy
1
Quantitative finance
1
Research paper series / Swiss Finance Institute
1
Scandinavian actuarial journal
1
SpringerLink / Bücher
1
Studies in economics and finance
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of computational finance
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ECONIS (ZBW)
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1
Quantile hedging in models with dividends and application to equity-linked life insurance contracts
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 207-224
Persistent link: https://www.econbiz.de/10012240110
Saved in:
2
Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
Melʹnikov, Aleksandr V.
;
Tong, Shuo
- In:
Risk and decision analysis
4
(
2013
)
3
,
pp. 207-223
Persistent link: https://www.econbiz.de/10010190153
Saved in:
3
Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J.
- In:
Mathematical methods of operations research
79
(
2014
)
2
,
pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
Saved in:
4
Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling
Melnikov, Alexander
;
Tong, Shuo
- In:
Risk and decision analysis
5
(
2014
)
1
,
pp. 23-41
Persistent link: https://www.econbiz.de/10010492598
Saved in:
5
Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.
;
Nosrati, Amir
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
Saved in:
6
Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.
;
Tong, Shuo
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
Saved in:
7
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
8
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
9
Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
Saved in:
10
Bachelier model with stopping time and its insurance application
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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