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Option pricing theory
Markov processes
257
Lévy processes
236
Stochastischer Prozess
158
Stochastic process
149
Optionspreistheorie
104
Markov chain
102
Markov-Kette
101
Theorie
88
Theory
81
Optionsgeschäft
39
Option trading
38
Volatilität
34
Volatility
32
optimal stopping problem
29
Derivat
28
Derivative
28
Portfolio-Management
25
Search theory
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Lévy Processes
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Portfolio selection
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Mathematical programming
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Mathematische Optimierung
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Statistical distribution
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Dynamic programming
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Option pricing
17
informality
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Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
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Dynamic Investment Management
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Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Optimal stopping problem
16
Risk Sensitive Control
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Stochastic Control
16
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Levendorskij, Sergej Z.
4
Ballotta, Laura
3
Barbachan, José Santiago Fajardo
3
Benth, Fred Espen
3
Chan, Tat Lung
3
Eberlein, Ernst
3
Fabozzi, Frank J.
3
Hughston, Lane P.
3
Macrina, Andrea
3
Yamazaki, Kazutoshi
3
Arai, Takuji
2
Ben-Ameur, Hatem
2
Bianchi, Michele Leonardo
2
Bouzianis, George
2
Chérif, Rim
2
Elliott, Robert J.
2
Fusai, Gianluca
2
Grabchak, Michael
2
Guerra, João
2
Habtemicael, Semere
2
Kallsen, Jan
2
Kyriakou, Ioannis
2
Michaelsen, Markus
2
Pérez, José-Luis
2
Račev, Svetlozar T.
2
Rémillard, Bruno N.
2
SenGupta, Indranil
2
Suzuki, Ryoichi
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Vives, Josep
2
Wang, Xingchun
2
Yamazaki, Akira
2
Akahori, Jirô
1
Angelelli, Enrico
1
Asghari, Naser M.
1
Ba, Makhtar
1
Balcıog˜lu, Barış
1
Bao, Yong
1
Barrieu, Pauline
1
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International journal of theoretical and applied finance
12
Applied mathematical finance
9
Finance and stochastics
6
Quantitative finance
5
The European journal of finance
5
Asia-Pacific financial markets
4
International journal of financial engineering
4
The journal of computational finance
4
Computational economics
3
Insurance / Mathematics & economics
3
Journal of banking & finance
3
The North American journal of economics and finance : a journal of financial economics studies
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Journal of mathematical finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics of operations research
2
Operations research letters
2
Review of derivatives research
2
Risks : open access journal
2
Annals of finance
1
Annals of financial economics
1
Application of operations research to financial markets
1
Applied economics
1
Applied financial economics
1
CARF working paper
1
Computational Management Science : CMS
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Computational management science
1
Economics letters
1
Energy economics
1
European journal of operational research : EJOR
1
FFA Working Papers : FFA working paper
1
Finance research letters
1
Financial innovation : FIN
1
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
Insurance : mathematics and economics
1
International review of economics & finance : IREF
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of risk
1
Journal of risk : JOR
1
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ECONIS (ZBW)
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1
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
2
Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi
;
Sheu, Yuan-Chung
;
Tsai, Ming-Yao
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
Saved in:
3
Real options with competition and regime switching
Bensoussan, Alain
;
Hoe, SingRu
;
Yan, Zhongfeng
;
Yin, George
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10011739453
Saved in:
4
Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee
;
Kim, Geonwoo
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
Saved in:
5
From optimal martingales to randomized dual optimal stopping
Belomestny, Denis
;
Schoenmakers, John
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
Saved in:
6
Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 110-140
Persistent link: https://www.econbiz.de/10013554791
Saved in:
7
Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang
;
Tang, Pan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
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8
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
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9
American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z.
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
Saved in:
10
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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