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Stochastic process
Esscher transform
83
Optionspreistheorie
55
Option pricing theory
54
Levy processes
45
Stochastischer Prozess
43
Option trading
21
Optionsgeschäft
21
Option pricing
18
Volatility
17
Volatilität
17
Markov chain
16
Markov-Kette
15
martingale measures
15
Derivat
13
Derivative
13
Martingale measures
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option pricing
11
Lévy process
10
Theorie
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Theory
10
Black-Scholes model
9
Black-Scholes-Modell
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Hedging
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Martingal
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CAPM
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stochastic volatility
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ARCH model
6
ARCH-Modell
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Esscher Transform
6
Incomplete market
6
Risiko
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Risk
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Brownian motion
5
Comonotonicity
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Exchange rate
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Portfolio selection
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Lee, Hangsuck
8
Lee, Minha
4
Siu, Tak Kuen
4
Elliott, Robert J.
3
Lian, Yu-Min
3
Liao, Szu-Lang
3
Lin, Shih-kuei
3
Song, Seongjoo
3
Chen, Jun-Home
2
Chen, Son-nan
2
Fard, Farzad Alavi
2
Fengler, Matthias
2
Ha, Hongjun
2
Kirkby, J. Lars
2
Ko, Bangwon
2
Lee, Gaeun
2
Li, Chang-Yi
2
Melnikov, Alexander
2
Rüschendorf, Ludger
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Wolf, Viktor
2
Abdessalem, Mehdi Bekralas
1
Ahcan, Ales
1
Ahn, Soohan
1
Blake, David
1
Chan, Leunglung
1
Chiang, Mi-Hsiu
1
De Diego, Sergio
1
Doko Tchatoka, Firmin
1
Dolinsky, Yan
1
Fabozzi, Frank J.
1
Ferreira, Eva
1
Godin, Frédéric
1
Hammerstein, Ernst August v.
1
Henrard, Luc
1
Hoang, Winsor
1
Hunt, Andrew
1
Jeong, Himchan
1
Kim, Young Shin
1
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International journal of theoretical and applied finance
5
Insurance / Mathematics & economics
4
The North American journal of economics and finance : a journal of financial economics studies
4
Applied mathematical finance
3
Review of derivatives research
3
Finance research letters
2
Journal of mathematical finance
2
Journal of risk and financial management : JRFM
2
The journal of computational finance
2
The journal of futures markets
2
Applied financial economics
1
Asia Pacific financial markets
1
Asia-Pacific financial markets
1
Computational economics
1
Discussion paper / The Pensions Institute, Cass Business School, City University
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
International journal of financial engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Review of quantitative finance and accounting
1
The European journal of finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Trends in mathematical economics : dialogues between Southern Europe and Latin America
1
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ECONIS (ZBW)
43
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1
Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
2
Super-replication in fully incomplete markets
Dolinsky, Yan
;
Neufeld, Ariel
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 483-515
Persistent link: https://www.econbiz.de/10011969096
Saved in:
3
The [beta]-variance gamma model
Schoutens, Wim
;
Van Damme, Geert
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
Saved in:
4
CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten
;
Zabczyk, Jerzy
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
Saved in:
5
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:
6
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
7
Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de
;
Mordecki, Ernesto
- In:
Trends in mathematical economics : dialogues between …
,
(pp. 99-121)
.
2016
Persistent link: https://www.econbiz.de/10011800675
Saved in:
8
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
9
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
Saved in:
10
An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven
;
Ahcan, Ales
;
Henrard, Luc
;
Maj, Mateusz
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
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