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Stochastic process
Lévy processes
236
Stochastischer Prozess
127
Option pricing theory
99
Optionspreistheorie
99
Optionsgeschäft
39
Option trading
38
Volatilität
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Schätztheorie
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option pricing
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stochastic volatility
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Yamazaki, Kazutoshi
6
Ballotta, Laura
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Benth, Fred Espen
4
Eberlein, Ernst
4
Levendorskij, Sergej Z.
4
Pérez, José-Luis
4
Barbachan, José Santiago Fajardo
3
Chan, Tat Lung
3
Fabozzi, Frank J.
3
Hughston, Lane P.
3
SenGupta, Indranil
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
Krühner, Paul
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Kyriakou, Ioannis
2
Maggistro, Rosario
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Mandjes, Michel
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Michaelsen, Markus
2
Noba, Kei
2
Pirjol, Dan
2
Račev, Svetlozar T.
2
Rémillard, Bruno N.
2
Schmidt, Thorsten
2
Shiraya, Kenichiro
2
Suzuki, Ryoichi
2
Vives, Josep
2
Wang, Xingchun
2
Yamazaki, Akira
2
Zeineddine, Raghid
2
Zoccolan, Ivan
2
Akahori, Jirô
1
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International journal of theoretical and applied finance
13
Applied mathematical finance
10
Quantitative finance
6
Finance and stochastics
5
International journal of financial engineering
5
Operations research letters
5
European journal of operational research : EJOR
4
Insurance / Mathematics & economics
4
Mathematics of operations research
4
The European journal of finance
4
The journal of computational finance
4
Asia-Pacific financial markets
3
Computational economics
3
Journal of banking & finance
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Insurance : mathematics and economics
2
Review of derivatives research
2
Risks : open access journal
2
Scandinavian actuarial journal
2
The North American journal of economics and finance : a journal of financial economics studies
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
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1
Annals of financial economics
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Application of operations research to financial markets
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Economics letters
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FFA Working Papers : FFA working paper
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Finance research letters
1
Financial innovation : FIN
1
Financial markets and portfolio management
1
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
IMA journal of management mathematics
1
International journal of theoretical and applied finance : IJTAF
1
International review of economics & finance : IREF
1
Journal of economic theory
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
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2
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten
;
Ewald, Christian-Oliver
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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3
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
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4
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil
;
Horvath, Blanka Nora
;
Jacquier, …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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5
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
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
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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8
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
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9
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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10
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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