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  • Search: subject_exact:"Put option"
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Year of publication
Subjects
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Option trading 1,913 Optionsgeschäft 1,913 Theorie 750 Theory 750 Optionspreistheorie 574 Option pricing theory 571 USA 360 United States 359 Volatilität 340 Volatility 339 Derivat 242 Derivative 242 Hedging 237 Portfolio selection 150 Portfolio-Management 150 Börsenkurs 136 Share price 136 Deutschland 103 Germany 102 Black-Scholes-Modell 95 Anlageverhalten 94 Behavioural finance 94 Black-Scholes model 94 Estimation 91 Schätzung 91 Stochastic process 78 Stochastischer Prozess 78 Financial analysis 64 Finanzanalyse 64 CAPM 63 Risikomanagement 55 Capital income 53 Kapitaleinkommen 53 Futures 51 Index-Futures 50 Index futures 49 Risk management 49 Aktienmarkt 47 Forecasting model 46 Monte Carlo simulation 46
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Online availability
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Free 222 Undetermined 31
Type of publication
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Article 1,263 Book / Working Paper 671 Journal 2
Type of publication (narrower categories)
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Article in journal 1,141 Aufsatz in Zeitschriften 1,141 Graue Literatur 383 Non-commercial literature 383 Working Paper 327 Arbeitspapier 326 Dissertation 94 Thesis 94 Article in book 80 Aufsatz im Buch 80 Hochschulschrift 69 Lehrbuch 58 Glossar enthalten 34 Glossary included 34 Handbook 22 Handbuch 22 Collection of articles of several authors 19 Sammelwerk 19 Bibliographie enthalten 17 Bibliography included 17 Collection of articles written by one author 16 Sammlung 16 Amtsdruckschrift 9 Government document 9 CD-ROM, DVD 6 Accompanied by computer file 5 Elektronischer Datenträger als Beilage 5 Bibliographie 4 Mehrbändiges Werk 4 Multi-volume publication 4 Medienkombination 3 Reprint 3 Diskette 2 Adressbuch 1 Article 1 Aufsatzsammlung 1 Biographie 1 Biography 1 Business report 1 Congress report 1
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Language
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English 1,679 German 188 Undetermined 17 Spanish 15 French 12 Polish 8 Italian 5 Dutch 5 Portuguese 5 Hungarian 2 Czech 1 Swedish 1
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Persons
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Hull, John 19 Carr, Peter 11 Kōnstantinidēs, Giōrgos 11 Poteshman, Allen M. 11 Thomsett, Michael C. 9 Jackwerth, Jens Carsten 8 Kang, Jangkoo 8 Kit, Pong Wong 8 Kwok, Yue-Kuen 8 Løchte Jørgensen, Peter 8 Perrakis, Stylianos 8 Vorst, Ton 8 Bebchuk, Lucian A. 7 Chang, Chuang-chang 7 Dolinsky, Yan 7 Doran, James S. 7 Wystup, Uwe 7 Chiarella, Carl 6 Ederington, Louis H. 6 Fusai, Gianluca 6 Joshi, Mark S. 6 Kolb, Robert W. 6 Lee, Cheng F. 6 Lien, Da-hsiang Donald 6 Maurer, Raimond 6 McAleer, Michael 6 Mencía, Javier 6 Pedersen, Lasse Heje 6 Sentana, Enrique 6 Truong, Cameron 6 Wu, Liuren 6 Augen, Jeff 5 Bechmann, Ken L. 5 Benth, Fred Espen 5 Carpenter, Jennifer N. 5 Chemla, Gilles 5 Chernov, Mikhail 5 Chesney, Marc 5 Cheuk, Terry Hon Fu 5 Crameri, Remo 5
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Institutions
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Center for Economic Research <Tilburg> 7 Centre for Analytical Finance <Århus> 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Institut for Finansiering <Frederiksberg> 3 Rodney L. White Center for Financial Research 3 Institut für Schweizerisches Bankwesen <Zürich> 2 Svenska Handelshögskolan <Helsinki> 2 Australian National University / Faculty of Economics and Commerce 1 Banco Central do Brasil 1 Banco de España 1 Bank für Internationalen Zahlungsausgleich 1 Birkbeck College / Department of Economics 1 Business Information Centre <Toronto> 1 Center for International Food and Agricultural Policy 1 Centre for Actuarial Studies 1 Chicago, Ill. / Board of Trade 1 Cornell University / Department of Agricultural, Resource and Managerial Economics 1 European Central Bank 1 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 1 Federal Reserve Bank of Chicago 1 Federal Reserve Bank of St. Louis 1 FinanzBuch Verlag 1 Institut für Seeverkehrswirtschaft und Logistik 1 Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg> 1 Institut für Volkswirtschaftslehre <Augsburg> 1 Institute of Finance and Accounting <London> 1 International Center for Financial Asset Management and Engineering 1 International Shariʿah Research Academy for Islamic Finance 1 Iowa State University / Center for Agricultural and Rural Development 1 Islamic Texts Society 1 Johannes Gutenberg-Universität Mainz 1 Judge Institute of Management Studies 1 London School of Economics and Political Science 1 National Centre of Competence in Research - Financial Valuation and Risk Management 1 National Centre of Competence in Research North South <Bern> 1 New York Institute of Finance 1 OECD 1 Rutgers University / Department of Economics 1 School of Economics, Mathematics and Statistics <London> 1 Seminar zum Thema Mergers & Acquisitions <10, 2007, Zürich> 1
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Published in...
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The journal of futures markets 123 International journal of theoretical and applied finance 58 The journal of derivatives : the official publication of the International Association of Financial Engineers 49 Journal of banking & finance 42 Mathematical finance : an international journal of mathematics, statistics and financial theory 42 Review of derivatives research 33 Finance and stochastics 32 Working paper 31 The review of financial studies 22 Journal of financial and quantitative analysis : JFQA 20 The journal of computational finance 20 The journal of finance : the journal of the American Finance Association 20 Journal of economic dynamics & control 19 Applied mathematical finance 17 Wiley trading series 17 Discussion paper 15 Finanzmarkt und Portfolio-Management 14 Journal of financial economics 14 Review of quantitative finance and accounting 14 Applied financial economics 13 Journal of financial markets 13 Finance : revue de l'Association Française de Finance 12 The European journal of finance 12 Asia-Pacific financial markets 11 Working papers 11 Die Bank : Zeitschrift für Bankpolitik und Praxis 10 Discussion paper / Centre for Economic Policy Research 10 Journal of mathematical finance 10 International review of economics & finance : IREF 9 Research paper series 9 Bloomberg financial series 8 Der Betrieb 8 European financial management : the journal of the European Financial Management Association 8 Journal of risk 8 Review of Pacific Basin financial markets and policies 8 Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business 8 Applied economics 7 Economic modelling 7 International review of financial analysis 7 SFB 649 discussion paper 7
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Sources
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ECONIS (ZBW) 1,913 RePEc 14 USB Cologne (business full texts) 4 EconStor 2 USB Cologne (EcoSocSci) 2 BASE 1
Showing 1 - 50 of 1,936
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VaR and CVaR implied in option prices
Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...
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Single stock call options as lottery tickets
Felix, Luiz; Kräussl, Roman; Stork, Philip - 2017 - This version: February 2016
This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors overweight small probability events and overpay for such...
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Sharing R&D risk in healthcare via FDA hedges
Jørring, Adam; Lo, Andrew W.; Philipson, Tomas J.; … - 2017
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Unit-linked life insurances as a form of protection for the future
Homa, Magdalena - In: Economic and environmental studies : a journal for … 17 (2017) 1, pp. 35-46
Insurances with capital funds (unit-linked, UFK), i.e. life and annuity saving and covering insurances combined with shares in selected investment funds of financial institutions are considered as additional form of pension saving. However, they are frequently seen as uneconomical products,...
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Sharing RD risk in healthcare via FDA hedges
Jørring, Adam; Lo, Andrew W.; Philipson, Tomas J.; … - 2017 - This draft: 28 March 2017
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Approximate pricing of barrier options in Lévy models
Jahncke, Giso - 2017
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Looking into the relationship between implied and realized volatility : a study on S&P CNX Nifty index option
Mishra, Alok Kumar; Panda, Siba Prasad - In: Eurasian economic review 6 (2016) 1, pp. 67-96
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Liquidity risk and expected option returns
Choy, Siu Kai; Wei, Jason Zhanshun - 2016
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An application of the put-call-parity to variance reduced Monte-Carlo option pricing
Müller, Armin - 2016
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Single stock call options as lottery tickets
Félix, Luiz; Kräussl, Roman; Stork, Philip - 2016
This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight small probability events and overpay for such...
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A joint application of the put-call-parity and importance sampling to variance reduced option pricing
Müller, Armin - 2016
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Option-implied Libor rate expectations across currencies
Gebbia, Nick - 2016
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A note on the impact of parameter uncertainty on barrier derivatives
Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25
This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...
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Multi-criteria classification for pricing European options
Gradojevic, Nikola - In: Studies in nonlinear dynamics and econometrics : SNDE : … 20 (2016) 2, pp. 123-139
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Loan growth and bank solvency : evidence from the Pakistani banking sector
Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13
Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...
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Pricing of catastrophe risk and the implied volatility smile
Ben Ammar, Semir - 2016
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To bet or not to bet : copper price uncertainty and investment in Chile
Comelli, Fabio; Pérez Ruiz, Esther - 2016
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Rynek kapitałowy - efektywność i ryzyko
Czerwińska, Teresa (ed.); Nowak, Alojzy Z. (ed.) - 2016
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Options, futures, and other derivatives
Hull, John - 2018 - Tenth edition
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Determining pledged loan-to-value ratio: an option pricing perspective
Zhang, Ran; Zhang, Jing; Xu, Shuang - In: Financial Innovation 1 (2015) 16, pp. 1-13
Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option's...
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - 2015
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - 2015
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Keine erhöhte Volatilität auf Agrarmärkten durch Optionshandel
Prehn, Sören (contributor); Glauben, Thomas (contributor);  … - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 95 (2015) 4, pp. 280-283
Der Handel mit Optionen gewinnt auf volatileren Agrarmärkten zunehmend an Bedeutung. Nun stellt sich die Frage, ob der Optionshandel ein sinnvolles Instrument zur Risikoabsicherung von Landwirten und Landhändlern darstellt oder ob er vielmehr ein Treiber der Agrarpreisvolatilität ist. Die...
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Essays on pricing kernel estimation, option data filtering and risk-neutral density tail estimation
Meier, Pirmin - 2015
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Bonus caps, deferrals and bankers' risk-taking
Jokivuolle, Esa; Keppo, Jussi; Yuan, Xuchuan - 2015
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljevic, Nikola - 2015
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2015
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Calculation of Monte-Carlo Sensitivities for a portfolio of time coupled options and application to conventional power plants
Raabe, Wolfgang - 2015
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Stability of participation in collective pension schemes : an option pricing approach
Chen, Damiaan H. J.; Beetsma, Roel M. W. J.; Broeders, Dirk - 2015
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Determining pledged loan-to-value ratio: an option pricing perspective
Zhang, Ran; Zhang, Jing; Xu, Shuang - In: Financial innovation : FIN 1 (2015) 16, pp. 1-13
Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option’s...
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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...
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Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
Chesney, Marc; Crameri, Remo; Mancini, Loriano - National Centre of Competence in Research - Financial … - 2011
This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informedtrading activities on put and call options are analyzed for 19 companies in the bankingand insurance sectors from January 1996 to September 2009. Our empirical findings suggestthat certain events such as...
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Gewinnen mit Optionsstrategien : erfolgreich in der Königsklasse des Terminhandels
Fend, Reinhold - 2017 - 1. Auflage
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Fundamentals of futures and options markets
Hull, John - 2017 - Ninth edition
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Pricing multiple exercise American options by linear programming
Giandomenico, Monia; Pınar, Mustafa Ç. - In: Optimal financial decision making under uncertainty, (pp. 137-150). 2017
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Option strategies and exotic options : tools for hedging or source of financial instability?
Sönmezer, Sıtkı - In: Risk management, strategic thinking and leadership in …, (pp. 245-257). 2017
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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
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Options and higher-order risk premiums
Xiao, Xiao - 2017
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Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? : evidence from the G10 currencies
Grobys, Klaus; Heinonen, Jari-Pekka - In: The journal of futures markets 37 (2017) 1, pp. 3-22
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Option pricing with threshold mean reversion
Chi, Zeyu; Dong, Fangyuan; Wong, Hoi Ying - In: The journal of futures markets 37 (2017) 2, pp. 107-131
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Cross-hedging ambiguous exchange rate risk
Kit, Pong Wong - In: The journal of futures markets 37 (2017) 2, pp. 132-147
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The skewness implied in the Heston model and its application$Jin E. Zhang, Fang Zhen, Xiaoxia Sun, and Huimin Zhao
Zhang, Jin E.; Zhen, Fang; Sun, Xiaoxia; Huimin, Zhao - In: The journal of futures markets 37 (2017) 3, pp. 211-237
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Testing market efficiency using lower boundary conditions of Indian options market
Kumar, Atul; Raman, T. V. - In: International journal of applied business and economic … 15 (2017) 1, pp. 55-65
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
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Energy investments : an adaptive approach to profiting from uncertainties
Barcelona, Ricardo G. - 2017
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The mathematics of options : quantifying derivative price, payoff, probability, and risk
Thomsett, Michael C. - 2017
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Optimal option portfolio strategies : deepening the puzzle of index option mispricing
Faias, José Afonso; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 1, pp. 277-303
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The model-free equivalence condition for American spread options
Kang, Sang Baum; Létourneau, Pascal - In: Theoretical economics letters 7 (2017) 4, pp. 757-763
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The second leg down : strategies for profiting after a market sell-off
Krishnan, Hari P. - 2017
Machine generated contents note: Preface xi Acknowledgements xiii About the Author xv CHAPTER 1 Introduction 1 The Airplane Ticket Trade 1 The Bull Cycle 2 The Renegades 3 Claws of the Bear 3 Zugzwang 4 The Sceptics 5 A Sad Truth 5 Common Mistakes 6 Imprecise but Effective 7 Hedging Against...
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Derivatives markets and analysis
Johnson, Robert S. - 2017
"A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part...
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