| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A closed-form solution for options with ambiguity about stochastic volatility
|
Faria, Gonçalo
|
|
2014
|
|
2 |
p. 125-159
|
artikel
|
| 2 |
A forward started jump-diffusion model and pricing of cliquet style exotics
|
Drimus, Gabriel G.
|
|
2009
|
|
2 |
p. 125-140
|
artikel
|
| 3 |
A four-factor stochastic volatility model of commodity prices
|
Schöne, Max F.
|
|
2016
|
|
2 |
p. 135-165
|
artikel
|
| 4 |
A general framework for the derivation of asset price bounds: an application to stochastic volatility option models
|
Bondarenko, Oleg
|
|
2009
|
|
2 |
p. 81-107
|
artikel
|
| 5 |
A generalization of option pricing to price-limit markets
|
Guo, Jia-Hau
|
|
|
|
2 |
p. 145-161
|
artikel
|
| 6 |
A model-free approach to multivariate option pricing
|
Bernard, Carole
|
|
|
|
2 |
p. 135-155
|
artikel
|
| 7 |
A Model of the Convenience Yields in On-the-Run Treasuries
|
Joseph A. Cherian
|
|
2004
|
|
2 |
p. 79-97
19 p.
|
artikel
|
| 8 |
A Model of the Convenience Yields in On-the-Run Treasuries
|
Cherian, Joseph A.
|
|
2004
|
|
2 |
p. 79-97
|
artikel
|
| 9 |
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
|
Chen, Jie
|
|
|
|
2 |
p. 189-232
|
artikel
|
| 10 |
Analytical pricing of American options
|
Cheng, Jun
|
|
2012
|
|
2 |
p. 157-192
|
artikel
|
| 11 |
An empirical analysis of alternative recovery risk models and implied recovery rates
|
Zhang, Frank Xiaoling
|
|
2009
|
|
2 |
p. 101-124
|
artikel
|
| 12 |
A new approach for option pricing under stochastic volatility
|
Carr, Peter
|
|
2008
|
|
2 |
p. 87-150
|
artikel
|
| 13 |
Approaching rainfall-based weather derivatives pricing and operational challenges
|
Martínez Salgueiro, Andrea
|
|
|
|
2 |
p. 163-190
|
artikel
|
| 14 |
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
|
Li, Minqiang
|
|
2009
|
|
2 |
p. 177-217
|
artikel
|
| 15 |
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
|
Lars Stentoft
|
|
2004
|
|
2 |
p. 129-168
40 p.
|
artikel
|
| 16 |
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
|
Stentoft, Lars
|
|
2004
|
|
2 |
p. 129-168
|
artikel
|
| 17 |
Asset pricing under information with stochastic volatility
|
Düring, Bertram
|
|
2009
|
|
2 |
p. 141-167
|
artikel
|
| 18 |
A Universal Lattice
|
Ren-Raw Chen
|
|
1999
|
|
2 |
p. 115-133
19 p.
|
artikel
|
| 19 |
A Universal Lattice
|
Chen, Ren-Raw
|
|
1999
|
|
2 |
p. 115-133
|
artikel
|
| 20 |
Bayesian estimation of the stochastic volatility model with double exponential jumps
|
Li, Jinzhi
|
|
|
|
2 |
p. 157-172
|
artikel
|
| 21 |
Corporate governance and hedge fund activism
|
Boyson, Nicole M.
|
|
2011
|
|
2 |
p. 169-204
|
artikel
|
| 22 |
Deep calibration of financial models: turning theory into practice
|
Büchel, Patrick
|
|
|
|
2 |
p. 109-136
|
artikel
|
| 23 |
Disagreement and Equilibrium Option Trading Volume
|
Mark A. Cassano
|
|
2002
|
|
2 |
p. 153-179
27 p.
|
artikel
|
| 24 |
Disagreement and Equilibrium Option Trading Volume
|
Cassano, Mark A.
|
|
2002
|
|
2 |
p. 153-179
|
artikel
|
| 25 |
Dissecting the tracking performance of regular and leveraged VIX ETPs
|
Tang, Hongfei
|
|
2018
|
|
2 |
p. 261-327
|
artikel
|
| 26 |
Dynamic Volatility Trading Strategies in the Currency OptionMarket
|
Dajiang Guo
|
|
2000
|
|
2 |
p. 133-154
22 p.
|
artikel
|
| 27 |
Dynamic Volatility Trading Strategies in the Currency Option Market
|
Guo, Dajiang
|
|
2000
|
|
2 |
p. 133-154
|
artikel
|
| 28 |
Effects of Callable Feature on Early Exercise Policy
|
Yue Kuen Kwok
|
|
2000
|
|
2 |
p. 189-211
23 p.
|
artikel
|
| 29 |
Effects of Callable Feature on Early Exercise Policy
|
Kwok, Yue Kuen
|
|
2000
|
|
2 |
p. 189-211
|
artikel
|
| 30 |
Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices
|
Tian-Shyr Dai
|
|
2002
|
|
2 |
p. 181-203
23 p.
|
artikel
|
| 31 |
Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices
|
Dai, Tian-Shyr
|
|
2002
|
|
2 |
p. 181-203
|
artikel
|
| 32 |
Efficiently pricing double barrier derivatives in stochastic volatility models
|
Escobar, Marcos
|
|
2013
|
|
2 |
p. 191-216
|
artikel
|
| 33 |
Efficient Option Replication in the Presence of TransactionsCosts
|
Lionel Martellini
|
|
2000
|
|
2 |
p. 107-131
25 p.
|
artikel
|
| 34 |
Efficient Option Replication in the Presence of Transactions Costs
|
Martellini, Lionel
|
|
2000
|
|
2 |
p. 107-131
|
artikel
|
| 35 |
Equilibrium exercise of European warrants
|
Kapadia, Nikunj
|
|
2011
|
|
2 |
p. 129-156
|
artikel
|
| 36 |
Erratum to: The valuation of forward-start rainbow options
|
Chen, Chun-Ying
|
|
2015
|
|
2 |
p. 189
|
artikel
|
| 37 |
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
|
Carl Chiarella
|
|
2003
|
|
2 |
p. 129-155
27 p.
|
artikel
|
| 38 |
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
|
Chiarella, Carl
|
|
2003
|
|
2 |
p. 129-155
|
artikel
|
| 39 |
Guest editorial: Special issue on hedge funds
|
Agarwal, Vikas
|
|
2011
|
|
2 |
p. 115-116
|
artikel
|
| 40 |
How fair-value accounting can influence firm hedging
|
Beisland, Leif Atle
|
|
2012
|
|
2 |
p. 193-217
|
artikel
|
| 41 |
Implied volatility and skewness surface
|
Feunou, Bruno
|
|
2017
|
|
2 |
p. 167-202
|
artikel
|
| 42 |
Manager fee contracts and managerial incentives
|
Zhan, Gong
|
|
2011
|
|
2 |
p. 205-239
|
artikel
|
| 43 |
Migrate or not? The effects of regulation SHO on options trading activities
|
Li, Yubin
|
|
2015
|
|
2 |
p. 113-146
|
artikel
|
| 44 |
Minimum Option Prices Under Decreasing Absolute Risk Aversion
|
Kamlesh Mathur
|
|
1999
|
|
2 |
p. 135-156
22 p.
|
artikel
|
| 45 |
Minimum Option Prices Under Decreasing Absolute Risk Aversion
|
Mathur, Kamlesh
|
|
1999
|
|
2 |
p. 135-156
|
artikel
|
| 46 |
Minimum return guarantees, investment caps, and investment flexibility
|
Mahayni, Antje
|
|
2015
|
|
2 |
p. 85-111
|
artikel
|
| 47 |
Model misspecification analysis for bond options and Markovian hedging strategies
|
Bossy, Mireille
|
|
2007
|
|
2 |
p. 109-135
|
artikel
|
| 48 |
New solvable stochastic volatility models for pricing volatility derivatives
|
Itkin, Andrey
|
|
2012
|
|
2 |
p. 111-134
|
artikel
|
| 49 |
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
|
Vitiello, Luiz
|
|
2013
|
|
2 |
p. 241-259
|
artikel
|
| 50 |
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter
|
Galeeva, Roza
|
|
|
|
2 |
p. 173-187
|
artikel
|
| 51 |
On the Information in the Interest Rate Term Structure and Option Prices
|
Frank de Jong
|
|
2004
|
|
2 |
p. 99-127
29 p.
|
artikel
|
| 52 |
On the Information in the Interest Rate Term Structure and Option Prices
|
de Jong, Frank
|
|
2004
|
|
2 |
p. 99-127
|
artikel
|
| 53 |
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
|
Manuel Moreno
|
|
2003
|
|
2 |
p. 107-128
22 p.
|
artikel
|
| 54 |
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
|
Moreno, Manuel
|
|
2003
|
|
2 |
p. 107-128
|
artikel
|
| 55 |
On the Upper Bound of a Call Option
|
Handley, John C.
|
|
2005
|
|
2 |
p. 85-95
|
artikel
|
| 56 |
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
|
Gerer, Johannes
|
|
2017
|
|
2 |
p. 175-199
|
artikel
|
| 57 |
Option Prices Under Generalized Pricing Kernels
|
Düring, Bertram
|
|
2005
|
|
2 |
p. 97-123
|
artikel
|
| 58 |
Option pricing model with sentiment
|
Yang, Chunpeng
|
|
2016
|
|
2 |
p. 147-164
|
artikel
|
| 59 |
Option pricing when correlations are stochastic: an analytical framework
|
Fonseca, José Da
|
|
2008
|
|
2 |
p. 151-180
|
artikel
|
| 60 |
Options on the Minimum or the Maximum of Two Average Prices
|
Xueping Wu
|
|
1999
|
|
2 |
p. 183-204
22 p.
|
artikel
|
| 61 |
Options on the Minimum or the Maximum of Two Average Prices
|
Wu, Xueping
|
|
1999
|
|
2 |
p. 183-204
|
artikel
|
| 62 |
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
|
Chan, Ron Tat Lung
|
|
2013
|
|
2 |
p. 161-189
|
artikel
|
| 63 |
Options with Constant Underlying Elasticity in Strikes
|
Blenman, Lloyd P.
|
|
2005
|
|
2 |
p. 67-83
|
artikel
|
| 64 |
Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe
|
Hippert, Benjamin
|
|
2018
|
|
2 |
p. 203-259
|
artikel
|
| 65 |
Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option
|
Rathgeber, Andreas W.
|
|
2014
|
|
2 |
p. 107-143
|
artikel
|
| 66 |
Pricing cross-currency interest rate swaps under the Levy market model
|
Wang, Ming-Chieh
|
|
2018
|
|
2 |
p. 329-355
|
artikel
|
| 67 |
Pricing exotic options in a regime switching economy: a Fourier transform method
|
Hieber, Peter
|
|
2017
|
|
2 |
p. 231-252
|
artikel
|
| 68 |
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
|
Itkin, Andrey
|
|
2009
|
|
2 |
p. 141-176
|
artikel
|
| 69 |
Pricing the Risks of Default: A Note on Madan and Unal
|
Peter Grundke
|
|
2004
|
|
2 |
p. 169-173
5 p.
|
artikel
|
| 70 |
Pricing the Risks of Default: A Note on Madan and Unal
|
Grundke, Peter
|
|
2004
|
|
2 |
p. 169-173
|
artikel
|
| 71 |
Rainbow trend options: valuation and applications
|
Wang, Jr-Yan
|
|
2016
|
|
2 |
p. 91-133
|
artikel
|
| 72 |
Risk-adjusted option-implied moments
|
Brinkmann, Felix
|
|
2017
|
|
2 |
p. 149-173
|
artikel
|
| 73 |
Seasonal and stochastic effects in commodity forward curves
|
Borovkova, Svetlana
|
|
2007
|
|
2 |
p. 167-186
|
artikel
|
| 74 |
Stochastic Duration and Fast Coupon Bond Option Pricingin Multi-Factor Models
|
Claus Munk
|
|
1999
|
|
2 |
p. 157-181
25 p.
|
artikel
|
| 75 |
Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models
|
Munk, Claus
|
|
1999
|
|
2 |
p. 157-181
|
artikel
|
| 76 |
Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks
|
Hoi Ying Wong
|
|
2003
|
|
2 |
p. 83-106
24 p.
|
artikel
|
| 77 |
Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks
|
Wong, Hoi Ying
|
|
2003
|
|
2 |
p. 83-106
|
artikel
|
| 78 |
Tax liens: a novel application of asset pricing theory
|
Jarrow, Robert A.
|
|
2008
|
|
2 |
p. 181-204
|
artikel
|
| 79 |
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
|
Griebsch, Susanne A.
|
|
2012
|
|
2 |
p. 135-165
|
artikel
|
| 80 |
The financial crisis and hedge fund returns
|
Bollen, Nicolas P. B.
|
|
2011
|
|
2 |
p. 117-135
|
artikel
|
| 81 |
The global minimum variance hedge
|
Chiu, Wan-Yi
|
|
|
|
2 |
p. 121-144
|
artikel
|
| 82 |
The impact of non-cash collateralization on the over-the-counter derivatives markets
|
Takino, Kazuhiro
|
|
|
|
2 |
p. 137-171
|
artikel
|
| 83 |
The impact of the leverage effect on the implied volatility smile: evidence for the German option market
|
Rathgeber, A. W.
|
|
|
|
2 |
p. 95-133
|
artikel
|
| 84 |
The option CAPM and the performance of hedge funds
|
Diez de los Rios, Antonio
|
|
2011
|
|
2 |
p. 137-167
|
artikel
|
| 85 |
The price discovery of day trading activities in futures market
|
Chen, Ming-Hsien
|
|
2014
|
|
2 |
p. 217-239
|
artikel
|
| 86 |
The Pricing of Bermudan-Style Options on Correlated Assets
|
Sandra J. Peterson
|
|
2002
|
|
2 |
p. 127-151
25 p.
|
artikel
|
| 87 |
The Pricing of Bermudan-Style Options on Correlated Assets
|
Peterson, Sandra J.
|
|
2002
|
|
2 |
p. 127-151
|
artikel
|
| 88 |
The role of hedge funds as primary lenders
|
Agarwal, Vikas
|
|
2011
|
|
2 |
p. 241-261
|
artikel
|
| 89 |
The smirk in the S&P500 futures options prices: a linearized factor analysis
|
Carverhill, Andrew
|
|
2009
|
|
2 |
p. 109-139
|
artikel
|
| 90 |
The valuation and information content of options on crude-oil futures contracts
|
Murphy, Finbarr
|
|
2014
|
|
2 |
p. 95-106
|
artikel
|
| 91 |
The valuation of forward-start rainbow options
|
Chen, Chun-Ying
|
|
2014
|
|
2 |
p. 145-188
|
artikel
|
| 92 |
The value of power-related options under spectrally negative Lévy processes
|
Aguilar, Jean-Philippe
|
|
|
|
2 |
p. 173-196
|
artikel
|
| 93 |
The volatility target effect in structured investment products with capital protection
|
Albeverio, Sergio
|
|
2017
|
|
2 |
p. 201-229
|
artikel
|
| 94 |
Tighter Option Bounds from Multiple Exercise Prices
|
Peter J. Ryan
|
|
2000
|
|
2 |
p. 155-188
34 p.
|
artikel
|
| 95 |
Tighter Option Bounds from Multiple Exercise Prices
|
Ryan, Peter J.
|
|
2000
|
|
2 |
p. 155-188
|
artikel
|
| 96 |
Unifying exotic option closed formulas
|
Veiga, Carlos
|
|
2011
|
|
2 |
p. 99-128
|
artikel
|
| 97 |
Valuation of American partial barrier options
|
Jun, Doobae
|
|
2012
|
|
2 |
p. 167-191
|
artikel
|
| 98 |
Valuation of vulnerable American options with correlated credit risk
|
Chang, Lung-Fu
|
|
2007
|
|
2 |
p. 137-165
|
artikel
|
| 99 |
Yield curves from different bond data sets
|
Díaz, Antonio
|
|
|
|
2 |
p. 191-226
|
artikel
|
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