OPTION PRICING WHEN THE VARIANCE IS CHANGING

被引：160

|

作者：

JOHNSON, H

SHANNO, D

机构：

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1987年 / 22卷 / 02期

关键词：

D O I：

10.2307/2330709

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：143 / 151

页数：9

相关论文

共 50 条

[1] OPTION PRICING WHEN THE VARIANCE CHANGES RANDOMLY - THEORY, ESTIMATION, AND AN APPLICATION
SCOTT, LO
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1987, 22 (04) : 419 - 438
[2] Variance Reduction Techniques in Variance Gamma Option Pricing
Abdurakhman
IAENG International Journal of Computer Science, 2023, 50 (03)
[3] Option pricing for infinite variance data
Ishwaran, Hemant
Jahandideh, Mohammad T.
Zarepour, Mahmoud
STATISTICS, 2008, 42 (03) : 245 - 260
[4] Rough stochastic elasticity of variance and option pricing
Cao, Jiling
Kim, Jeong-Hoon
Kim, See-Woo
Zhang, Wenjun
FINANCE RESEARCH LETTERS, 2020, 37
[5] A variance reduction technique for American option pricing
Moreni, N
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2004, 338 (1-2) : 292 - 295
[6] A note on option pricing for the constant elasticity of variance model
Delbaen F.
Shirakawa H.
Asia-Pacific Financial Markets, 2002, 9 (2) : 85 - 99
[7] COMPUTING THE CONSTANT ELASTICITY OF VARIANCE OPTION PRICING FORMULA
SCHRODER, M
JOURNAL OF FINANCE, 1989, 44 (01): : 211 - 219
[8] Multinomial method for option pricing under Variance Gamma
Cantarutti, Nicola
Guerra, Joao
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019, 96 (06) : 1087 - 1106
[9] A Study of Option Pricing Using Variance Gamma Process
Lee, Hyuneui
Song, Seongjoo
KOREAN JOURNAL OF APPLIED STATISTICS, 2012, 25 (01) : 55 - 66
[10] A study of variance reduction techniques for American option pricing
Lemieux, C
La, J
PROCEEDINGS OF THE 2005 WINTER SIMULATION CONFERENCE, VOLS 1-4, 2005, : 1884 - 1891

← 1 2 3 4 5 →