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An empirical model of volatility of returns and option pricing · Study

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ArticleAn empirical model of volatility of returns and option pricing

Joseph L. McCauley2003

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Articlegreen2003

An empirical model of volatility of returns and option pricing

Joseph L. McCauley · Gemunu H. Gunaratne

42 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1970Efficient Capital Markets: A Review of Theory and Empirical Work

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2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets 2004Applications of δ-function perturbation to the pricing of derivative securities 2007Martingale option pricing 2008Physical space and long-tail markets

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Year2003

Typearticle

Published2003-07-22

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0378-4371(03)00589-2

openalex_workW1507529068

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