SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

An Autoregressive Conditional Binomial Option Pricing Model · Study

ChapterShelves

ChapterAn Autoregressive Conditional Binomial Option Pricing Model

Jean‐Luc Prigent2002

OA

Chaptergreen2002

An Autoregressive Conditional Binomial Option Pricing Model

Jean‐Luc Prigent · Olivier M. Renault · Olivier Scaillet B

35 citations·0/0 files stored·Springer finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 35 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1979Option pricing: A simplified approach 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets

Cited by

2003Alternative asset-price dynamics and volatility smile 2006Econometric analysis of financial trade processes by discrete mixture duration models 2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature 2008A new marked point process model for the federal funds rate target

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Conservative delta hedgingarticle · 11 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2001Option Pricing with a General Marked Point Processarticle · 10 shared references 2010Analysis of High-Frequency Datachapter · 9 shared references 2001Financial econometrics: Past developments and future challengesarticle · 9 shared references 2000Discrete time option pricing with flexible volatility estimationarticle · 9 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-662-12429-1_17

openalex_workW1570233550

Links

Imported from OpenAlex (CC0) — nothing here is generated.