SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing European options with a log Student’s t-distribution: A Gosset formula
15 references·0 citing·31 second hop
Pricing European options with a log Student’s t-distribution: A Gosset formula (2010)Pricing European options with a log Stude…Introduction to Probability Models (2019)Introduction to Probability M…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact (2004)Exponential distribution of f…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The variation of certain speculative prices (1997)The variation of certain spec…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (1994)The Black-Scholes option pric…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The Stock Options Manual (1976)The Stock Options ManualA Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On a Theorem of De Finetti, Oddsmaking, and Game Theory (1972)On a Theorem of De Finetti, O…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 2019Introduction to Probability Models247 cited
  • 1994The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes169 cited
  • 2004Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact115 cited
  • 1972On a Theorem of De Finetti, Oddsmaking, and Game Theory66 cited
  • 1976The Stock Options Manual41 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

No citing works inside the corpus for this window.