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ArticleMartingale option pricing

Joseph L. McCauley2007

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Articlegreen2007

Martingale option pricing

Joseph L. McCauley · Gemunu H. Gunaratne · Kevin E. Bassler

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1979Martingales and arbitrage in multiperiod securities markets 1986Noise 2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets 2006Hurst exponents, Markov processes, and fractional Brownian motion 2003An empirical model of volatility of returns and option pricing

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2004The Price Impact and Survival of Irrational Traderspreprint · 3 shared references 1979Option pricing: A simplified approacharticle · 2 shared references 2001Valuing American Options by Simulation: A Simple Least-Squares Approacharticle · 2 shared references 1993Dynamic Asset Pricing Theory.article · 2 shared references 1981Martingales and stochastic integrals in the theory of continuous tradingarticle · 2 shared references 1999Modeling Term Structures of Defaultable Bondsarticle · 2 shared references

Details

Year2007

Typearticle

Published2007-03-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2007.02.038

openalex_workW1583312938

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