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An Alternative Valuation Model for Contingent Claims · Study

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PreprintAn Alternative Valuation Model for Contingent Claims

Zhiwu Chen1996

OA

Preprintgreen1996

An Alternative Valuation Model for Contingent Claims

Zhiwu Chen · Gurdip Bakshi

36 citations·0/0 files stored·SSRN Electronic Journal

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 36 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2005Theory of rational option pricing 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1978Asset Prices in an Exchange Economy 1987The Pricing of Options on Assets with Stochastic Volatilities

Cited by

2011Generalized Transform Analysis of Affine Processes and Applications in Finance 2006Option pricing for a stochastic-volatility jump-diffusion model with log-uniform jump-amplitudes

Details

Year1996

Typepreprint

Published1996-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.40861

openalex_workW2033576256

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