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Valuing Target Price Support Programs with Average Option Pricing
16 references·0 citing·31 second hopsampled
Valuing Target Price Support Programs with Average Option Pricing (1995)Valuing Target Price Support Programs wit…Theory of rational option pricing (2005)Theory of rational option pri…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…A pricing method for options based on average asset values (1990)A pricing method for options …The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)The Distribution of Futures P…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance is Changing (1987)Option Pricing when the Varia…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Users of the world, unite! The challenges and opportunities of Social Media (2009)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Measuring and Testing the Impact of News on Volatility (1993)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1977Options: A Monte Carlo approach1,367 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,134 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1987Option Pricing when the Variance is Changing377 cited
  • 1989

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The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses
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