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The Probability Density Function of Interest Rates Implied in the Price of Options · Study

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PreprintThe Probability Density Function of Interest Rates Implied in the Price of Options

Roberto Violi2006

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Preprintgreen2006

The Probability Density Function of Interest Rates Implied in the Price of Options

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

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1993A long memory property of stock market returns and a new model 1978Prices of State-Contingent Claims Implicit in Option Prices

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations62

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.899976

openalex_workW2102803256

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