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ArticleGeneralized parameter functions for option pricing

Panayiotis C. Andreou2009

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Articlegreen2009

Generalized parameter functions for option pricing

Panayiotis C. Andreou · Christakis Charalambous · Spiros Harilaos Spiridon Martzoukos

35 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1994Implied Binomial Trees 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2000Post-'87 crash fears in the S&P 500 futures option market 1998Implied Volatility Functions: Empirical Tests

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Details

Year2009

Typearticle

Published2009-09-04

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2009.08.027

openalex_workW2129365748

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