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Option Profit and Loss Attribution and Pricing: A New Framework · Study

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ArticleOption Profit and Loss Attribution and Pricing: A New Framework

Peter Carr2018

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Articlegreen2018

Option Profit and Loss Attribution and Pricing: A New Framework

Peter Carr · Liuren Wu

44 citations·0/0 files stored·The Journal of 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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 1954Existence of an Equilibrium for a Competitive Economy 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997Empirical Performance of Alternative Option Pricing Models 1900Théorie de la spéculation 2002The jump-risk premia implicit in options: evidence from an integrated time-series study

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Year2018

Typearticle

Published2018-01-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/jofi.12894

openalex_workW2890796053

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