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ArticleA general closed form option pricing formula

Ciprian Necula2018

OA

Articlegreen2018

A general closed form option pricing formula

Ciprian Necula · Gabriel G. Drimus · Walter Farkas

16 citations·0/0 files stored·Review of Derivatives Research

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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 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1997Empirical Performance of Alternative Option Pricing Models 2002A Jump-Diffusion Model for Option Pricing 2002Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

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Year2018

Typearticle

Published2018-05-19

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-018-9144-z

openalex_workW3122635871

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