OPTION PRICING WHEN THE VARIANCE IS CHANGING

被引：160
|
作者：
JOHNSON, H
SHANNO, D
机构：
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1987年 / 22卷 / 02期
关键词：
D O I：
10.2307/2330709
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：143 / 151
页数：9
相关论文
共 50 条
  • [41] Option pricing when the regime-switching risk is priced
    Tak Kuen Siu
    Hailiang Yang
    Acta Mathematicae Applicatae Sinica, English Series, 2009, 25 : 369 - 388
  • [42] On A Variance Gamma Model (VGM) in Option Pricing: A Difference of Two Gamma Processes
    Adeosun, M. E.
    Edeki, S. O.
    Ugbebor, O. O.
    JOURNAL OF INFORMATICS AND MATHEMATICAL SCIENCES, 2016, 8 (01): : 1 - 16
  • [43] Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy Process
    Zhang, Huiming
    Watada, Junzo
    INTELLIGENT DECISION TECHNOLOGIES 2017, KES-IDT 2017, PT II, 2018, 73 : 105 - 116
  • [44] Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing
    Kebaier, A
    ANNALS OF APPLIED PROBABILITY, 2005, 15 (04): : 2681 - 2705
  • [45] Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
    Hsu, Y. L.
    Lin, T. I.
    Lee, C. F.
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2008, 79 (01) : 60 - 71
  • [46] A new variance reduction method for option pricing based on sampling the vertices of a simplex
    Park, Jong Jun
    Choe, Geon Ho
    QUANTITATIVE FINANCE, 2016, 16 (08) : 1165 - 1173
  • [47] Willow Tree Method for European and American Option Pricing Under Variance Gamma Model
    Yao Y.
    Xu W.
    Tongji Daxue Xuebao/Journal of Tongji University, 2020, 48 (08): : 1232 - 1240
  • [48] IMPLEMENTING OPTION PRICING-MODELS WHEN ASSET RETURNS ARE PREDICTABLE
    LO, AW
    WANG, J
    JOURNAL OF FINANCE, 1995, 50 (01): : 87 - 129
  • [49] An option pricing by eliminating observation noise when the model parameters are unknown
    Tsukui, M
    Furuta, K
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1997, 28 (12) : 1259 - 1283
  • [50] Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
    Buchmann, Boris
    Kaehler, Benjamin
    Maller, Ross
    Szimayer, Alexander
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 127 (07) : 2208 - 2242
12345