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Displaced Diffusion Option Pricing

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Author Info
Rubinstein, Mark
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 38 (1983)
Issue (Month): 1 (March)
Pages: 213-17
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Handle: RePEc:bla:jfinan:v:38:y:1983:i:1:p:213-17

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  1. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Ibmec Working Papers wpe_87, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
  2. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
    Other versions:
    • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  3. Robert Geske & Walter Torous, 1987. "Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1194, Anderson Graduate School of Management, UCLA. [Downloadable!]
  4. Jackwerth, Jens Carsten & Rubinstein, Mark, 2003. "Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns," MPRA Paper 11638, University Library of Munich, Germany, revised 2004. [Downloadable!]
  5. Günter Franke & James Huang & Richard Stapleton, 2007. "Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options," CoFE Discussion Paper 07-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  6. Michael Crouhy & Dan Galai, 1984. "A New Look at the Theory of Financial Intermediation," University of California at Los Angeles, Anderson Graduate School of Management 1220, Anderson Graduate School of Management, UCLA. [Downloadable!]
  7. Lüders, Erik & Schröder, Michael, 2004. "Modeling Asset Returns : A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  8. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  9. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December. [Downloadable!] (restricted)
  10. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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