The simulation of option prices with application to LIFFE options on futures
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 114 (1999)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/eor
Other versions of this item:
- Stephen Satchell & George Christodoulakis, 1996. "The Simulation of Option Prices with Application to LIFFE Options on Futures," Archive Working Papers 007, Birkbeck, Department of Economics, Mathematics & Statistics.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bates, David S, 1991. " The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 1009-44, July.
- Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
- Knight, J.L. & Stachell, S.E. & Tran, K.C., 1995.
"Statistical Modeling of Asymetric Risk in Asset Returns,"
95-3, Saskatchewan - Department of Economics.
- J. L. Knight & S. E. Satchell & K. C. Tran, 1995. "Statistical modelling of asymmetric risk in asset returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 155-172.
- Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
- Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
- Brenner, Menachem & Galai, Dan, 1984. "On Measuring the Risk of Common Stocks Implied by Options Prices: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(04), pages 403-412, December.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
- Jens Carsten Jackwerth and Mark Rubinstein., 1995. "Implied Probability Distributions: Empirical Analysis," Research Program in Finance Working Papers RPF-250, University of California at Berkeley.
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
- Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
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