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.:
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- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
- 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.
- 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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