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Option arbitrage and strategy with large price changes

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Author Info
Jones, E. Philip
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4M8W-1G/2/179e4bc91f45a2381427006b7c76c206
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 13 (1984)
Issue (Month): 1 (March)
Pages: 91-113
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Handle: RePEc:eee:jfinec:v:13:y:1984:i:1:p:91-113

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  2. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute. [Downloadable!]
  3. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer, vol. 15(2), pages 87-102, March. [Downloadable!] (restricted)
  4. Bhagwan Chowdhry, 1991. "International Debt Crisis and the Prices of Options of Bank Stocks," University of California at Los Angeles, Anderson Graduate School of Management 1173, Anderson Graduate School of Management, UCLA. [Downloadable!]
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This page was last updated on 2009-12-30.

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