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The approximate option pricing model: performances and dynamic properties

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Author Info
Capelle-Blancard, Gunther
Jurczenko, Emmanuel
Maillet, Bertrand

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File URL: http://www.sciencedirect.com/science/article/B6VGV-43TG01T-7/2/5fb71ff3e5453abc4e664acaa58ab1c7
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 11 (2001)
Issue (Month): 4-5 (December)
Pages: 427-443
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Handle: RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:427-443

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Web page: http://www.elsevier.com/locate/mulfin

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  1. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI. [Downloadable!]
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  2. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404. [Downloadable!]
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This page was last updated on 2009-12-30.

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