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An empirical comparison of implied tree models for KOSPI 200 index options

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  • Kim, In Joon
  • Park, Gun Youb
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4F3FBJ8-1/2/e881ed6cb4c23d387164ebc6ec90d37b
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 15 (2006)
    Issue (Month): 1 ()
    Pages: 52-71

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    Handle: RePEc:eee:reveco:v:15:y:2006:i:1:p:52-71

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December.
    2. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 419-438, December.
    3. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 589-607, December.
    4. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    5. Ferris, Stephen P. & McInish, Thomas H. & Wood, Robert A., 1997. "Automated trade execution and trading activity: The case of the Vancouver stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 61-72, April.
    6. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Jackwerth, Jens Carsten, 1996. "Generalized Binomial Trees," MPRA Paper 11635, University Library of Munich, Germany, revised 12 May 1997.
    9. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    10. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    11. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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