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An enhanced implied tree model for option pricing: A study on Hong Kong property stock options

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  • Hui, Eddie Chi-man
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4GDSCDW-1/2/3e7cb4e9e979f01488880c01e05ef131
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    Bibliographic Info

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

    Volume (Year): 15 (2006)
    Issue (Month): 3 ()
    Pages: 324-345

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    Handle: RePEc:eee:reveco:v:15:y:2006:i:3:p:324-345

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

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    1. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    2. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    3. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    4. Rubinstein, Mark, 1985. " Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978," Journal of Finance, American Finance Association, vol. 40(2), pages 455-80, June.
    5. 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.
    6. 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.
    7. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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    Cited by:
    1. Szu, Wen-Ming & Wang, Ming-Chun & Yang, Wan-Ru, 2011. "The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 826-838, October.

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