The Simulation of Option Prices with Application to LIFFE Options on Futures
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Bibliographic InfoPaper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Archive Working Papers with number 007.
Date of creation: Jan 1996
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Other versions of this item:
- Christodoulakis, George A. & Satchell, Stephen E., 1999. "The simulation of option prices with application to LIFFE options on futures," European Journal of Operational Research, Elsevier, vol. 114(2), pages 249-262, April.
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.
- Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
- Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
- Jens Carsten Jackwerth and Mark Rubinstein., 1995. "Implied Probability Distributions: Empirical Analysis," Research Program in Finance Working Papers RPF-250, University of California at Berkeley.
- 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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