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Nonlinearities And Chaotic Effects In Options Prices

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  • SAVIT, R.
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    Bibliographic Info

    Paper provided by Columbia - Center for Futures Markets in its series Papers with number 184.

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    Length: 15 pages
    Date of creation: 1989
    Date of revision:
    Handle: RePEc:fth:colufu:184

    Contact details of provider:
    Postal: COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A..
    Phone: (212) 854-5553
    Web page: http://www.columbia.edu/cu/business/
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    Keywords: prices ; market ; statistical analysis;

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    Cited by:
    1. El Shazly, Mona R. & El Shazly, Hassan E., 1997. "Comparing the forecasting performance of neural networks and forward exchange rates," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 345-356, December.
    2. Panas, Epaminondas & Ninni, Vassilia, 2000. "Are oil markets chaotic? A non-linear dynamic analysis," Energy Economics, Elsevier, vol. 22(5), pages 549-568, October.
    3. El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On the pricing and hedging of options for highly volatile periods," MPRA Paper 45272, University Library of Munich, Germany.
    4. Moosa, Imad A. & Silvapulle, Param, 2000. "The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 11-30, February.
    5. Chen, Shu-Heng & Yeh, Chia-Hsuan, 1997. "Toward a computable approach to the efficient market hypothesis: An application of genetic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1043-1063, June.
    6. El Shazly, Mona R. & El Shazly, Hassan E., 1999. "Forecasting currency prices using a genetically evolved neural network architecture," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 67-82.

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