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General Properties of Option Prices (Revision of 11-95) (Reprint 058)

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Yaacov Z. Bergman
Bruce D. Grundy
Zvi Wiener

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 01-96.

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Handle: RePEc:fth:pennfi:01-96

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  1. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics. [Downloadable!]
  2. Nicole Branger & Antje Mahayni, 2006. "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting 135, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  3. Lihui Zheng & Jin E. Zhang, 2000. "A Disturbance Attenuation Approach to Option Pricing with Transaction Costs," Finance Working Papers 233, East Asian Bureau of Economic Research. [Downloadable!]
  4. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies. [Downloadable!]
  5. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  6. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  7. Giuseppe Vulpes & Reint Gropp & Jukka M. Vesala, 2002. "Equity and bond market signals as leading indicators of bank fragility," Working Paper Series 150, European Central Bank. [Downloadable!]
    Other versions:
  8. Robert R. Bliss, 2000. "The pitfalls in inferring risk from financial market data," Working Paper Series WP-00-24, Federal Reserve Bank of Chicago. [Downloadable!]
  9. S. Müller, . "Initial Offerings of Options," Sonderforschungsbereich 373 2001-22, Humboldt Universitaet Berlin.
  10. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre. [Downloadable!]
  11. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  12. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  13. Reint Gropp & Jukka Vesala & Giuseppe Vulpes, 2004. "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 53-62. [Downloadable!]
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  14. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO. [Downloadable!]
  15. René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO. [Downloadable!]
    Other versions:
  16. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group. [Downloadable!]
  17. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany. [Downloadable!]
  18. Alexander David & Pietro Varonesi, 1999. "Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities," Finance and Economics Discussion Series 1999-47, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  19. Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance 0409004, EconWPA. [Downloadable!]
  20. Marco Fabio Delzio, 2004. "Pricing credit risk through equity options," Departmental Working Papers 198, Tor Vergata University, CEIS. [Downloadable!]
  21. Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies. [Downloadable!]
    Other versions:
  22. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April. [Downloadable!] (restricted)
  23. Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  24. José Fajardo & Ernesto Mordecki, 2009. "Skewness Premium with Lévy Processes," CREATES Research Papers 2009-10, School of Economics and Management, University of Aarhus. [Downloadable!]
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