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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-011.

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Length: 20 pages
Date of creation: Mar 2005
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2005-011

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Find related papers by JEL classification:

• G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-11-19 (All new papers)
• NEP-FIN-2005-11-19 (Finance)

References

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1. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-52.
2. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
   
   • Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.

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Cited by:

1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
   
   • Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," SFB 649 Discussion Papers SFB649DP2010-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
   • Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," Papers 1010.1617, arXiv.org.
   • Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Technology.
2. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
   
   • Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.
3. Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
4. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, Reading University, revised Jun 2009.
5. A. S. Hurn & K. A. Lindsay & A. J. Mcclelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.

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