This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
J. Huston McCulloch ()
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://economics.sbs.ohio-state.edu/pdf/mcculloch/wp03-07.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Ohio State University, Department of Economics in its series Working Papers with number 03-07.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: Jun 2003
Date of revision:
Handle: RePEc:osu:osuewp:03-07

Contact details of provider:
Postal: 410 Arps Hall 1945 North High Street Columbus, Ohio 43210-1172

For technical questions regarding this item, or to correct its listing, contact: (John Slaughter).

Related research
Keywords:

References listed on IDEAS
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.:

  1. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre. [Downloadable!]
Full references

Cited by:
(explanations, 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.)

  1. Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Statistics
Access and download statistics

Did you know? About 750 journals are listed on RePEc.

This page was last updated on 2008-10-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.