The simulation of option prices with application to LIFFE options on futures
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Stephen Satchell & George Christodoulakis, 1996. "The Simulation of Option Prices with Application to LIFFE Options on Futures," Archive Working Papers 007, Birkbeck, Department of Economics, Mathematics & Statistics.
References listed on IDEAS
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Bates, David S, 1991. " The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 1009-1044, July.
- Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
- Brenner, Menachem & Galai, Dan, 1984. "On Measuring the Risk of Common Stocks Implied by Options Prices: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(04), pages 403-412, December.
- Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
- Robert JARROW & Andrew RUDD, 2008.
"Approximate Option Valuation For Arbitrary Stochastic Processes,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
- J. L. Knight & S. E. Satchell & K. C. Tran, 1995.
"Statistical modelling of asymmetric risk in asset returns,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 2(3), pages 155-172.
- Knight, J.L. & Stachell, S.E. & Tran, K.C., 1995. "Statistical Modeling of Asymetric Risk in Asset Returns," Papers 95-3, Saskatchewan - Department of Economics.
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:114:y:1999:i:2:p:249-262. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.