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The approximate option pricing model: performances and dynamic properties

  • Capelle-Blancard, Gunther
  • Jurczenko, Emmanuel
  • Maillet, Bertrand

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File URL: http://www.sciencedirect.com/science/article/B6VGV-43TG01T-7/2/5fb71ff3e5453abc4e664acaa58ab1c7
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 11 (2001)
Issue (Month): 4-5 (December)
Pages: 427-443

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Handle: RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:427-443
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Frank Milne & Dilip Madan, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Papers 1158, Queen's University, Department of Economics.
  3. Stephen Satchell & John Knight & Soosung Hwang, 1999. "Forecasting Volatility using LINEX Loss Functions," Working Papers wp99-20, Warwick Business School, Finance Group.
  4. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
  5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  6. Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-90, June.
  7. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  8. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December.
  9. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
  10. Steven L. Heston & Saikat Nandi, 1997. "A closed-form GARCH option pricing model," Working Paper 97-9, Federal Reserve Bank of Atlanta.
  11. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 419-438, December.
  12. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
  13. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-47, July.
  14. Jati Sengupta & Yijuan Zheng, 1997. "Estimating skewness persistence in market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 549-558.
  15. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  16. Hwang, S. & Satchell, S. E., 1998. "Implied Volatility Forecasting: A Comparison of Different Procedures," Accounting and Finance Discussion Papers 98-af38, Faculty of Economics, University of Cambridge.
  17. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
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