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Two-State Volatility Transition Pricing and Hedging of TXO Options

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  • En-Der Su
  • Feng-Jeng Lin

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  • En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:3:p:259-287
    DOI: 10.1007/s10614-010-9247-6
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    Cited by:

    1. Su, EnDer & Wen Wong, Kai, 2019. "Testing the alternative two-state options pricing models: An empirical analysis on TXO," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 101-116.

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