Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 7 (2010)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/business+%26+management/operations+research/journal/10287/PS2|
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.:
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
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.
- Martin Becker & Ralph Friedmann & Stefan Klößner & Walter Sanddorf-Köhle, 2007. "A Hausman test for Brownian motion," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(1), pages 3-21, March.
- Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
- Michael W. Brandt & Francis X. Diebold, 2006.
"A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations,"
The Journal of Business,
University of Chicago Press, vol. 79(1), pages 61-74, January.
- Brandt, Michael W. & Diebold, Francis X., 2004. "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series 2004/07, Center for Financial Studies (CFS).
- Michael W. Brandt & Francis X. Diebold, 2001. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive 03-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2003.
- Michael W. Brandt & Francis X. Diebold & April, . "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Center for Financial Institutions Working Papers 03-15, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- Paolo Baldi & Lucia Caramellino & Maria Gabriella Iovino, 1999. "Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 293-321.
- Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
When requesting a correction, please mention this item's handle: RePEc:spr:comgts:v:7:y:2010:i:1:p:1-17. 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: (Sonal Shukla)or (Rebekah McClure)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
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 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.