Variance Optimal Cap Pricing Models
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- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004.
"Option pricing with discrete rebalancing,"
Journal of Empirical Finance,
Elsevier, vol. 11(1), pages 133-161, January.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Center for Research in Economics and Statistics.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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KeywordsDiscount bond option; cap pricing formula; volatility smile; variance optimal measure; implied pricing model;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
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