The Valuation of Options When Asset Returns Are Generated by a Binomial Process
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Cited by:
- Guidolin, Massimo & Timmermann, Allan, 2003.
"Option prices under Bayesian learning: implied volatility dynamics and predictive densities,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
- Allan Timmermann & Massimo Guidolin, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers dp397, Financial Markets Group.
- Guidolin, Massimo & Timmermann, Allan, 2001. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," LSE Research Online Documents on Economics 119091, London School of Economics and Political Science, LSE Library.
- Timmermann, Allan & Guidolin, Massimo, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers.
- Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
- Rosenberg, Joshua V., 1998.
"Pricing multivariate contingent claims using estimated risk-neutral density functions,"
Journal of International Money and Finance, Elsevier, vol. 17(2), pages 229-247, April.
- Joshua Rosenberg, 1996. "Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-36, New York University, Leonard N. Stern School of Business-.
- Joshua Rosenberg, 1997. "Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-057, New York University, Leonard N. Stern School of Business-.
- repec:dgr:rugsom:00e08 is not listed on IDEAS
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Properties of equilibrium asset prices under alternative learning schemes,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
- Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
- J. Austin Murphy, 1990. "A Modification and Re-Examination of the Bachelier Option Pricing Model," The American Economist, Sage Publications, vol. 34(2), pages 34-41, October.
- Benninga, Simon & Mayshar, Joram, 2000. "Heterogeneity and option pricing," Research Report 00E08, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Kamlesh Mathur & Peter Ritchken, 1999. "Minimum option prices under decreasing absolute risk aversion," Review of Derivatives Research, Springer, vol. 3(2), pages 135-156, May.
- Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
- Liu, Yu-hong & Jiang, I-ming, 2012. "Influence of investor subjective judgments in investment decision-making," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 129-142.
- Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
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