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A unified method for pricing options on diffusion processes

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  • Goldenberg, David H.

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  • Goldenberg, David H., 1991. "A unified method for pricing options on diffusion processes," Journal of Financial Economics, Elsevier, vol. 29(1), pages 3-34, March.
    • Handle: RePEc:eee:jfinec:v:29:y:1991:i:1:p:3-34
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    Citations

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    Cited by:

    1. Omid M. Ardakani, 2022. "Option pricing with maximum entropy densities: The inclusion of higher‐order moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1821-1836, October.
    2. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
    3. Peter Løchte Jørgensen & Domenico De Giovanni, 2010. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(5), pages 399-430.
    4. Qiang Liu & Yuhan Jiao & Shuxin Guo, 2024. "Risk-neutral valuation of options under arithmetic Brownian motions," Papers 2405.11329, arXiv.org.
    5. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
    6. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
    7. 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.
    8. Glazyrina, Anna & Melnikov, Alexander, 2020. "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 156-167.
    9. Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
    10. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24/2005, University of Verona, Department of Economics.
    11. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
    12. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
    13. Alexander Melnikov & Hongxi Wan, 2021. "On modifications of the Bachelier model," Annals of Finance, Springer, vol. 17(2), pages 187-214, June.
    14. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
    15. Peter Carr & Andrey Itkin & Dmitry Muravey, 2020. "Semi-closed form prices of barrier options in the time-dependent CEV and CIR models," Papers 2005.05459, arXiv.org.
    16. Basso, A. & Pianca, P., 1999. "A more informative estimation procedure for the parameters of a diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 45-53.

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