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Conditional heteroskedasticity, asymmetry, and option pricing

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  • Taehoon Kang
  • B. Wade Brorsen

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  • Taehoon Kang & B. Wade Brorsen, 1995. "Conditional heteroskedasticity, asymmetry, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(8), pages 901-928, December.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:8:p:901-928
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    Cited by:

    1. Girardi, Daniele, 2012. "Do financial investors affect the price of wheat?," MPRA Paper 40285, University Library of Munich, Germany.
    2. Fernandez, Pablo & Ariño, Miguel A., 1996. "Divisas. Evolución y análisis de tipos de cambio (1980-1995)," IESE Research Papers D/315, IESE Business School.
    3. Marin Bozic, 2010. "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers 1003, The Institute of Economics, Zagreb.
    4. Siddiqi, Hammad, 2015. "Analogy Based Valuation of Commodity Options," Risk and Sustainable Management Group Working Papers 197334, University of Queensland, School of Economics.
    5. N'zue Fofana & B. Wade Brorsen, 2001. "GARCH option pricing with implied volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 335-340.
    6. 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.
    7. Schmitt, Christian & Kaehler, Jürgen, 1996. "Delta-neutral volatility trading with intra-day prices: an application to options on the DAX," ZEW Discussion Papers 96-25, ZEW - Leibniz Centre for European Economic Research.
    8. Siddiqi, Hammad, 2015. "Analogy based Valuation of Commodity Options," MPRA Paper 61083, University Library of Munich, Germany.

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