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Nonlinearities and chaotic effects in options prices

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  • Robert Savit

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  • Robert Savit, 1989. "Nonlinearities and chaotic effects in options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(6), pages 507-518, December.
    • Handle: RePEc:wly:jfutmk:v:9:y:1989:i:6:p:507-518
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    Cited by:

    1. Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
    2. El-Khatib Youssef, 2014. "A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 45-50, November.
    3. Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Computation of second order price sensitivities in depressed markets," Papers 1705.02473, arXiv.org, revised Jan 2018.
    4. Costas Siriopoulos & Alexandros Leontitsis, 2002. "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 43-63, March.
    5. Paula L. Varson & Paul Doran, 1995. "The search for evidence of chaos in FTSE‐100 daily returns," European Financial Management, European Financial Management Association, vol. 1(2), pages 201-210, July.

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