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Option pricing : A review
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Cited by:
- Weiyu Guo & Tie Su, 2006. "Option Put-Call Parity Relations When the Underlying Security Pays Dividends," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(3), pages 225-230, December.
- Calum G. Turvey & Shihong Yin, 2002.
"On the Pricing of Cross Currency Futures Options for Canadian Grains and Livestock,"
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 50(3), pages 317-332, November.
- Turvey, Calum G. & Yin, Shihong, 2002. "On The Pricing Of Cross Currency Futures Options For Canadian Grains And Livestock," Working Papers 34123, University of Guelph, Department of Food, Agricultural and Resource Economics.
- Hsinan Hsu & Emily Ho, 2012. "The Optimal Total Costs for Writing a Straddle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 11(1), pages 13-24, June.
- McGoun, Elton G., 2003. "Finance models as metaphors," International Review of Financial Analysis, Elsevier, vol. 12(4), pages 421-433.
- Linda M. Hooks & Kenneth J. Robinson, 1996. "Moral hazard and Texas banking in the 1920s," Financial Industry Studies Working Paper 96-1, Federal Reserve Bank of Dallas.
- Merton, Robert, 1990.
"Capital market theory and the pricing of financial securities,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581,
Elsevier.
- Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Chen, Ming & Chen, Zhi-Long, 2019. "Uncertain about your travel plan? Lock it and decide later: Dynamic pricing with a fare-lock option," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 1-26.
- Robert McDonald & Daniel Siegel, 1981. "Option Pricing When the Underlying Asset is Non-Stored," Discussion Papers 512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Marianne Gizycki & Mark Levonian, 1993. "A Decade of Australian Banking Risk: Evidence from Share Prices," RBA Research Discussion Papers rdp9302, Reserve Bank of Australia.
- Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
- Georgievski, Alex & Masih, A. Mansur M., 2004. "An analysis of option pricing under systematic consumption risk using GARCH," Research in International Business and Finance, Elsevier, vol. 18(2), pages 151-171, June.
- Chung, Y. Peter & Johnson, Herb, 2011. "Extendible options: The general case," Finance Research Letters, Elsevier, vol. 8(1), pages 15-20, March.
- Mark Levonian & Sarah Kendall, 1992. "A Contingent Claim Analysis of Risk-based Capital Standards for Banks," RBA Research Discussion Papers rdp9210, Reserve Bank of Australia.
- Gary L. Trennepohl & William P. Dukes, 1979. "Return And Risk From Listed Option Investments," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 37-49, March.
- Andrew H Chen & Kenneth J Robinson & Thomas F Siems, 2004.
"The wealth effects from a subordinated debt policy: evidence from passage of the Gramm–Leach–Bliley Act,"
Review of Financial Economics, John Wiley & Sons, vol. 13(1-2), pages 103-119.
- Chen, Andrew H. & Robinson, Kenneth J. & Siems, Thomas F., 2004. "The wealth effects from a subordinated debt policy: evidence from passage of the Gramm-Leach-Bliley Act," Review of Financial Economics, Elsevier, vol. 13(1-2), pages 103-119.
- Yibing Chen & Cheng-Few Lee & John Lee & Jow-Ran Chang, 2018. "Alternative Methods to Estimate Implied Variance: Review and Comparison," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-28, December.
- J. Huston McCulloch, 2004. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion," Computing in Economics and Finance 2004 13, Society for Computational Economics.
- Meng Li & Anirban Basu & Caroline S. Bennette & David L. Veenstra & Louis P. Garrison, 2019. "Do cancer treatments have option value? Real‐world evidence from metastatic melanoma," Health Economics, John Wiley & Sons, Ltd., vol. 28(7), pages 855-867, July.
- Alan Marcus, 1987.
"Corporate Pension Policy and the Value of PBGC Insurance,"
NBER Chapters, in: Issues in Pension Economics, pages 49-80,
National Bureau of Economic Research, Inc.
- Alan J. Marcus, 1983. "Corporate Pension Policy and the Value of PBGC Insurance," NBER Working Papers 1217, National Bureau of Economic Research, Inc.
- Dan W. French & Glenn V. Henderson Jr., 1981. "Substitute Hedged Option Portfolios: Theory And Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 21-31, March.
- Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
- Pennings, Enrico & Lint, Onno, 2000. "Market entry, phased rollout or abandonment? A real option approach," European Journal of Operational Research, Elsevier, vol. 124(1), pages 125-138, July.
- Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
- Kasprowicz Tomasz & Bednorz Andrzej, 2017. "Threshold Theory – modelling risk attitude," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 97-109, December.
- Merton, Robert C., 1993.
"On the microeconomic theory of investment under uncertainty,"
Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669,
Elsevier.
- Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Carola Frydman & Raven E. Saks, 2010.
"Executive Compensation: A New View from a Long-Term Perspective, 1936--2005,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2099-2138.
- Carola Frydman & Raven E. Saks, 2007. "Executive compensation: a new view from a long-term perspective, 1936-2005," Finance and Economics Discussion Series 2007-35, Board of Governors of the Federal Reserve System (U.S.).
- Carola Frydman & Raven E. Saks, 2008. "Executive Compensation: A New View from a Long-Term Perspective, 1936-2005," NBER Working Papers 14145, National Bureau of Economic Research, Inc.
- Stephen L. Taylor, 1990. "Put-Call Parity: Evidence From the Australian Options Market," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 203-216, June.
- Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
- J. Huston McCulloch, 2003.
"The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty,"
Working Papers
03-07, Ohio State University, Department of Economics.
- J. Huston McCulloch, 2004. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Econometric Society 2004 North American Winter Meetings 428, Econometric Society.
- Robert L. Brown & Dominique Achour, 1984. "The Pricing of Land Options," Urban Studies, Urban Studies Journal Limited, vol. 21(3), pages 317-323, August.
- Tannous, George F. & Mangiameli, Paul M., 1996. "Adding features to a product: A micro-economic model," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 149-173.
- Seo, Kyowon & Go, Sarang & Kim, Byungdo, 2020. "Pricing strategies under markets with time gap between purchase and consumption," Journal of Business Research, Elsevier, vol. 120(C), pages 312-320.
- Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, September.
- Robert J. Ritchey, 1990. "Call Option Valuation For Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, December.
- Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
- Catherine Chambers & Paul Chambers & John Whitehead, 1997. "Historical resources, uncertainty and preservation values: An application of option and optimal stopping models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 51-61, June.
- Ronald G. Storey & Cecil R. Dipchand, 1978. "Factors Related To The Conversion Record Of Convertible Securities: The Canadian Experience 1946–1975," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 1(1), pages 71-83, December.
- Lu, Jin-Ray & Yang, Ya-Huei, 2021. "Option valuations and asset demands and supplies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 49-64.
- Hauser, Robert J. & Anderson, Dane K., 1984. "Modifying Traditional Option Pricing Formulae For Options On Soybean Futures," 1984 Annual Meeting, August 5-8, Ithaca, New York 279099, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Peter A. Diamond & James Mirrlees, 1985. "Insurance Aspects of Pensions," NBER Chapters, in: Pensions, Labor, and Individual Choice, pages 317-356, National Bureau of Economic Research, Inc.
- Laurence R. Jacobson, 1983. "Speculation and hedging using options on future contracts," International Finance Discussion Papers 220, Board of Governors of the Federal Reserve System (U.S.).
- C. Elizabeth Plummer & Senyo Y. Tse, 1999. "The Effect of Limited Liability on the Informativeness of Earnings: Evidence from the Stock and Bond Markets," Contemporary Accounting Research, John Wiley & Sons, vol. 16(3), pages 541-574, September.
- Joseph K. Cheung, 1989. "On the nature of deferred income taxes," Contemporary Accounting Research, John Wiley & Sons, vol. 5(2), pages 625-641, March.
- Gary Trennepohl, 1981. "A Comparison Of Listed Option Premiums And Black And Scholes Model Prices: 1973–1979," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 11-20, March.
- Merton, Robert C., 1976. "Continuous-time portfolio theory and the pricing of contingent claims," Working papers 881-76., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- John D. Stowe & Michael C. Walker, 1980. "The Effect of Executive Stock Options on Corporate Financial Decisions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 69-83, March.
- Josheski Dushko & Apostolov Mico, 2020. "A Review of the Binomial and Trinomial Models for Option Pricing and their Convergence to the Black-Scholes Model Determined Option Prices," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 53-85, June.
- Ramesh K.S. Rao, 1981. "Modern Option Pricing Models: A Dichotomous Classification," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 33-44, March.
- Fabio Pizzutilo & Francesco Cal, 2015. "Loan Guarantees: An Option Pricing Theory Perspective," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 905-909.
- Jacky C. So & Rakesh Bharati & Susan Crain, 2001. "Risk-Taking, Agency Problem, and Small Business Loan Guarantee: An Application of Option Pricing Theory," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 6(1), pages 24-43, Spring.
- Peter Reichling & Anastasiia Zbandut, 2017. "Costs of capital under credit risk," FEMM Working Papers 170003, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
- Kwan, Simon H., 1996. "Firm-specific information and the correlation between individual stocks and bonds," Journal of Financial Economics, Elsevier, vol. 40(1), pages 63-80, January.
- David M. Kreps, 1982. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model," NBER Chapters, in: The Economics of Information and Uncertainty, pages 203-232, National Bureau of Economic Research, Inc.
- Wang, Zhongxing & Yan, Yan & Chen, Xiaosong, 2017. "Long-range correlation and market segmentation in bond market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 477-485.
- Gersovitz, Mark, 1982.
"Economic consequences of unfunded vested pension benefits,"
Journal of Public Economics, Elsevier, vol. 19(2), pages 171-186, November.
- Mark Gersovitz, 1980. "Economic Consequences of Unfunded Vested Pension Benefits," NBER Working Papers 0480, National Bureau of Economic Research, Inc.