메뉴 건너뛰기




Volumn 21, Issue 3, 2001, Pages 213-236

Option pricing based on the generalized lambda distribution

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035589068     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200103)21:3<213::AID-FUT2>3.0.CO;2-H     Document Type: Article
Times cited : (36)

References (43)
  • 1
    • 0039505965 scopus 로고    scopus 로고
    • Nonparamctric estimation of state-price densities implicit in financial asset prices
    • Ait-Sahalia, Y., & Lo, A. W. (1998). Nonparamctric estimation of state-price densities implicit in financial asset prices. Journal of Finance, 53, 499-547.
    • (1998) Journal of Finance , vol.53 , pp. 499-547
    • Ait-Sahalia, Y.1    Lo, A.W.2
  • 2
    • 84986765101 scopus 로고
    • Pricing options on risky assets in a stochastic interest rate economy
    • Amin, K. I., & Jarrow, R. A. (1992). Pricing options on risky assets in a stochastic interest rate economy. Mathematical Finance, 2, 217-237.
    • (1992) Mathematical Finance , vol.2 , pp. 217-237
    • Amin, K.I.1    Jarrow, R.A.2
  • 3
    • 84993907770 scopus 로고
    • Option valuation with systematic stochastic volatility
    • Amin, K. I., & Ng, V. K. (1993). Option valuation with systematic stochastic volatility. Journal of Finance, 48, 881-910.
    • (1993) Journal of Finance , vol.48 , pp. 881-910
    • Amin, K.I.1    Ng, V.K.2
  • 4
    • 0003354507 scopus 로고
    • Theory of speculation
    • P. Cootner (Ed.), (A. J. Boness, Trans.). Cambridge: MIT Press. (Original work published 1900)
    • Bachelier, L. (1964). Theory of speculation. In P. Cootner (Ed.), The random character of stock market prices (A. J. Boness, Trans.). Cambridge: MIT Press. (Original work published 1900)
    • (1964) The Random Character of Stock Market Prices
    • Bachelier, L.1
  • 6
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing models
    • Bakshi, G., Cao, C., & Chen, Z. W. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003-2049.
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, G.1    Cao, C.2    Chen, Z.W.3
  • 7
    • 0034412341 scopus 로고    scopus 로고
    • Do call prices and the underlying stock always move in the same direction?
    • Bakshi, G., Cao, C., & Chen, Z. W. (2000). Do call prices and the underlying stock always move in the same direction? Review of Financial Studies, 13, 549-584.
    • (2000) Review of Financial Studies , vol.13 , pp. 549-584
    • Bakshi, G.1    Cao, C.2    Chen, Z.W.3
  • 8
    • 0031115958 scopus 로고    scopus 로고
    • An alternative valuation model for contingent claims
    • Bakshi, G., & Chen, Z. W. (1997a). An alternative valuation model for contingent claims. Journal of Financial Economics, 44, 123-165.
    • (1997) Journal of Financial Economics , vol.44 , pp. 123-165
    • Bakshi, G.1    Chen, Z.W.2
  • 9
    • 0039054772 scopus 로고    scopus 로고
    • Equilibrium valuation of foreign exchange claims
    • Bakshi, G., & Chen, Z. W. (1997b). Equilibrium valuation of foreign exchange claims. Journal of Finance, 52, 799-826.
    • (1997) Journal of Finance , vol.52 , pp. 799-826
    • Bakshi, G.1    Chen, Z.W.2
  • 10
    • 0030534228 scopus 로고    scopus 로고
    • Jumps and stochastic volatility: Exchange rate processes implicit in Deutschemark options
    • Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutschemark options. Review of Financial Studies, 9, 69-107.
    • (1996) Review of Financial Studies , vol.9 , pp. 69-107
    • Bates, D.S.1
  • 12
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., & Scholes, M. S. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.S.2
  • 13
    • 0001496109 scopus 로고
    • A general distribution for describing security price returns
    • Bookstaber, R. M., & McDonald, J. B. (1987). A general distribution for describing security price returns. Journal of Business, 60, 401-424.
    • (1987) Journal of Business , vol.60 , pp. 401-424
    • Bookstaber, R.M.1    McDonald, J.B.2
  • 14
    • 0011098706 scopus 로고
    • Generating multivariate data from non-normal distributions: Mihal and Barrett revisited
    • Bradley, D. R., & Fleisher, C. L. (1994). Generating multivariate data from non-normal distributions: Mihal and Barrett revisited. Behavior Research Methods, Instruments, & Computers, 26, 156-166.
    • (1994) Behavior Research Methods, Instruments, & Computers , vol.26 , pp. 156-166
    • Bradley, D.R.1    Fleisher, C.L.2
  • 15
    • 0000516158 scopus 로고
    • Prices of state-contingent claims implicit in options prices
    • Breeden, D. T, & Litzenberger, R. H. (1978). Prices of state-contingent claims implicit in options prices. Journal of Business, 51, 621-651.
    • (1978) Journal of Business , vol.51 , pp. 621-651
    • Breeden, D.T.1    Litzenberger, R.H.2
  • 17
    • 0030545118 scopus 로고    scopus 로고
    • The maximum entropy distribution of an asset inferred from option prices
    • Buchen, P. W., & Kelley, M. (1996). The maximum entropy distribution of an asset inferred from option prices. Journal of Financial and Quantitative Analysis, 31, 143-159.
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 143-159
    • Buchen, P.W.1    Kelley, M.2
  • 18
    • 0000504044 scopus 로고    scopus 로고
    • Skewness and kurtosis in S&P 500 index returns implied by option prices
    • Corrado, C. J., & Su, T. (1996). Skewness and kurtosis in S&P 500 index returns implied by option prices. Journal of Financial Research, 19, 175-192.
    • (1996) Journal of Financial Research , vol.19 , pp. 175-192
    • Corrado, C.J.1    Su, T.2
  • 19
    • 85016881681 scopus 로고    scopus 로고
    • Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices
    • Corrado, C. J., & Su, T. (1997a). Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices. Journal of Derivatives, 4, 8-19.
    • (1997) Journal of Derivatives , vol.4 , pp. 8-19
    • Corrado, C.J.1    Su, T.2
  • 20
    • 0002605024 scopus 로고    scopus 로고
    • S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
    • Corrado, C. J., & Su, T. (1997b). S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula. Journal of Futures Markets, 16, 611-630.
    • (1997) Journal of Futures Markets , vol.16 , pp. 611-630
    • Corrado, C.J.1    Su, T.2
  • 21
    • 33847554918 scopus 로고
    • The valuation of options for alternative stochastic processes
    • Cox, J. C., & Ross, S. A. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
    • (1976) Journal of Financial Economics , vol.3 , pp. 145-166
    • Cox, J.C.1    Ross, S.A.2
  • 22
    • 0004006323 scopus 로고
    • Englewood Cliffs, New Jersey: Prentice Hall
    • Cox, J. C., & Rubinstein, M. (1985). Options markets. Englewood Cliffs, New Jersey: Prentice Hall.
    • (1985) Options Markets
    • Cox, J.C.1    Rubinstein, M.2
  • 23
    • 0002515210 scopus 로고
    • Riding on a smile
    • Derman, E., & Kani, I. (1994). Riding on a smile. Risk, 7, 32-39.
    • (1994) Risk , vol.7 , pp. 32-39
    • Derman, E.1    Kani, I.2
  • 24
    • 0345923875 scopus 로고    scopus 로고
    • Implied volatility functions: Empirical tests
    • Dumas, B., Fleming, J., & Whaley, R. E. (1998). Implied volatility functions: Empirical tests. Journal of Finance, 53, 2059-2106.
    • (1998) Journal of Finance , vol.53 , pp. 2059-2106
    • Dumas, B.1    Fleming, J.2    Whaley, R.E.3
  • 25
    • 0002004145 scopus 로고
    • Pricing with a smile
    • Dupire, B. (1994). Pricing with a smile. Risk, 7, 18-20.
    • (1994) Risk , vol.7 , pp. 18-20
    • Dupire, B.1
  • 27
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20, 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.M.2
  • 28
    • 0037836721 scopus 로고
    • A closed form solution for options with stochastic volatility
    • Heston, S. E. (1993). A closed form solution for options with stochastic volatility. Review of Financial Studies, 6, 327-343.
    • (1993) Review of Financial Studies , vol.6 , pp. 327-343
    • Heston, S.E.1
  • 29
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.1    White, A.2
  • 30
    • 0038139238 scopus 로고    scopus 로고
    • Recovering probability distributions from option prices
    • Jackwerth, J. C., & Rubinstein, M. (1996). Recovering probability distributions from option prices. Journal of Finance, 51, 1611-1652.
    • (1996) Journal of Finance , vol.51 , pp. 1611-1652
    • Jackwerth, J.C.1    Rubinstein, M.2
  • 31
    • 0000817330 scopus 로고
    • Approximate option valuation for arbitrary stochastic processes
    • Jarrow, R. A., & Rudd, A. (1982). Approximate option valuation for arbitrary stochastic processes. Journal of Financial Economics, 10, 347-369.
    • (1982) Journal of Financial Economics , vol.10 , pp. 347-369
    • Jarrow, R.A.1    Rudd, A.2
  • 33
    • 34250186487 scopus 로고
    • The impact on option pricing of specification error in the underlying stock price returns
    • Merton, R. C. (1976). The impact on option pricing of specification error in the underlying stock price returns. Journal of Finance, 31, 333-350.
    • (1976) Journal of Finance , vol.31 , pp. 333-350
    • Merton, R.C.1
  • 35
    • 0017332564 scopus 로고
    • A guide to the Burr type XII distributions
    • Rodriguez, R. N. (1977). A guide to the Burr type XII distributions. Biometrika, 64, 129-134.
    • (1977) Biometrika , vol.64 , pp. 129-134
    • Rodriguez, R.N.1
  • 37
    • 84993899427 scopus 로고
    • Implied binomial trees
    • Rubinstein, M. (1994). Implied binomial trees. Journal of Finance, 49, 771-818.
    • (1994) Journal of Finance , vol.49 , pp. 771-818
    • Rubinstein, M.1
  • 38
  • 39
    • 0031476682 scopus 로고    scopus 로고
    • Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates
    • Scott, L. O. (1997). Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates. Mathematical Finance, 7, 413-426.
    • (1997) Mathematical Finance , vol.7 , pp. 413-426
    • Scott, L.O.1
  • 40
    • 0001284767 scopus 로고
    • Stock price distributions with stochastic volatility
    • Stein, E. M., & Stein, J. (1991). Stock price distributions with stochastic volatility. Review of Financial Studies, 4, 727-752.
    • (1991) Review of Financial Studies , vol.4 , pp. 727-752
    • Stein, E.M.1    Stein, J.2
  • 42
    • 0040518858 scopus 로고    scopus 로고
    • A simple nonparametric approach to derivative security valuation
    • Stutzer, M. (1996). A simple nonparametric approach to derivative security valuation. Journal of Finance, 51, 1633-1652.
    • (1996) Journal of Finance , vol.51 , pp. 1633-1652
    • Stutzer, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.