메뉴 건너뛰기




Volumn 37, Issue 4, 2002, Pages 649-666

Option pricing in a multi-asset, complete market economy

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0036924937     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/3595015     Document Type: Review
Times cited : (22)

References (24)
  • 1
    • 0000880726 scopus 로고
    • On the computation of continuous time option prices using discrete approximations
    • Amin, K. "On the Computation of Continuous Time Option Prices Using Discrete Approximations." Journal of Financial and Quantitative Analysis, 26 (1991), 477-496.
    • (1991) Journal of Financial and Quantitative Analysis , vol.26 , pp. 477-496
    • Amin, K.1
  • 3
    • 84959674840 scopus 로고
    • A lattice framework for option pricing with two state variables
    • Boyle, P. "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, 23 (1988), 1-12.
    • (1988) Journal of Financial and Quantitative Analysis , vol.23 , pp. 1-12
    • Boyle, P.1
  • 4
    • 0000532793 scopus 로고
    • Numerical evaluations of multivariate contingent claims
    • Boyle, P.; J. Evnine; and S. Gibbs. "Numerical Evaluations of Multivariate Contingent Claims." Review of Financial Studies, 2 (1989), 241-250.
    • (1989) Review of Financial Studies , vol.2 , pp. 241-250
    • Boyle, P.1    Evnine, J.2    Gibbs, S.3
  • 5
    • 84972047949 scopus 로고
    • An algorithm for computing values of options on the maximum or minimum of several assets
    • Boyle, P., and Y. Tse. "An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets." Journal of Financial and Quantitative Analysis, 25 (1990), 215-227.
    • (1990) Journal of Financial and Quantitative Analysis , vol.25 , pp. 215-227
    • Boyle, P.1    Tse, Y.2
  • 6
    • 21144470697 scopus 로고
    • Pricing interest rate options in a two factor cox-ingersoll-ross model of the term structure
    • Chen, R., and L. Scott. "Pricing Interest Rate Options in a Two Factor Cox-Ingersoll-Ross Model of the Term Structure." Review of Financial Studies, 5 (1992), 613-636.
    • (1992) Review of Financial Studies , vol.5 , pp. 613-636
    • Chen, R.1    Scott, L.2
  • 9
    • 0001577622 scopus 로고
    • Implementing arrow-debreu equilibria by continuous trading of few long lived securities
    • Duffie, D., and C. Huang. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long Lived Securities." Econometrica, 53 (1985), 1337-1356.
    • (1985) Econometrica , vol.53 , pp. 1337-1356
    • Duffie, D.1    Huang, C.2
  • 10
    • 84977416972 scopus 로고
    • Call option pricing when the exercise price is uncertain, and the valuation of index bonds
    • Fischer, S. "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds." Journal of Finance, 33 (1978), 169-176.
    • (1978) Journal of Finance , vol.33 , pp. 169-176
    • Fischer, S.1
  • 11
    • 0002874199 scopus 로고
    • Convergence from discrete to continuous time contingent claims prices
    • He, H. "Convergence from Discrete to Continuous Time Contingent Claims Prices." Review of Financial Studies, 3 (1990), 523-546.
    • (1990) Review of Financial Studies , vol.3 , pp. 523-546
    • He, H.1
  • 12
    • 0034383751 scopus 로고    scopus 로고
    • On the rate of convergence of discrete time contingent claims
    • Heston, S., and G. Zhou. "On the Rate of Convergence of Discrete Time Contingent Claims." Mathematical Finance, 10 (2000), 53-75.
    • (2000) Mathematical Finance , vol.10 , pp. 53-75
    • Heston, S.1    Zhou, G.2
  • 13
    • 21844492652 scopus 로고
    • Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics
    • Ho, T.; R. Stapleton; and M. Subrahmanyam, "Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics." Review of Financial Studies, 8 (1995), 1125-1152.
    • (1995) Review of Financial Studies , vol.8 , pp. 1125-1152
    • Ho, T.1    Stapleton, R.2    Subrahmanyam, M.3
  • 14
    • 84971945645 scopus 로고
    • Valuing derivative securities using the explicit finite difference method
    • Hull, J., and A. White. "Valuing Derivative Securities Using the Explicit Finite Difference Method." Journal of Financial and Quantitative Analysis, 25 (1990), 87-100.
    • (1990) Journal of Financial and Quantitative Analysis , vol.25 , pp. 87-100
    • Hull, J.1    White, A.2
  • 15
    • 84959695368 scopus 로고
    • Options on the maximum or the minimum of several assets
    • Johnson, H. "Options on the Maximum or the Minimum of Several Assets." Journal of Financial and Quantitative Analysis, 22 (1987), 277-283.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 277-283
    • Johnson, H.1
  • 16
    • 0000781839 scopus 로고    scopus 로고
    • Quasi Monte Carlo methods in numerical finance
    • Joy, C.; P. Boyle; and K.S. Tan. "Quasi Monte Carlo Methods in Numerical Finance." Management Science, 42 (1996), 926-938.
    • (1996) Management Science , vol.42 , pp. 926-938
    • Joy, C.1    Boyle, P.2    Tan, K.S.3
  • 17
    • 0000980885 scopus 로고
    • Multinomial approximating models for options with k state variables
    • Kamrad, B., and P. Ritchken. "Multinomial Approximating Models for Options with k State Variables." Management Science, 37 (1991), 1640-1652.
    • (1991) Management Science , vol.37 , pp. 1640-1652
    • Kamrad, B.1    Ritchken, P.2
  • 19
    • 0012233262 scopus 로고
    • The multinomial option pricing model and its brownian and poisson limits
    • Madan, D.; F. Milne; and H. Shefrin. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits." Review of Financial Studies, 2 (1989), 251-266.
    • (1989) Review of Financial Studies , vol.2 , pp. 251-266
    • Madan, D.1    Milne, F.2    Shefrin, H.3
  • 20
    • 84977359121 scopus 로고
    • The value of an option to exchange one asset for another
    • Margrabe, W. "The Value of an Option to Exchange One Asset for Another." Journal of Finance, 33 (1978), 177-186.
    • (1978) Journal of Finance , vol.33 , pp. 177-186
    • Margrabe, W.1
  • 22
  • 23
    • 0004159816 scopus 로고
    • Englewood Cliffs, NJ: Prentice Hall
    • Sharpe, W. Investments. Englewood Cliffs, NJ: Prentice Hall (1976).
    • (1976) Investments
    • Sharpe, W.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.