Option valuation with infinitely divisible distributions

Quantitative Finance

Volumn 4, Issue 5, 2004, Pages 515-524

  Heston, Steven L ^a  

^a UNIVERSITY OF MARYLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 12144253171     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680400000035     Document Type: Article

References (35)

1. Backus D K, Foresi S and Wu L 2004 Accounting for biases in Black-Scholes Working Paper New York University
2. Barone-Adesi G and Whaley R E 1987 Efficient analytic approximation of American option values J. of Finance 42 301-20
3. Black F and Scholes M S 1973 The pricing of options and corporate liabilities J. Political Economy 81 637-54
4. Bouchaud J P and Potters M 2003 Theory of Financial Risks: from Statistical Physics to Risk Management Cambridge University press
5. Breeden D T and Litzenberger R H 1978 Prices of state-contingent claims implicit in option prices J. Business 51 621-52
6. Brennan M J 1979 The pricing of contingent claims in discrete time models J. Finance 34 53-68
7. Carr P, Geman H, Madan D and Yor M 2002 The fine structure of asset returns: a empirical investigation J. Business 2 305-32
8. Carr P, Geman H, Madan D and Yor M 2003 Stochastic volatility for Lévy processes Math. Finance 13 345-82
9. Corrado C J and Su T 1996 Skewness and kurtosis in S&P 500 index returns implied by option prices J. Financial Research 19 175-92
10. Cox J C 1975 Notes on option pricing I: constant elasticity of variance diffusions Working Paper Stanford University
11. Cox J C and Ross S A 1976 The valuation of options for alternative stochastic processes J. Financial Economics 3 145-66
12. Cox J C, Ross S A and Rubinstein M 1979 Option pricing: a simplified approach J. Financial Economics 7 229-64
13. Duan J C 1995 The GARCH option pricing model Mathematical Finance 5 13-32
14. Feller W 1966 Infinitely divisible distributions and bessel functions associated with random walks J. Soc. Ind Appl Math. 14 864-75
15. Feller W 1971 An Introduction to Probability Theory and Its Applications Vol 2 (New York: Wiley)
16. Gerber H U and Shiu E S W 1993 Option pricing by Esscher transforms Proc. 24th ASTIN Colloquium at Cambridge University Vol 2 pp 305-44
17. Gerber H U and Shiu E S W 1994 Martingale approach to pricing perpetual American options ASTIN Bulletin 24 195-220
18. Hagen P S, Kumar D, Lesniewski A S and Woodward D E 2002 Managing smile risk Wilmott Magazine November 84-108
19. Heston S L 1993a Invisible parameters in option prices J. Finance 48 327-43
20. Heston S L 1993b A closed-form solution for options with stochastic volatility with applications to bond and currency options Rev. of Financial Studies 6 933-47
21. Ingersoll J E 1989 Theory of Financial Decision Making (Totowa, NJ: Rowman and Littlefield)
22. Jarrow R and Rudd A 1982 Approximate option valuation for arbitrary stochastic processes J. Financial Economics 10 347-69
23. Karatzas I and Shreve S 1988 Brownian Motion and Stochastic Calculus (New York: Springer-Verlag)
24. Kolmogorov A N 1950 Foundations of Probability Theory (New York: Chelsea Publishing Company)
25. Macmillan M W 1986 Analytic approximation for the American put Advances in Futures and Options Research 1 119-39
26. Mandelbrot B 1963 The variation of certain speculative prices J. Business 36 394-419
27. Mandelbrot B 1966 Forecasts of future prices, unbiased markets, and 'Martingale' models J. Business 39 242-55
28. McCulloch H 1987 Foreign exchange option pricing with log-stable uncertainty Recent Developments in International Banking and Finance eds A Ghosh and S J Khoury (Lexington Books) pp 231-45
29. Merton R C 1976 Option pricing when underlying stock returns are discontinuous J. Financial Economics 3 125-44
30. Rubinstein M 1976 The valuation of uncertain income streams and the pricing of options Bell J. Economics 7 407-25
31. Rubinstein M 1985 Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978 J. Financial Economics 40 455-80
32. Rubinstein M 1995 Implied binomial trees J. Finance 49 771-818
33. Smith S D 1987 On the risk neutral valuation of contingent claims in discrete time Working Paper Georgia Institute of Technology
34. Stutzer M 1996 A simple nonparametric approach to derivative security valuation J. Finance 51 1633-52
35. Vankudre P 1986 The pricing of options in discrete time PhD Dissertation The Wharton School, University of Pennsylvania