Option prices under generalized pricing kernels

Review of Derivatives Research

Volumn 8, Issue 2, 2005, Pages 97-123

  Düring, Bertram ^a   Lüders, Erik ^b  

^a JOHANNES GUTENBERG UNIVERSITY   (Germany)

^b UNIVERSITÉ LAVAL   (Canada)

Author keywords

Finite differences; Implied volatility; Option pricing; Partial differential equation; Pricing kernel

Indexed keywords

EID: 27644584801     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11147-005-3852-x     Document Type: Article

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