메뉴 건너뛰기
Journal des Mathematiques Pures et Appliquees
Volumn 86, Issue 6, 2006, Pages 541-551
Towards a self-consistent theory of volatility
Author keywords

Option hedging; Pricing; Volatility
Indexed keywords

EID: 33751322738     PISSN: 00217824     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matpur.2006.04.006     Document Type: Article
Times cited : (8)
References (15)
  • 1
    • 33751314181 scopus 로고    scopus 로고
    • M. Avellaneda, M.D. Lipkin, A market induced mechanism for stock pinning, Preprint
  • 2
    • 0001027746 scopus 로고
    • Insider trading in continuous time
    • Back K. Insider trading in continuous time. Rev. Financ. Stud. 5 (1992) 387-409
    • (1992) Rev. Financ. Stud. , vol.5 , pp. 387-409
    • Back, K.1
  • 3
    • 33751316378 scopus 로고    scopus 로고
    • Imperfect condition among informed traders
    • Back K., Cao C.H., and Willard G. Imperfect condition among informed traders. J. Finance LV (2000) 2155-2177
    • (2000) J. Finance , vol.LV , pp. 2155-2177
    • Back, K.1    Cao, C.H.2    Willard, G.3
  • 5
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black F., and Scholes M. The pricing of options and corporate liabilities. J. Political Economy 81 (1973) 637-659
    • (1973) J. Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 6
    • 0001315038 scopus 로고    scopus 로고
    • Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
    • Constantinides G., and Zariphopoulou Th. Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. Finance Stoch. 3 (1999) 345-369
    • (1999) Finance Stoch. , vol.3 , pp. 345-369
    • Constantinides, G.1    Zariphopoulou, Th.2
  • 8
    • 4243366962 scopus 로고
    • Stock price fluctuation as a diffusion in a random environment
    • Howison S.D., Kelly F.P., and Wilmatt P. (Eds), Chapman Hall, London
    • Föllmer H. Stock price fluctuation as a diffusion in a random environment. In: Howison S.D., Kelly F.P., and Wilmatt P. (Eds). Mathematical Models in Finance (1995), Chapman Hall, London
    • (1995) Mathematical Models in Finance
    • Föllmer, H.1
  • 9
    • 33751316614 scopus 로고    scopus 로고
    • R. Frey, A. Stremme, Portfolio insurance and volatility, Department of Economics, University of Bonn (Discussion paper B-256)
  • 10
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle A.S. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1335
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.S.1
  • 11
    • 33751315392 scopus 로고    scopus 로고
    • J.-M. Lasry, P.-L. Lions, Large investor trading impacts on volatility, Preprint
  • 12
    • 0034370088 scopus 로고    scopus 로고
    • Une classe nouvelle de problèmes singuliers de contrôle stochastique
    • Lasry J.-M., and Lions P.-L. Une classe nouvelle de problèmes singuliers de contrôle stochastique. C. R. Acad. Sci. Paris 331 (2000) 879-889
    • (2000) C. R. Acad. Sci. Paris , vol.331 , pp. 879-889
    • Lasry, J.-M.1    Lions, P.-L.2
  • 13
    • 24144466465 scopus 로고    scopus 로고
    • Asymmetric information and imperfect competition in a continuous time multivariate security model
    • Lasserre G. Asymmetric information and imperfect competition in a continuous time multivariate security model. Finance and Stochastics 8 (2004) 285-309
    • (2004) Finance and Stochastics , vol.8 , pp. 285-309
    • Lasserre, G.1
  • 14
    • 0015602539 scopus 로고
    • Theory of rational option pricing
    • Merton R. Theory of rational option pricing. Bull. J. Econom. Manag. Sci. 4 (1973) 141-183
    • (1973) Bull. J. Econom. Manag. Sci. , vol.4 , pp. 141-183
    • Merton, R.1
  • 15
    • 33751332164 scopus 로고    scopus 로고
    • M. Musiela, Th. Zariphopoulou, Indifference prices and related measures, Preprint

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.