메뉴 건너뛰기




Volumn 20, Issue 2, 2007, Pages 359-390

Options and bubbles

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33847626690     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhl005     Document Type: Article
Times cited : (147)

References (45)
  • 1
    • 0034417109 scopus 로고    scopus 로고
    • Equilibrium Mispricing in a Capital Market with Portfolio Constraints
    • Basak, S., and B. Croitoru, 2000, "Equilibrium Mispricing in a Capital Market with Portfolio Constraints," Review of Financial Studies, 13(3), 715-748.
    • (2000) Review of Financial Studies , vol.13 , Issue.3 , pp. 715-748
    • Basak, S.1    Croitoru, B.2
  • 2
    • 84977310971 scopus 로고
    • The Constant Elasticity of Variance Model and Its Implications for Option Pricing
    • Beckers, S., 1980, "The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, 35(3), 661-673.
    • (1980) Journal of Finance , vol.35 , Issue.3 , pp. 661-673
    • Beckers, S.1
  • 3
    • 85015692260 scopus 로고
    • The Pricing of Options and Corporate Liabilities
    • Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 4
    • 0033421632 scopus 로고    scopus 로고
    • Pricing Lookback and Barrier Options under the CEV Process
    • Boyle, P., and Y. S. Tian, 2001, "Pricing Lookback and Barrier Options under the CEV Process," Journal of Financial and Quantitative Analysis, 34(2), 241-264.
    • (2001) Journal of Financial and Quantitative Analysis , vol.34 , Issue.2 , pp. 241-264
    • Boyle, P.1    Tian, Y.S.2
  • 5
    • 0004449079 scopus 로고    scopus 로고
    • American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
    • Broadie, M., et al., 2000, "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," Journal of Econometrics, 94, 53-92.
    • (2000) Journal of Econometrics , vol.94 , pp. 53-92
    • Broadie, M.1
  • 7
    • 0242268781 scopus 로고    scopus 로고
    • Alternative Models for Stock Price Dynamics
    • Chernov, M., et al., 2003, "Alternative Models for Stock Price Dynamics," Journal of Econometrics, 116, 225-257.
    • (2003) Journal of Econometrics , vol.116 , pp. 225-257
    • Chernov, M.1
  • 8
    • 0034196104 scopus 로고    scopus 로고
    • A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Option Valuation
    • Chernov, M., and E. Ghysels, 2000, "A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Option Valuation," Journal of Financial Economics, 56, 407-458.
    • (2000) Journal of Financial Economics , vol.56 , pp. 407-458
    • Chernov, M.1    Ghysels, E.2
  • 10
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates
    • Cox, J. C., J. Ingersoll, and S. A. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.2    Ross, S.A.3
  • 11
    • 0005189398 scopus 로고
    • The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation
    • Dammon, R. M., K. B. Dunn, and C. S. Spatt, 1993, "The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation," American Economic Review, 83, 1090-1111.
    • (1993) American Economic Review , vol.83 , pp. 1090-1111
    • Dammon, R.M.1    Dunn, K.B.2    Spatt, C.S.3
  • 12
    • 0001249935 scopus 로고
    • A General Version of the Fundamental Theorem of Asset Pricing
    • Delbaen, F., and W. Schachermayer, 1994, "A General Version of the Fundamental Theorem of Asset Pricing," Mathematiche Annalen, 300, 463-520.
    • (1994) Mathematiche Annalen , vol.300 , pp. 463-520
    • Delbaen, F.1    Schachermayer, W.2
  • 13
    • 21344463289 scopus 로고
    • The Existence of Absolutely Continuous Local Martingale Measures
    • Delbaen, F., and W. Schachermayer, 1995, "The Existence of Absolutely Continuous Local Martingale Measures," The Annals of Applied Probability, 5(4), 926-945.
    • (1995) The Annals of Applied Probability , vol.5 , Issue.4 , pp. 926-945
    • Delbaen, F.1    Schachermayer, W.2
  • 14
    • 84936526743 scopus 로고
    • Noise Trader Risk in Financial Markets
    • De Long, J. B., et al., 1990, "Noise Trader Risk in Financial Markets," Journal of Political Economy, 98(4), 703-738.
    • (1990) Journal of Political Economy , vol.98 , Issue.4 , pp. 703-738
    • De Long, J.B.1
  • 15
    • 0036650424 scopus 로고    scopus 로고
    • The Valuation of American Options for a Class of Diffusion Processes
    • Detemple, J., and W. Tian, 2002, "The Valuation of American Options for a Class of Diffusion Processes," Management Science, 48(7), 917-937.
    • (2002) Management Science , vol.48 , Issue.7 , pp. 917-937
    • Detemple, J.1    Tian, W.2
  • 16
    • 0000486558 scopus 로고
    • Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
    • Dybvig, P. H., and C. Huang, 1988, "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," The Review of Financial Studies, 1(4), 377-401.
    • (1988) The Review of Financial Studies , vol.1 , Issue.4 , pp. 377-401
    • Dybvig, P.H.1    Huang, C.2
  • 17
    • 84976088819 scopus 로고
    • Further Results on the Constant Elasticity of Variance Call Option Pricing Model
    • Emmanuel, D. C., and J. D. MacBeth, 1982, "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, 17, 533-554.
    • (1982) Journal of Financial and Quantitative Analysis , vol.17 , pp. 533-554
    • Emmanuel, D.C.1    MacBeth, J.D.2
  • 18
    • 0142188082 scopus 로고    scopus 로고
    • The Impact of Jumps in Volatility and Returns
    • Eraker, B., M. Johannes, and N. Polson, 2003, "The Impact of Jumps in Volatility and Returns," Journal of Finance, 58, 1269-1300.
    • (2003) Journal of Finance , vol.58 , pp. 1269-1300
    • Eraker, B.1    Johannes, M.2    Polson, N.3
  • 21
    • 38649141305 scopus 로고
    • Martingales and Arbitrage in Multiperiod Securities Markets
    • Harrison, J. M., and D. M. Kreps, 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
  • 22
    • 41649091143 scopus 로고
    • Martingales and Stochastic Integrals in the Theory of Continuous Trading
    • Harrison, J. M., and S. R. Pliska, 1981, "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stochastic Processes and Their Applications, 11, 215-260.
    • (1981) Stochastic Processes and Their Applications , vol.11 , pp. 215-260
    • Harrison, J.M.1    Pliska, S.R.2
  • 23
    • 0037836721 scopus 로고
    • A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
    • Heston, S., 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, 6, 327-344.
    • (1993) Review of Financial Studies , vol.6 , pp. 327-344
    • Heston, S.1
  • 25
    • 84977709229 scopus 로고
    • The Pricing of Options on Assets with Stochastic Volatilities
    • Hull, J., and A. White, 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
  • 26
    • 0242557093 scopus 로고    scopus 로고
    • The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets
    • Jones, C. S., 2003, "The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets," Journal of Econometrics, 116, 181-224.
    • (2003) Journal of Econometrics , vol.116 , pp. 181-224
    • Jones, C.S.1
  • 27
    • 0026156908 scopus 로고
    • Martingale and Duality Methods for Utility Maximization in an Incomplete Market
    • Karatzas, I., et al., 1991, "Martingale and Duality Methods for Utility Maximization in an Incomplete Market," SIAM Journal on Control and Optimization, 29(3), 702-730.
    • (1991) SIAM Journal on Control and Optimization , vol.29 , Issue.3 , pp. 702-730
    • Karatzas, I.1
  • 29
    • 0013020712 scopus 로고    scopus 로고
    • Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs
    • Lamont, O. A., and R. H. Thaler, 2003, "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs," Journal of Political Economy, 111, 227-268.
    • (2003) Journal of Political Economy , vol.111 , pp. 227-268
    • Lamont, O.A.1    Thaler, R.H.2
  • 32
    • 0034338831 scopus 로고    scopus 로고
    • Local Martingales, Arbitrage, and Viability: Free Snacks and Cheap Thrills
    • Loewenstein, M., and G. A. Willard, 2000a, "Local Martingales, Arbitrage, and Viability: Free Snacks and Cheap Thrills," Economic Theory, 16, 135-161.
    • (2000) Economic Theory , vol.16 , pp. 135-161
    • Loewenstein, M.1    Willard, G.A.2
  • 33
    • 0347357582 scopus 로고    scopus 로고
    • Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models
    • Loewenstein, M., and G. A. Willard, 2000b, "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, 91(1), 17-58.
    • (2000) Journal of Economic Theory , vol.91 , Issue.1 , pp. 17-58
    • Loewenstein, M.1    Willard, G.A.2
  • 34
    • 0000216812 scopus 로고
    • Tests of the Black-Scholes and Cox Call Option Valuation Models
    • MacBeth, J. D., and L. J. Merville, 1980, "Tests of the Black-Scholes and Cox Call Option Valuation Models," Journal of Finance, 35, pp. 285-303.
    • (1980) Journal of Finance , vol.35 , pp. 285-303
    • MacBeth, J.D.1    Merville, L.J.2
  • 36
  • 40
    • 0002190490 scopus 로고    scopus 로고
    • Rational Asset Pricing Bubbles
    • Santos, M. S., and M. Woodford, 1997, "Rational Asset Pricing Bubbles," Econometrica, 65(1), 19-57.
    • (1997) Econometrica , vol.65 , Issue.1 , pp. 19-57
    • Santos, M.S.1    Woodford, M.2
  • 41
    • 84977711568 scopus 로고
    • Computing the Constant Elasticity of Variance Option Pricing Formula
    • Schroder, M., 1989, "Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, 44, 211-219.
    • (1989) Journal of Finance , vol.44 , pp. 211-219
    • Schroder, M.1
  • 43
    • 0032023043 scopus 로고    scopus 로고
    • Complications with Stochastic Volatility Models
    • Sin, C., 1998, "Complications with Stochastic Volatility Models," Advances in Applied Probability, 30, 256-268.
    • (1998) Advances in Applied Probability , vol.30 , pp. 256-268
    • Sin, C.1
  • 44
    • 84980089646 scopus 로고
    • The Relationship Between Put and Call Prices
    • Stoll, H. R., 1969, "The Relationship Between Put and Call Prices," Journal of Finance, 24, 801-824.
    • (1969) Journal of Finance , vol.24 , pp. 801-824
    • Stoll, H.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.