메뉴 건너뛰기




Volumn 1, Issue 1, 2001, Pages 38-44

Information and option pricings

Author keywords

[No Author keywords available]

Indexed keywords


EID: 53349115155     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/713665550     Document Type: Article
Times cited : (225)

References (29)
  • 1
    • 0009232225 scopus 로고    scopus 로고
    • Return volatility and trading volume: An information flow interpretation of stochastic volatility
    • Anderson T G 1996 Return volatility and trading volume: an information flow interpretation of stochastic volatility J. Finance 51 169-204
    • (1996) J. Finance , vol.51 , pp. 169-204
    • Anderson, T.G.1
  • 2
    • 84953009457 scopus 로고
    • Pricing and hedging
    • Avellaneda M, Lévy P and Paras A 1995 Pricing and hedging derivative securities in markets with uncertain volatilities Appl. Math. Finance 8 73-88
    • (1995) Appl. Math. Finance , vol.8 , pp. 73-88
    • Avellaneda, M.1    Lévy, P.2    Paras, A.3
  • 3
    • 0001027746 scopus 로고
    • Insider trading in continuous time
    • Back K 1992 Insider trading in continuous time Rev. Financial Studies 5 387-409
    • (1992) Rev. Financial Studies , vol.5 , pp. 387-409
    • Back, K.1
  • 5
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black F and Scholes M 1973 The pricing of options and corporate liabilities J. Political Economy 81 637-54
    • (1973) J. Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 9
    • 0000022420 scopus 로고
    • Multiperiod security markets with differential information
    • Duffie D and Huang C F 1986 Multiperiod security markets with differential information J. Mathematical Econ. 15 283-303
    • (1986) J. Mathematical Econ , vol.15 , pp. 283-303
    • Duffie, D.1    Huang, C.F.2
  • 12
    • 0002487791 scopus 로고    scopus 로고
    • From the bird’s eye to the microscope, a survey of stylized facts of the intra-daily foreign exchange market
    • Guilaume D M, Dacorogna M, Davé R, Müller U, Olsen R and Pictet P 1997 From the bird’s eye to the microscope, a survey of stylized facts of the intra-daily foreign exchange market Finance and Stochastics 1 95-129
    • (1997) Finance and Stochastics , vol.1 , pp. 95-129
    • Guilaume, D.M.1    Dacorogna, M.2    Davé, R.3    Müller, U.4    Olsen, R.5    Pictet, P.6
  • 15
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison M and Kreps D 1979 Martingales and arbitrage in multiperiod securities markets J. Econ. Theory 20 381-408
    • (1979) J. Econ. Theory , vol.20 , pp. 381-408
    • Harrison, M.1    Kreps, D.2
  • 16
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • Harrison M and Pliska S 1981 Martingales and stochastic integrals in the theory of continuous trading Stochastic Processes and Their Applications 11 215-60
    • (1981) Stochastic Processes and Their Applications , vol.11 , pp. 215-260
    • Harrison, M.1    Pliska, S.2
  • 17
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatility
    • Hull J and White A 1987 The pricing of options on assets with stochastic volatility J. Finance 2 281-300
    • (1987) J. Finance , vol.2 , pp. 281-300
    • Hull, J.1    White, A.2
  • 20
    • 0019576227 scopus 로고
    • On the weak convergence of a sequence of general stochastic differential equations to a diffusion
    • Kushner H J and Huang H 1984 On the weak convergence of a sequence of general stochastic differential equations to a diffusion SIAM J. Applied Mathematics 40 528-41
    • (1984) SIAM J. Applied Mathematics , vol.40 , pp. 528-541
    • Kushner, H.J.1    Huang, H.2
  • 21
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle A 1985 Continuous auctions and insider trading Econometrica53 1315-35
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.1
  • 22
    • 84993843852 scopus 로고
    • Implementing option pricing models when asset returns are predictable
    • Lo A W and Wang J 1995 Implementing option pricing models when asset returns are predictable J. Finance 50 87-130
    • (1995) J. Finance , vol.50 , pp. 87-130
    • Lo, A.W.1    Wang, J.2
  • 24
    • 0015602539 scopus 로고
    • Theory of rational option pricing
    • Merton R C 1973 Theory of rational option pricing Bell. Econ. Management Sci. 4 141-88
    • (1973) Bell. Econ. Management Sci , vol.4 , pp. 141-188
    • Merton, R.C.1
  • 26
    • 84977718754 scopus 로고
    • Information and volatility, the no-arbitrage martingale approach to timing and resolution irrelevancy
    • Ross S A 1989 Information and volatility, the no-arbitrage martingale approach to timing and resolution irrelevancy J. Finance 44 1-8
    • (1989) J. Finance , vol.44 , pp. 1-8
    • Ross, S.A.1
  • 28
    • 0001284767 scopus 로고
    • Stock prices distribution with stochastic volatility, an analytic approach
    • Stein E M and Stein C J 1991 Stock prices distribution with stochastic volatility, an analytic approach Rev. Financial Studies 4 727-52
    • (1991) Rev. Financial Studies , vol.4 , pp. 727-752
    • Stein, E.M.1    Stein, C.J.2
  • 29
    • 45949112947 scopus 로고
    • Option values under stochastic volatility. Theory and empirical evidence
    • Wiggins J B 1987 Option values under stochastic volatility. Theory and empirical evidence J. Financial Econ. 19 351-72
    • (1987) J. Financial Econ , vol.19 , pp. 351-372
    • Wiggins, J.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.