Lecture Notes in Economics and Mathematical Systems: Inroduction

Lecture Notes in Economics and Mathematical Systems

Volumn 571, Issue , 2006, Pages 1-10

[No Author Info available]

Author keywords

[No Author keywords available]

Indexed keywords

EID: 53849122957     PISSN: 00758442     EISSN: None     Source Type: Book Series    
DOI: 10.1007/3-540-30838-5_1     Document Type: Conference Paper

References (34)

1. Aït-Sahalia, Y. and A.W. Lo (1998): Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, The Journal of Finance, 53(2):499-547.
2. Amin, K. and R. Jarrow (1992): Pricing Options on Risky Assets in a Stochastic Interest Rate Economy, Mathematical Finance, 2(4):217-237.
3. Andersen, L. (1999): A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor LIBOR Market Model, The Journal of Computational Finance, 3(2):5-32.
4. Avellaneda, M., R. Buff, C. Friedman, N. Grandchamp, L. Kruk, and J. Newman (2001): Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models, International Journal of Theoretical and Applied Finance, 4(1):91-119.
5. Bakshi, G., C. Cao, and Z. Chen (1997): Empirical Performance of Alternative Option Pricing Models, The Journal of Finance, 52(5):2003-2049.
6. Bakshi, G. and Z. Chen (1997): An Alternative Valuation Model for Contingent Claims, Journal of Financial Economics, 44(1):123-165.
7. Barle, S. and N. Cakici (1998): How to Grow a Smiling Tree, Journal of Financial Engineering, 7(2):127-146.
8. Bates, D. (1991): The Crash of '87: Was It Expected? The Evidence from Options Markets, The Journal of Finance, 46(3):1009-1044.
9. Bates, D. (1996): Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options, The Review of Financial Studies, 9(1):69-108.
10. Belledin, M. and C. Schlag (1999): An Empirical Comparison of Alternative Stochastic Volatility Models, Working Paper Series Finance & Accounting, Fachbereich Wirtschaftswissenschaften, Goethe-University, Frankfurt am Main.
11. Black, F. and M. Scholes (1973): The Valuation of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.
12. Brown, G. and K.B. Toft (1999): Constructing Binomial Trees from Multiple Implied Probability Distributions, The Journal of Derivatives, 7(2):83-100.
13. Cox, J.C., S.A. Ross, and M. Rubinstein (1979): Option Pricing: A Simplified Approach, Journal of Financial Economics, 7:229-263.
14. Das, S.R. and R.K. Sundaram (1999): Of Smiles and Smirks: A Term Structure Perspective, The Journal of Financial and Quantitative Analysis, 34(2):211-239.
15. Derman, E. and I. Kani (1994): Riding on a Smile, RISK, 7(2):32-39.
16. Derman, E., I. Kani, and N. Chriss (1996): Implied Trinomial Trees of the Volatility Smile, The Journal of Derivatives, 3(4):7-22.
17. Dumas, B., J. Fleming, and R.E. Whaley (1998): Implied Volatility Functions: Empirical Tests, The Journal of Finance, 53(6):2059-2106.
18. Dupire, B. (1994): Pricing with a Smile, RISK, 7(1):18-20.
19. Harrison, J.M. and D.M. Kreps (1979): Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, 20(3):381-408.
20. Heston, S. (1993): A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, 6(2):327-343.
21. Hull, J.C. and A. White (1987): The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance, 42(2):281-300.
22. Ibánez, A. and F. Zapatero (2004): Monte Carlo Valuation of American Options Through Computation of the Optimal Exercise Frontier, The Journal of Financial and Quantitative Analysis, 39(2):253-275.
23. Jackwerth, J.C. (1997): Generalized Binomial Trees, The Journal of Derivatives, 5(2):7-17.
24. Jackwerth, J.C. (1999): Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review, The Journal of Derivatives, 7(2):66-81.
25. Jackwerth, J.C. and M. Rubinstein (1996): Recovering Probability Distributions from Option Prices, The Journal of Finance, 51(5):1611-1631.
26. Jackwerth, J.C. and M. Rubinstein (2001): Recovering Stochastic Processes from Option Prices, Working Paper, London Business School.
27. Longstaff, F. and E. Schwartz (2001): Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, 14(1):113-147.
28. Merton, R.C. (1973): Theory of Rational Option Pricing, Bell Journal of Economics and Management, 4:141-183.
29. Merton, R.C. (1976): Option Pricing when Underlying Stock Returns are Discontinuous, Journal of Financial Economics, 3:125-144.
30. Rubinstein, M. (1994): Implied Binomial Trees, The Journal of Finance, 49(3):771-818.
31. Schöbel, R. and J. Zhu (1999): Stochastic Volatility With an OrnsteinUhlenbeck Process: An Extension, European Finance Review, 3(1): 23-46.
32. Scott, L.O. (1997): Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods, Mathematical Finance, 7(4):413-426.
33. Skiadopoulos, G. (2001): Volatility Smile Consistent Option Models: A Survey, International Journal of Theoretical and Applied Finance, 4(3):403-137.
34. Tilley, J.A. (1993): Valuing American Options in a Path-Simulation Model, Transactions of Society of Actuaries, 45:499-520.