Risk-neutral parameter shifts and derivatives pricing in discrete time

Journal of Finance

Volumn 59, Issue 5, 2004, Pages 2375-2402

  Schroder, Mark ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 6344289607     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2004.00702.x     Document Type: Article

References (24)

1. Amin, Kaushik I., and Victor K. Ng, 1993, Option valuation with systematic stochastic volatility, Journal of Finance 48, 881-910.
2. Bondesson, Lennart, 1992, Generalized Gamma Convolutions and Related Classes of Distributions and Densities (Springer-Verlag, New York).
3. Brennan, Michael Z., 1979, The pricing of contingent claims in discrete time models, Journal of Finance 39, 53-68.
4. Câmera, Antônio, 1999, An extended set of risk neutral valuation relationships for the pricing of contingent claims, Review of Derivatives Research 3, 67-83.
5. Câmera, António, 2003, A generalization of the Brennan-Rubinstein approach for the pricing of derivatives, Journal of Finance 58, 805-819.
6. Câmera, António, and Richard C. Stapleton, 2001, Forward-price processes and the risk-neutral pricing of options, Working paper, University of Strathclyde.
7. Epstein, Larry, and Stanley Zin, 1991, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: an empirical analysis, Journal of Political Economy 99, 263-286.
8. Heath, David, Robert Jarrow, and Andrew Morton, 1992, Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation, Econometrica 60, 77-105.
9. Heston, Steven, 1993, Invisible parameters in option prices, Journal of Finance 48, 933-947.
10. Hull, John, and Alan White, 1990, Pricing interest-rate-derivative securities, Review of Financial Studies 3, 573-592.
11. Johnson, Norman, and Samuel Kotz, 1970, Continuous Univariate Distributions (Houghton Mifflin Company, Boston).
12. Karatzas, Ioannis, and Steven Shreve, 1991, Brownian Motion and Stochastic Calculus (Springer-Verlag, New York).
13. Madan, Dilip B., Peter Carr, and Eric C. Chang, 1998, The variance gamma process and option pricing, Working paper, Robert H. Smith School of Business, University of Maryland.
14. Madan, Dilip B., and Frank Milne, 1991, Option pricing with V.G. martingale components, Mathematical Finance 1, 39-55.
15. Madan, Dilip B., and Eugene Seneta, 1990, The variance gamma (V.G.) model for share market returns, Journal of Business 63, 511-524.
16. Madrigal, Vincente, and Stephen D. Smith, 1993, Risk-neutral valuation without spanning: The discrete time case, Working paper, Georgia State University College of Business Administration.
17. Merton, Robert, 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183.
18. Merton, Robert, 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125-144.
19. Praetz, Peter D., 1972, The distribution of share price changes, Journal of Business 45, 49-55.
20. Rubinstein, Mark, 1976, The valuation of uncertain income streams and the pricing of options, Bell Journal of Economics 7, 407-425.
21. Samuelson, Paul, and Robert Merton, 1969, A complete model of warrant pricing that maximizes utility, Industrial Management Review 10, 17-46.
22. Siegel, Alex F., 1979, The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity, Biometrica 36, 707-719.
23. Stapleton, Richard C., and Marti G. Subrahmanyam, 1984, The valuation of multivariate contingent claims in discrete time models, Journal of Finance 39, 207-228.
24. Vasicek, Oldrich A., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.