✦ LIBER ✦

Nonlinear Option Pricing

✍ Scribed by Wang, Tai-Ho

Book ID: 125887399
Publisher: Taylor and Francis Group
Year: 2014
Tongue: English
Weight: 175 KB
Volume: 15
Category: Article
ISSN: 1469-7688
DOI: 10.1080/14697688.2014.931594

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Approximate Option Pricing

✍ P. Chalasani; S. Jha; I. Saias 📂 Article 📅 1999 🏛 Springer 🌐 English ⚖ 125 KB

Martingale option pricing

✍ J.L. McCauley; G.H. Gunaratne; K.E. Bassler 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 163 KB

VIX option pricing

✍ Yueh-Neng Lin; Chien-Hung Chang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 268 KB

## Abstract Substantial progress has been made in developing more realistic option pricing models for S&P 500 index (SPX) options. Empirically, however, it is not known whether and by how much each generalization of SPX price dynamics improves VIX option pricing. This article fills this gap by firs

CAPM option pricing

✍ Sven Husmann; Neda Todorova 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 200 KB

Robust option pricing

✍ Bandi, Chaithanya; Bertsimas, Dimitris 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 562 KB

Nonlinearities and chaotic effects in op

Nonlinearities and chaotic effects in options prices

✍ Robert Savit 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 704 KB

## Introduction ecently, a good deal of evidence has been accumulated which suggests that prices R in certain markets and over certain time horizons may be correlated in subtle ways that elude even common statistical tests. Although there are exceptions, such correlations may be induced by an unde