✦ LIBER ✦

On Optimal Output In an Option Pricing Framework

✍ Scribed by Thomas E. Conine Jr.; Oscar W. Jensen; Maurry Tamarkin

Book ID: 111105310
Publisher: John Wiley and Sons
Year: 1988
Tongue: English
Weight: 282 KB
Volume: 15
Category: Article
ISSN: 0306-686X
DOI: 10.1111/j.1468-5957.1988.tb00117.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

OPTIMAL OUTPUT IN AN OPTION PRICING FRAM

OPTIMAL OUTPUT IN AN OPTION PRICING FRAMEWORK: AN AGENCY-THEORETIC PERSPECTIVE

✍ Jacques a. Schnabel 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

Option pricing when correlations are sto

Option pricing when correlations are stochastic: an analytical framework

✍ José Da Fonseca; Martino Grasselli; Claudio Tebaldi 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 396 KB

A software architecture framework for on

A software architecture framework for on-line option pricing

✍ Kiran Kola; Ruppa K. Thulasiram; Parimala Thulasiraman 📂 Article 📅 2008 🏛 Springer US 🌐 English ⚖ 885 KB

A note on Yoshida’s optimal stopping mod

A note on Yoshida’s optimal stopping model for option pricing

✍ Pedro Terán 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 125 KB

An Asymptotic Analysis of an Optimal Hed

An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs

✍ A. E. Whalley; P. Wilmott 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 210 KB

Approximating American option prices in

Approximating American option prices in the GARCH framework

✍ Jin-Chuan Duan; Geneviève Gauthier; Caroline Sasseville; Jean-Guy Simonato 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 164 KB

## Abstract This article proposes an efficient approach for computing the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed in Duan et al. (1999, 2002)