OPTION PRICING - AMERICAN PUT

被引：78

作者：

PARKINSON, M ^{[1
]}

机构：

[1] UNIV FLORIDA,DEPT PHYS & ASTRON,GAINESVILLE,FL 32601

来源：

关键词：

D O I：

10.1086/295902

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：21 / 36

页数：16

共 8 条

[1]

Bachelier L., 1964, RANDOM CHARACTER STO

[2]

BLACK, 1972, J FINANCE, V27, P399

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[4]

COX J, 1975, 277 STANF RES PAP

[5]

LIGHTHILL MJ, 1958, INTRO FOURIER ANALYS

[6] THE VARIATION OF CERTAIN SPECULATIVE PRICES [J].

MANDELBROT, B .

[7] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183

[8]

Sharpe W.F., 1970, PORTFOLIO THEORY CAP