OPTION PRICING WHEN THE VARIANCE CHANGES RANDOMLY - THEORY, ESTIMATION, AND AN APPLICATION

被引：465

作者：

SCOTT, LO

机构：

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1987年 / 22卷 / 04期

关键词：

D O I：

10.2307/2330793

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：419 / 438

页数：20

共 36 条

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

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[2]

Black F., 1976, P AM STAT ASS ANN M, P177

[3] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J].

BLATTBERG, RC ;

GONEDES, NJ .

JOURNAL OF BUSINESS, 1974, 47 (02) :244-280

[4] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].

BREEDEN, DT .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296

[5] MACRO-INFORMATION AND THE VARIABILITY OF STOCK-MARKET PRICES [J].

CASTANIAS, RP .

JOURNAL OF FINANCE, 1979, 34 (02) :439-450

[6] THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS [J].

CHRISTIE, AA .

JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (04) :407-432

[7] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].

CLARK, PK .

ECONOMETRICA, 1973, 41 (01) :135-155

[8] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :145-166

[9] AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

ECONOMETRICA, 1985, 53 (02) :363-384

[10]

DOTHAN M, 1985, VOLATILITY BIAS OPTI

← 1 2 3 4 →