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An analytical approximation for the GARCH option pricing model
The Journal of Computational Finance
◽
10.21314/jcf.1999.033
◽
1999
◽
Vol 2
(4)
◽
pp. 75-116
◽
Cited By ~ 56
Author(s):
Jin-Chuan Duan
◽
Geneviève Gauthier
◽
Jean-Guy Simonato
Keyword(s):
Option Pricing
◽
Analytical Approximation
◽
Pricing Model
◽
Option Pricing Model
Download Full-text
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References
An Option Pricing Model with Liquidity Adjustment of Underlying Asset
SSRN Electronic Journal
◽
10.2139/ssrn.2778904
◽
2015
◽
Author(s):
Hui Lin
◽
Yang Yang
Keyword(s):
Option Pricing
◽
Pricing Model
◽
Underlying Asset
◽
Option Pricing Model
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An Option Pricing Model with Probability Measure Ambiguity
SSRN Electronic Journal
◽
10.2139/ssrn.3521604
◽
2020
◽
Author(s):
Yu Liu
◽
Hao Wang
◽
Lihong Zhang
Keyword(s):
Probability Measure
◽
Option Pricing
◽
Pricing Model
◽
Option Pricing Model
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Managing Stock Option Expense: The Manipulation of Option-Pricing Model Assumptions
SSRN Electronic Journal
◽
10.2139/ssrn.479001
◽
2003
◽
Cited By ~ 2
Author(s):
Derek Johnston
Keyword(s):
Option Pricing
◽
Stock Option
◽
Pricing Model
◽
Option Pricing Model
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Option Pricing Model Estimates: Some Empirical Results
Financial Management
◽
10.2307/3665506
◽
1982
◽
Vol 11
(1)
◽
pp. 58
◽
Cited By ~ 41
Author(s):
N. Bulent Gultekin
◽
Richard J. Rogalski
◽
Seha M. Tinic
Keyword(s):
Option Pricing
◽
Pricing Model
◽
Empirical Results
◽
Option Pricing Model
Download Full-text
An Option Pricing Model to Evaluate ADR Investments in AEC Construction Projects under Different Scenarios
Computing in Civil Engineering (2007)
◽
10.1061/40937(261)67
◽
2007
◽
Cited By ~ 1
Author(s):
Carol Menassa
◽
Feniosky Peña Mora
Keyword(s):
Option Pricing
◽
Construction Projects
◽
Pricing Model
◽
Option Pricing Model
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An Option Pricing Model Using High Frequency Data
Procedia Computer Science
◽
10.1016/j.procs.2016.07.035
◽
2016
◽
Vol 91
◽
pp. 175-179
Author(s):
Saebom Jeon
◽
Won Chang
◽
Yousung Park
Keyword(s):
Option Pricing
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Pricing Model
◽
Option Pricing Model
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A new simple square root option pricing model
Journal of Futures Markets
◽
10.1002/fut.20458
◽
2010
◽
Vol 30
(11)
◽
pp. 1007-1025
◽
Cited By ~ 4
Author(s):
António Câmara
◽
Yaw-huei Wang
Keyword(s):
Option Pricing
◽
Square Root
◽
Pricing Model
◽
Option Pricing Model
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Derivation of the Black-Scholes Option-Pricing Model
SSRN Electronic Journal
◽
10.2139/ssrn.1418303
◽
2009
◽
Author(s):
Robert M. Conroy
Keyword(s):
Option Pricing
◽
Pricing Model
◽
Black Scholes
◽
Option Pricing Model
Download Full-text
Recovery of time-dependent volatility in option pricing model
Inverse Problems
◽
10.1088/0266-5611/32/11/115010
◽
2016
◽
Vol 32
(11)
◽
pp. 115010
◽
Cited By ~ 6
Author(s):
Zui-Cha Deng
◽
Y C Hon
◽
V Isakov
Keyword(s):
Option Pricing
◽
Time Dependent
◽
Pricing Model
◽
Option Pricing Model
Download Full-text
Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
Mathematics and Computers in Simulation
◽
10.1016/j.matcom.2007.09.012
◽
2008
◽
Vol 79
(1)
◽
pp. 60-71
◽
Cited By ~ 35
Author(s):
Y.L. Hsu
◽
T.I. Lin
◽
C.F. Lee
Keyword(s):
Option Pricing
◽
Model Integration
◽
Pricing Model
◽
Constant Elasticity
◽
Constant Elasticity Of Variance
◽
Option Pricing Model
◽
Detailed Derivation
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