Option values under stochastic volatility: Theory and empirical estimates
- 1 December 1987
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 19 (2) , 351-372
- https://doi.org/10.1016/0304-405x(87)90009-2
Abstract
No abstract availableKeywords
This publication has 32 references indexed in Scilit:
- On estimating the expected return on the market: An exploratory investigationPublished by Elsevier ,2002
- Non-trading, market making, and estimates of stock price volatilityJournal of Financial Economics, 1986
- Valuation of American Futures Options: Theory and Empirical TestsThe Journal of Finance, 1986
- On Jumps in Common Stock Prices and Their Impact on Call Option PricingThe Journal of Finance, 1985
- Option arbitrage and strategy with large price changesJournal of Financial Economics, 1984
- Variances of Security Price Returns Based on High, Low, and Closing PricesThe Journal of Business, 1983
- The Constant Elasticity of Variance Model and Its Implications For Option PricingThe Journal of Finance, 1980
- An autoregressive jump process for common stock returnsJournal of Financial Economics, 1977
- The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic ModelsJournal of Financial and Quantitative Analysis, 1977
- The Impact on Option Pricing of Specification Error in the Underlying Stock Price ReturnsThe Journal of Finance, 1976