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506
The Valuation of Options for Alternative Stochastic Processes
 Journal of Financial Economics
, 1976
"... This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas, ..."
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Cited by 679 (5 self)
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This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas
Dynamic Logic
 Handbook of Philosophical Logic
, 1984
"... ed to be true under the valuation u iff there exists an a 2 N such that the formula x = y is true under the valuation u[x=a], where u[x=a] agrees with u everywhere except x, on which it takes the value a. This definition involves a metalogical operation that produces u[x=a] from u for all possibl ..."
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Cited by 1012 (7 self)
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ed to be true under the valuation u iff there exists an a 2 N such that the formula x = y is true under the valuation u[x=a], where u[x=a] agrees with u everywhere except x, on which it takes the value a. This definition involves a metalogical operation that produces u[x=a] from u for all
On the valuation of arithmetic–average Asian options: explicit formulas
, 1999
"... In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves these recursio ..."
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Cited by 9 (3 self)
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In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves
Overconfidence and speculative bubbles
 Journal of Political Economy
, 2003
"... Motivated by the behavior of asset prices, trading volume and price volatility during historical episodes of asset price bubbles, we present a continuous time equilibrium model where overconfidence generates disagreements among agents regarding asset fundamentals. With shortsale constraints, an ass ..."
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Cited by 329 (22 self)
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, an asset owner has an option to sell the asset to other overconfident agents when they have more optimistic beliefs. As in Harrison and Kreps (1978), this resale option has a recursive structure, that is, a buyer of the asset gets the option to resell it. Agents pay prices that exceed their own valuation
Fast Analytic Option Valuation with GARCH
, 2008
"... This paper introduces a new method for pricing European style call options with GARCH models. The resulting pricing formula is an explicit function of the model parameters, current spot asset price, exercise price and time to maturity. The method under consideration is remarkably fast because no nu ..."
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Cited by 1 (1 self)
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This paper introduces a new method for pricing European style call options with GARCH models. The resulting pricing formula is an explicit function of the model parameters, current spot asset price, exercise price and time to maturity. The method under consideration is remarkably fast because
A CLOSEDFORM OPTION VALUATION FORMULA IN MARKOV JUMP DIFFUSION MODELS
"... To improve the empirical performance of the BlackScholes model, many alternative models have been proposed to address the leptokurtic feature of the asset return distribution, volatility smile and the effects of volatility clustering phenomenon. However, analytical tractability remains a problem fo ..."
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’s general equilibrium framework to provide closed form formulas for option and futures prices. When the jump size follows a specific distribution, for instance a lognormal distribution and a default probability, we write explicit analytic formulas for the equilibrium prices. Through these formulas, we
Valuation of Exotic Options under Shortselling Constraints
, 2000
"... . Options with discontinuous payos are generally traded above their theoretical BlackScholes prices because of the hedging diculties created by their large delta and gamma values. A theoretical method for pricing these options is to constrain the hedging portfolio and incorporate this constraint in ..."
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Cited by 8 (2 self)
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into the pricing by computing the smallest initial capital which permits superreplication of the option. We develop this idea for exotic options, in which case the pricing problem becomes one of stochastic control. Our motivating example is a call which knocks out in the money, and explicit formulas
Employee Stock Option Valuation with an Early Exercise Boundary
 Financial Analysts Journal
, 2008
"... Many companies are recognizing that the BlackScholes formula is inappropriate for employee stock options (ESOs) and are moving toward lattice models for accounting or decisionmaking purposes. In the most influential of these models, the assumption is that employees exercise voluntarily when the st ..."
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Cited by 2 (0 self)
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Many companies are recognizing that the BlackScholes formula is inappropriate for employee stock options (ESOs) and are moving toward lattice models for accounting or decisionmaking purposes. In the most influential of these models, the assumption is that employees exercise voluntarily when
Valuation of Exotic OptionsUnder Shortselling Constraints
"... Abstract. Options with discontinuous payoffs are generally traded above theirtheoretical BlackScholes prices because of the hedging difficulties created by their large delta and gamma values. A theoretical method for pricing theseoptions is to constrain the hedging portfolio and incorporate this co ..."
Abstract
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this constraint into the pricing by computing the smallest initial capital which permits superreplication of the option. We develop this idea for exotic options, in which case the pricing problem becomes one of stochastic control. Our motivating exampleis a call which knocks out in the money, and explicit
Results 1  10
of
506