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A closedform solution for options with stochastic volatility with applications to bond and currency options
 Review of Financial Studies
, 1993
"... I use a new technique to derive a closedform solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
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Cited by 1512 (6 self)
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I use a new technique to derive a closedform solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond
Pricing European Options Without Probability
, 1995
"... It is well known that in the case where the stock price S t is governed by the equation dS t =S t = dt + oedW t , any European option satisfying weak regularity conditions has a fair price (the BlackScholes formula and its generalizations). We consider the case where no probabilistic assumptions ..."
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Cited by 1 (1 self)
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It is well known that in the case where the stock price S t is governed by the equation dS t =S t = dt + oedW t , any European option satisfying weak regularity conditions has a fair price (the BlackScholes formula and its generalizations). We consider the case where no probabilistic assumptions
Bias Reduction in European Option Pricing
, 2004
"... Pricing European options using price estimates of the underlying security that contain noise, create a bias in the option price. We present a technique to reduce this bias. Using ideas from the Longstaff and Schwartz (2001) algorithm, we prove that when the price of the underlying security belongs t ..."
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Pricing European options using price estimates of the underlying security that contain noise, create a bias in the option price. We present a technique to reduce this bias. Using ideas from the Longstaff and Schwartz (2001) algorithm, we prove that when the price of the underlying security belongs
Bounds on European option prices under stochastic volatility
 Math. Finance
, 1999
"... carlossinwdrcom In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model We give conditions under which the inmum and the supremum of the possible option prices are equal to the intrinsic value of the option and to the ..."
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Cited by 25 (0 self)
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carlossinwdrcom In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model We give conditions under which the inmum and the supremum of the possible option prices are equal to the intrinsic value of the option
The Variance Gamma Process and Option Pricing.
 European Finance Review
, 1998
"... : A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional par ..."
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Cited by 365 (34 self)
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parameters are the drift of the Brownian motion and the volatility of the time change. These additional parameters provide control over the skewness and kurtosis of the return distribution. Closed forms are obtained for the return density and the prices of European options. The statistical and risk neutral
PRICING OF THE EUROPEAN OPTIONS BY SPECTRAL THEORY
, 2008
"... We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent, but it is i ..."
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We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent
PROBABLUTY AND PRICING EUROPEAN OPTIONS ON INSTRUMENTS
"... Abshact. Due to the wellknown fact that market returns are not normally distributed, we use generalized hyperbolic distributions for pricing options in a randomized discretetime setup. The obtained formulas can be used for pricing options on stack indexes, currencies and futures contracts. We tes ..."
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Abshact. Due to the wellknown fact that market returns are not normally distributed, we use generalized hyperbolic distributions for pricing options in a randomized discretetime setup. The obtained formulas can be used for pricing options on stack indexes, currencies and futures contracts. We
Forwards and European options on CDO tranches. Working paper
, 2006
"... Now that the market for cash and synthetic CDOs is well established, there is increased interest in trading forward contracts and options on CDO tranches. This article develops models for valuing these instruments. The model for valuing European options on CDO tranches has similarities to the standa ..."
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Cited by 8 (1 self)
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Now that the market for cash and synthetic CDOs is well established, there is increased interest in trading forward contracts and options on CDO tranches. This article develops models for valuing these instruments. The model for valuing European options on CDO tranches has similarities
Results 1  10
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2,372