Option pricing in an investment risk-return setting-Reference-Cited by-同舟云学术

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Option pricing in an investment risk-return setting

Published:2021-10-07 Issue:14 Volume:54 Page:1625-1638
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Stoyanov Stoyan V.¹,Rachev Svetlozar T.²,Shirvani Abootaleb³^ORCID,Fabozzi Frank J.⁴

Affiliation:

1. Charles Schwab Corporation, San Francisco, CA, USA

2. Department of Mathematics & Statistics, Texas Tech University, Lubbock, TX, USA

3. Drake University, College of Business and Public Administration, Des Moines, IA, USA

4. EDHEC Business School, Nice, France

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1980490

Reference25 articles.

1. Mean-Variance Hedging for Stochastic Volatility Models

2. Mean–variance hedging with random volatility jumps

3. The Pricing of Options and Corporate Liabilities

4. The Volatility-of-Volatility Term Structure

5. Option pricing: A simplified approach

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Alternatives to classical option pricing;Annals of Operations Research;2024-09-02

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