Pricing Equity Derivatives Under the Convenience Yield Measure-Reference-Cited by-同舟云学术

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Pricing Equity Derivatives Under the Convenience Yield Measure

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bloch Daniel Alexandre

Publisher

Elsevier BV

Reference50 articles.

1. A Generalization of Hull and White Formula and Applications to Option Pricing Approximation

2. Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing

3. Jump-diffusion models : volatility smile fitting and numerical methods for pricing;L Andersen;Review of Derivatives Research

4. Is volatility risk priced in the securities market? Evidence from S&P 500 index options;Y E Arisoy;Faculty of Business Administration

5. Empirical performance of alternative option pricing models;G Bakshi;Journal of Finance

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