Model-based pricing for financial derivatives-Reference-Cited by-同舟云学术

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Model-based pricing for financial derivatives

Published:2015-08 Issue:2 Volume:187 Page:447-457
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Zhu Ke,Ling Shiqing

Funder

Hong Kong Research Grants Commission

National Natural Science Foundation of China

President Fund of the Academy of Mathematics and System Science, Chinese Academy of Sciences

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

1. Processes of normal inverse gaussian type;Barndorff-Nielsen;Finance Stochastics,1998

2. A GARCH option pricing model in incomplete markets;Barone-Adesi;Rev. Fin. Studies,2008

3. Empirical option pricing: a retrospection;Bates;J. Econometrics,2003

4. GARCH processes: Structure and estimation;Berkes;Bernoulli,2003

5. The pricing of options and corporate liabilities;Black;J. Political Economy,1973

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