SHORT-MATURITY OPTIONS AND JUMP MEMORY
Author:
Publisher
Wiley
Subject
Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.2007.00222.x/fullpdf
Reference25 articles.
1. Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset Pricing Program, Ohio State University, Purdue University, the Santa Fe Institute, Rutgers University, Stanford University, University of California, Berkeley, University of Michigan, University of Pennsylvania, University of Utah, Washington University (St. Louis), and the 1995 AFA Meetings in Washington, D.C. We are particularly grateful to Kenneth R. French (the referee), and G. William Schwert (the editor) for their suggestions. Financial support from the National Science Foundation is gratefully acknowledged by the first author and from the Academy of Finland by the second and from the Geewax-Terker Program in Financial Instruments by both. Correspondence should be addressed to Franklin Allen, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367.1
2. An alternative valuation model for contingent claims
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