Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns

Author:

NAIK VASANTTILAK

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference16 articles.

1. Ahn , C. M. 1990 Option pricing when jump risk is systematic, Working paper, University of Texas at Dallas, School of Management

2. Asset pricing for general processes;Back;Journal of Mathematical Economics,1991

3. Bates , D. 1988 Pricing options under jump diffusion processes, Working paper, Wharton School, University of Pennsylvania

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Martingales on jump processes; Part I: Representation results; Part II: Applications;Boel;SIAM Journal of Control,1975

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