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REFERENCES

  • 1
    F. Black and M. Scholes. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (May 1973), 63759.
  • 2
    P. P. Boyle and David Emanuel. “Mean Dependent Options.” Working Paper, Accounting Group, University of Waterloo, 1985.
  • 3
    J. C. Cox, J. E. Ingersoll, and S. A. Ross. “An Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53 (March 1985), 36384.
  • 4
    J. C. Cox and S. A. Ross. “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics 3 (January 1976), 14566.
  • 5
    Lawrence Eisenberg. “Relative Pricing from No-Arbitrage Conditions: Random Variance Option Pricing.” Working Paper, University of Illinois, Department of Finance, 1985.
  • 6
    M. Garman. “A General Theory of Asset Valuation under Diffusion State Processes.” Working Paper No. 50, University of California, Berkeley, 1976.
  • 7
    R. Geske. “The Valuation of Compound Options.” Journal of Financial Economics 7 (March 1979), 6381.
  • 8
    J. M. Hammersley and D. C. Handscomb. Monte Carlo Methods. London: Methuen, 1964.
  • 9
    J. C. Hull and A. White. “Hedging the Risks from Writing Foreign Currency Options.” Forthcoming, Journal of International Money and Finance (June 1987).
  • 10
    H. E. Johnson. “Option Pricing When the Variance Is Changing.” Graduate School of Management Working Paper 11–79, University of California, Los Angeles, 1979.
  • 11
    H. E. Johnson and David Shanno. “Option Pricing When the Variance is Changing.” Graduate School of Administration Working Paper 85-07, University of California, Davis, 1985.
  • 12
    R. C. Merton. “The Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4 (Spring 1973), 14183.
  • 13
    R. C. Merton. “Option Pricing When Underlying Stock Returns Are Discontinuous.” Journal of Financial Economics 3 (January 1976), 12544.
  • 14
    M. Rubinstein. “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978.” Journal of Finance 40 (June 1985), 45580.
  • 15
    Louis O. Scott. “Option Pricing When the Variance Changes Randomly: Theory and an Application.” Working Paper, University of Illinois, Department of Finance, 1986.
  • 16
    James B. Wiggins. “Stochastic Variance Option Pricing.” Sloan School of Management, Massachusetts Institute of Technology, 1985.