A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Raj Jagannathan (Department of Management Sciences, Tippie College of Business, The University of Iowa, Iowa City, IA, USA)
| Year of publication: |
February 2016
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| Authors: | Jagannathan, Raj |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 2, p. 303-323
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| Subject: | Option Pricing | Black-Scholes Model | Heston's Model | Risk-Neutral Density Functions | Linear Regression Approach | Implied Volatility Functions | Ito Formula | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.62026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544516