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Price discovery in the U.S. stock and stock options markets: A portfolio approach
Holowczak, Richard; Simaan, Yusif; Wu, Liuren - In: Review of Derivatives Research 9 (2006) 1, pp. 37-65
Option prices vary with not only the underlying asset price, but also volatilities and higher moments. In this paper, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher moments. We apply this portfolio approach to the price...
Persistent link: https://www.econbiz.de/10005709828
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A new approach for option pricing under stochastic volatility
Carr, Peter; Sun, Jian - In: Review of Derivatives Research 10 (2007) 2, pp. 87-150
Persistent link: https://www.econbiz.de/10005068000
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Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176
Persistent link: https://www.econbiz.de/10008526467