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DF Structure models for options pricing

Introduction

Basic Assumptions and DF Structure

Partial distribution and stock price

DF process and DF structure

The DF Structure Pricing Models of Options on A Non-Dividend-Paying Stock

DF structure models of call options pricing

Estimation and Test of the Parameters in Partial Distribution

The fiducial test of partial distribution

The Fitness Analysis of Partial Distribution

The fitness analysis for stock index and stock of Chinese market

Comparison Research Between DF Structure Pricing and B-S Pricing

The comparative analysis for MSFT

Conclusions

References

Books Related

DF Structure models for options pricing

References

[1] F. Black and M. Scholes (1973). “The Pricing of Options and Corporate Liabilities,” Journal of Political Economics. Vol. 81: pp. 637-654.

[2] R.C. Merton (1976). “Option Pricing when Underlying Stock Returns are Discontinuous,” Journal of Financial Economics, Vol. 3: pp. 125-144.

[3] W. F. Sharpe (1978). Investment [M]. Prentice-Hall Inc. pp. 118-130, 145-152.

[4] J. C. Cox and S. A. Ross (1976). “Valuation of Options for Alternative Stochastic Process,” Journal of Political Economics, Vol. 3: pp. 145-166.

[5] R. Whaley (1981). “On the Valuation of American Call Options on Stocks with Known Dividends ,” Journal of Financial Economics, Vol. 9: pp. 207-212.

[6] R. Gesk and R. Roll (1984). “On Valuing of American Call Options with the Black-Scholes European Formula,” Journal of Finance, Vol. 39: pp. 443-455.

[7] H. E. Johnson (1983). “An Analytic Approximation to the American Put Price,” Journal of Financial and Quantitative Analysis, Vol. 18 (March): pp. 141-148.

[8] R. Geske and H. E. Johnson (1984). “The American Put Valued Analytically,” Journal of Finance, Vol. 39(December): pp. 1511-1524.

[9] G. Barone-Adesi and R. E. Whaley (1987). “Efficient Analytic Approximation of American Option Values ,” Journal of Finance, Vol. 42(June): pp. 301-320.

[10] L. W. MacMillan(1986). “Analytic Approximation for the American Put Option,”. Advances in Futures and Option Research, Vol. 1: pp. 119-139.

[11] P. Carr, R. Jarrow, and R. Myneni(1992). “Alternative Characterizations of American Put Options,” Mathematical Finance, Vol. 2: pp. 87-106.

[12] R. S. Stapleton and M. G. Subrahmanyam (1997). “The Valuation of American Option with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique,” Journal of Finance, Vol. 52(2) (June): pp.827-840.

[13] John C. Hull (2000). Options, Futures, and Other Derivatives, 4th ed., Prentice Hall Inc.: pp. 251, 388.

[14] E. Briys(1998). “Options, Futures and Exotic Derivatives”, Jhon Wiley & Sons, Inc.

[15] P. Ritchen and R. Trevor (1999). “Pricing Options Under Generalized GARCH and Stochastic Volatility Processes,” Journal of Finance, Vol. 54: pp. 377- 402.

[16] F. Dai and G. Ji (2001). “A New Kind of Pricing Model for Commodity and Estimating Indexes System for Price Security,” Chinese Journal of Management Science, Vol. 9(1): pp. 62-69.

[17] F. Dai and L. Liang (2001). The Market Value Analytic Process for Investment Based on the Partial Distribution [C], Proceedings of SCI 2001/ ISAS 2001, Orlando, USA.

[18] F. Dai and L. Lu (2001), “The Investment Analytic Process based on the Partial Distribution,” Chinese Journal of Management Science, Vol. 9: pp. 315-320.

[19] F. Dai, F. Hou and L. Liang (2002), “PD Model — A New Kind of Model for Options Pricing,” Chinese Journal of Management Science, Vol. 10: pp. 245-248.

[20] F. Dai, W. X. Xu, H. Liu and H. Xu (2003), A New Kind of method of Optimal Pricing for Commodity,” Chinese Journal of Management Science, Vol. 11(1): pp. 33-37.

[21] Salvatore Micciche, Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna (2002), Volatility in Financial Markets: Stochastic Models and Empirical Results, Physica A, Vol. 314: pp. 756-761.

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