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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.

Prof. Feng Dai, Prof. Zifu Qin

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