A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
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 | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Regressionsanalyse | Regression analysis | Stochastischer Prozess | Stochastic process |
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