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Pricing FTSE 100 index options under stochastic volatility

Lin, Yueh-neng; Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 21 (2001) 3, pp. 197-211

Persistent link: https://www.econbiz.de/10001556705

Do S&P 500 index options violate the martingale restriction?

Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 19 (1999) 5, pp. 499-521

Persistent link: https://www.econbiz.de/10001410411

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10003461175

Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Real options and investment under uncertainty : …, (pp. 559-570). 2004

Persistent link: https://www.econbiz.de/10002362631

Project flexibility, agency, and competition : new developments in the theory and application of real options

Brennan, Michael J. (contributor) - 2000

Persistent link: https://www.econbiz.de/10004595338

Financial markets and corporate finance : selected papers

Brennan, Michael J. - 1999

Persistent link: https://www.econbiz.de/10013550489

Option Payoffs, Disagreement and Returns

Brennan, Michael J.; Zhang, Yuzhao - 2022

We develop a measure of investor disagreement about the probability distribution of future returns on the market portfolio. The measure, which depends on the distribution across strike prices of open interest in index options, is derived by inverting the optimal portfolio decision of an investor...

Persistent link: https://www.econbiz.de/10013306181

Transaction risk, derivative assets, and equilibrium

Cao, H. Henry; Ye, Dongyan - In: The quarterly journal of finance 6 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011452334