Statistical Inference for Random-Variance Option Pricing

Sergio Pastorello; Eric Renault; Nizar Touzi

doi:10.2307/1392267

Statistical Inference for Random-Variance Option Pricing

Journal of Business and Economic Statistics ◽

10.2307/1392267 ◽

2000 ◽

Vol 18 (3) ◽

pp. 358 ◽

Cited By ~ 10

Author(s):

Sergio Pastorello ◽

Eric Renault ◽

Nizar Touzi

Keyword(s):

Option Pricing ◽

Statistical Inference ◽

Variance Option ◽

Random Variance

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Statistical Inference for Random-Variance Option Pricing

Journal of Business and Economic Statistics ◽

10.1080/07350015.2000.10524876 ◽

2000 ◽

Vol 18 (3) ◽

pp. 358-367 ◽

Cited By ~ 3

Author(s):

Sergio Pastorello ◽

Eric Renault ◽

Nizar Touzi

Keyword(s):

Option Pricing ◽

Statistical Inference ◽

Variance Option ◽

Random Variance

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The Cogarch: A Review, with News on Option Pricing and Statistical Inference

SSRN Electronic Journal ◽

10.2139/ssrn.1538115 ◽

2010 ◽

Cited By ~ 4

Author(s):

C. Klüppelberg ◽

Ross Maller ◽

Alexander Szimayer

Keyword(s):

Option Pricing ◽

Statistical Inference

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Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning ◽

10.1142/9789811202391_0109 ◽

2020 ◽

pp. 3829-3847

Author(s):

Y. L. Hsu ◽

T. L. Lin ◽

Cheng Few Lee

Keyword(s):

Option Pricing ◽

Model Integration ◽

Pricing Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Option Pricing Model ◽

Detailed Derivation ◽

Variance Option

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The pricing of Hong Kong wattants : an empirical study of the performance of the Kassouf, Black-Scholes and constant elasticity variance option pricing models

10.5353/th_b3197729 ◽

1993 ◽

Author(s):

Wai-keung Chow

Keyword(s):

Hong Kong ◽

Empirical Study ◽

Option Pricing ◽

Pricing Models ◽

Constant Elasticity ◽

Black Scholes ◽

Variance Option

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Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation

Handbook of Quantitative Finance and Risk Management ◽

10.1007/978-0-387-77117-5_31 ◽

2010 ◽

pp. 471-480

Author(s):

Y. L. Hsu ◽

T. I. Lin ◽

C. F. Lee

Keyword(s):

Option Pricing ◽

Model Integration ◽

Pricing Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Option Pricing Model ◽

Detailed Derivation ◽

Variance Option

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Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation

Financial Econometrics, Mathematics and Statistics ◽

10.1007/978-1-4939-9429-8_22 ◽

2019 ◽

pp. 571-582

Author(s):

Cheng-Few Lee ◽

Hong-Yi Chen ◽

John Lee

Keyword(s):

Option Pricing ◽

Model Integration ◽

Pricing Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Option Pricing Model ◽

Detailed Derivation ◽

Variance Option

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Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model

Journal of Futures Markets ◽

10.1002/fut.3990050208 ◽

1985 ◽

Vol 5 (2) ◽

pp. 247-258 ◽

Cited By ~ 28

Author(s):

Jin W. Choi ◽

Francis A. Longstaff

Keyword(s):

Option Pricing ◽

Pricing Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pricing Options ◽

Agricultural Futures ◽

Option Pricing Model ◽

Variance Option

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Option Pricing Under Autoregressive Random Variance Models

North American Actuarial Journal ◽

10.1080/10920277.2006.10596248 ◽

2006 ◽

Vol 10 (2) ◽

pp. 62-75 ◽

Cited By ~ 1

Author(s):

Tak Kuen Siu

Keyword(s):

Option Pricing ◽

Random Variance

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The COGARCH: a review, with news on option pricing and statistical inference

Surveys in Stochastic Processes ◽

10.4171/072-1/2 ◽

2011 ◽

pp. 29-58 ◽

Cited By ~ 8

Author(s):

Claudia Klüppelberg ◽

Ross Maller ◽

Alexander Szimayer

Keyword(s):

Option Pricing ◽

Statistical Inference

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Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning ◽

10.1142/9789811202391_0051 ◽

2020 ◽

pp. 1903-1942

Author(s):

Ren Raw Chen ◽

Cheng Few Lee ◽

Han-Hsing Lee

Keyword(s):

Option Pricing ◽

Pricing Model ◽

Constant Elasticity ◽

Empirical Performance ◽

Option Pricing Model ◽

Variance Option

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