AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put optio...
In this paper, we examine the pricing of European call options on stocks that have vari? ance rates that change randomly. We study continuous time diffusion processes for the st...
ABSTRACT One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this prob...
ABSTRACT This paper characterizes contingent claim formulas that are independent of parameters governing the probability distribution of asset returns. While these parameters ma...
ABSTRACT The tests reported here differ in several ways from those of most other papers testing option pricing models: an extremely large sample of observations of both trades a...
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