OPTION VALUES UNDER STOCHASTIC VOLATILITY - THEORY AND EMPIRICAL ESTIMATES

[1] ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING [J]. JOURNAL OF FINANCE, 1985, 40 (01) : 155 - 173

[2] BARTLETT MS, 1946, J ROY STAT SOC B, V8, P128

[3] THE CONSTANT ELASTICITY OF VARIANCE MODEL AND ITS IMPLICATIONS FOR OPTION PRICING [J]. JOURNAL OF FINANCE, 1980, 35 (03) : 661 - 673

[4] VARIANCES OF SECURITY PRICE RETURNS BASED ON HIGH, LOW, AND CLOSING PRICES [J]. JOURNAL OF BUSINESS, 1983, 56 (01) : 97 - 112

[5] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[6] Black F, 1976, P AM STAT ASS, P177

[7] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[8] THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (04) : 407 - 432

[9] Cox J., 1975, NOTES OPTION PRICING, V1

[10] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 145 - 166

[1] ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING [J]. JOURNAL OF FINANCE, 1985, 40 (01) : 155 - 173

[2] BARTLETT MS, 1946, J ROY STAT SOC B, V8, P128

[3] THE CONSTANT ELASTICITY OF VARIANCE MODEL AND ITS IMPLICATIONS FOR OPTION PRICING [J]. JOURNAL OF FINANCE, 1980, 35 (03) : 661 - 673

[4] VARIANCES OF SECURITY PRICE RETURNS BASED ON HIGH, LOW, AND CLOSING PRICES [J]. JOURNAL OF BUSINESS, 1983, 56 (01) : 97 - 112

[5] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[6] Black F, 1976, P AM STAT ASS, P177

[7] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[8] THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (04) : 407 - 432

[9] Cox J., 1975, NOTES OPTION PRICING, V1

[10] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 145 - 166