THE PRICING OF OPTIONS ON ASSETS WITH STOCHASTIC VOLATILITIES

被引：1627

作者：

HULL, J

WHITE, A

机构：

来源：

关键词：

D O I：

10.1111/j.1540-6261.1987.tb02568.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：281 / 300

页数：20

共 16 条

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[2]

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[4] AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

[5]

EISENBERG L, 1985, RELATIVE PRICING NO

[6]

GARMAN M, 1976, 50 U CAL WORK PAP

[7] VALUATION OF COMPOUND OPTIONS [J].

GESKE, R .

[8]

Hammersley J.M., 1964, MONTE CARLO METHODS

[9]

HULL JC, 1987, IN PRESS J INT MONEY

[10]

Johnson H., 1985, 8507 U CAL GRAD SCH