Advanced search
Publication Cover
Communications in Statistics. Stochastic Models Volume 13, 1997 - Issue 4
Journal homepage
45
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Option pricing bounds in an a α stable security market

A. W. Janicki Institute of Mathematics, Wroclaw Technological University, Wroclaw, Poland
,
I. Popova Krannert Graduate School of Management, Purdue University, West Lafayette, IN, 47907
,
P. H. Ritchken Departments of Banking and Finance &Operations Research, Case Western Reserve University, Cleveland, OH, 44106
&
W. A. Woyczynski Department of Statistics, and Center for Stochastic and Chaotic Processes in Science and Technology, Case Western Reserve University, Cleveland, OH, 44106
Pages 817-839 | Received 18 Dec 1996, Accepted 06 Mar 1997, Published online: 21 Mar 2007

Citations (9)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Nils Chr. Framstad. (2017) Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus. Stochastics 89:1, pages 38-64.
Read now

Articles from other publishers (8)

Hazhir Aliahmadi, Mahsan Tavakoli-Kakhki & Hamid Khaloozadeh. (2020) Option pricing under finite moment log stable process in a regulated market: A generalized fractional path integral formulation and Monte Carlo based simulation. Communications in Nonlinear Science and Numerical Simulation 90, pages 105345.
Crossref
José Antonio Climent Hernández & Itzel Gómez Pinto. (2020) Valuación de opciones con ajustes a distribuciones a-estables y contabilidad bajo la norma internacional de información financiera. Contaduría y Administración 66:2.
Crossref
Weidong Xu, Chongfeng Wu, Yucheng Dong & Weilin Xiao. (2011) Modeling Chinese stock returns with stable distribution. Mathematical and Computer Modelling 54:1-2, pages 610-617.
Crossref
Hosam Ki, Byungwook Choi, Kook-Hyun Chang & Miyoung Lee. (2005) Option pricing under extended normal distribution. Journal of Futures Markets 25:9, pages 845-871.
Crossref
Peter Carr & Liuren Wu. (2003) The Finite Moment Log Stable Process and Option Pricing. The Journal of Finance 58:2, pages 753-777.
Crossref
Tomasz J. Kozubowski, Anna K. Panorska & Svetlozar T. Rachev. 2003. Handbook of Heavy Tailed Distributions in Finance. Handbook of Heavy Tailed Distributions in Finance 131 167 .
Wojbor A. Woyczyński. 2001. Lévy Processes. Lévy Processes 241 266 .
S. Mittnik, S.T. rachev, T. Doganoglu & D. Chenyao. (1999) Maximum likelihood estimation of stable Paretian models. Mathematical and Computer Modelling 29:10-12, pages 275-293.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.