The simulation of option prices with application to LIFFE options on futures

DOI10.1016/S0377-2217(98)00254-9zbMath0935.91017OpenAlexW2156572217WikidataQ126556764 ScholiaQ126556764MaRDI QIDQ1296350

V. Pereyra

Publication date: 2 August 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(98)00254-9

zbMATH Keywords

implied volatilityoption pricesgeneralized gammaLIFFE optionssmile effect

Mathematics Subject Classification ID

Related Items (1)

Analysis of the conditional stock-return distribution under incomplete specification.

Cites Work

• Scenario simulation: Theory and methodology
• Statistical modelling of asymmetric risk in asset returns
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