The simulation of option prices with application to LIFFE options on futures
type: Item
instance of: scholarly article
title: The simulation of option prices with application to LIFFE options on futures
zbMATH Open document ID: 0935.91017
DOI: 10.1016/S0377-2217(98)00254-9
author: V. Pereyra
published in: European Journal of Operational Research
publication date: 1999-08-02T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1319510
zbMATH Keywords: generalized gamma
zbMATH Keywords: smile effect
zbMATH Keywords: option prices
zbMATH Keywords: implied volatility
zbMATH Keywords: LIFFE options
MaRDI profile type: Publication
cites work: Q4221325
cites work: Scenario simulation: Theory and methodology
cites work: Q4741623
cites work: Statistical modelling of asymmetric risk in asset returns
cites work: Q3999328
Wikidata QID: Q126556764
full work available at URL: s0377-2217(98)00254-9
OpenAlex ID: W2156572217
description: scientific article; zbMATH DE number 1319510