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| Author: | Bakshi, G. Cao, C. Chen, Z. |
| Title: | Pricing and hedging long-term options |
| Journal: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 277-318 |
| Index terms: | ECONOMETRICS PRICING OPTION PRICES HEDGING STOCHASTIC PROCESSES VOLATILITY INTEREST RATES |
| Language: | eng |
| Abstract: | This paper studies the differential information in , and the pricing and hedging of, short-term versus long-term equity options by comparing four alternative option pricing models. |
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