haku: @journal_id 62 / yhteensä: 680
viite: 204 / 680
| Tekijä: | Bailey, W. Stulz, R. M. |
| Otsikko: | The pricing of stock index options in a general equilibrium model. |
| Lehti: | Journal of Financial and Quantitative Analysis
1989 : MAR, VOL. 24:1, p. 1-12 |
| Asiasana: | STOCK INDEX OPTIONS |
| Kieli: | eng |
| Tiivistelmä: | An analysis of the pricing of stock index options in a general equilibrium model, related to volatility of the stock index and spot rate interest as functions of a stochastic variable. Index options in a simple general equilibrium model. Stochastic volatility and index option prices in general equilibrium. Numerical comparisons of index option pricing models. A Table, covering simulated call option values from 4 models, illustrates the study. |
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