Valuing Options

Stephen J. Taylor
Additional contact information
Stephen J. Taylor: Lancaster University, UK

Chapter 9 in Modelling Financial Time Series, 2007, pp 225-237 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONBLACK-SCHOLES OPTION PRICING FORMULAEEVALUATING STANDARD FORMULAECALL VALUES WHEN CONDITIONAL VARIANCES CHANGEFormulae for a stationary processExamplesNon-stationary processesConclusionsPRICE TRENDS AND CALL VALUESA formula for trend modelsExamplesSUMMARY

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812770851_0009 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812770851_0009 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812770851_0009

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().