The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Option Pricing when the Variance is Changing
Abstract
The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.
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Citations
Cites
An introduction to probability theory and its applications
(1958) · Journal of the Franklin Institute · doi:10.1016/0016-0032(58)90688-4 · Cited by 29,269
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
The variation of certain speculative prices
Mandelbrot, B. B. (1997) · Fractals and Scaling in Finance · doi:10.1007/978-1-4757-2763-0_14 · Cited by 4,468
The valuation of options for alternative stochastic processes
Cox, J. C., & Ross, S. A. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90023-4 · Cited by 2,934
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Clark, P. K. (1973) · Econometrica · doi:10.2307/1913889 · Cited by 2,779
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
Björck, Å., Dahlquist, G. G., & Anderson, N. (1974) · Cited by 1,719
Options: A Monte Carlo approach
Boyle, P. P. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90005-8 · Cited by 1,336
A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
Blattberg, R. C., & Gonedes, N. J. (1974) · The Journal of Business · doi:10.1086/295634 · Cited by 900
Cited by
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
BATES, D. S. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb03775.x · Cited by 874
Monte Carlo methods for security pricing
Boyle, P., Broadie, M., & Glasserman, P. (1997) · Journal of Economic Dynamics and Control · doi:10.1016/s0165-1889(97)00028-6 · Cited by 854
Implied ARCH models from options prices
Engle, R. F., & Mustafa, C. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90074-2 · Cited by 294
Sawhney, R., Goyal, M., Goel, P., Mathur, P., & Shah, R. R. (2021) · Proceedings of the 59th Annual Meeting of the Association for Computational Linguistics and the 11th International Joint Conference on Natural Language Processing (Volume 1: Long Papers) · doi:10.18653/v1/2021.acl-long.526 · Cited by 8
Metadata
- Authors
- Johnson, H., & Shanno, D.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1987-06
- Volume
- 22
- Issue
- 2
- Pages
- 143
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2100534547
- Cited by
- 375
- References
- 26
- FWCI
- 22.90
- Type
- journal article
- Language
- en
- Open access
- closed
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- Johnson, H., & Shanno, D. (1987). Option Pricing when the Variance is Changing. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2330709
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
