Next: About this document ...
Up: thesis
Previous: The Specialised Program for
  Contents
-
- 1
- Chriss, Neil, ``Black-Scholes and Beyond : Option
Pricing Models'', Irwin Professional Publishing, 1997.
- 2
- Hull, John C., ``Options, Futures and Other
Derivatives'', Prentice-Hall International, Third Edition, 1997.
- 3
- Jacob, Nancy L. and Pettit, Richardson R.,
``Investments'', Irwin 1989.
- 4
- Ross, Sheldon M., ``Stochastic Processes'', Wiley,
1983.
- 5
- Roepstorff, Gert, ``Path Integral Approach to
Quantum Physics'', Springer-Verlag, 1994.
- 6
- Wiener, N., ``Differential Space'', Journal of Mathematical and Physical Sciences 2 (1923), 132.
- 7
- Black, F. and Scholes, M., ``The Pricing of Options
and Corporate Liabilities'', Journal of Political Economy 81
(1973), 637-659.
- 8
- Baaquie, Belal E., ``A Path Integral Approach to
Option Pricing with Stochastic Volatility : Some Exact Results'', Journal de Physique I 7 (1997), 1733-1753. (cond-mat/9708178)
- 9
- Merton, R.C., ``The Theory of Rational Option
Pricing'', Bell Journal of Economics and Management Science 4
(Spring 1973), 141-183.
- 10
- Rubinstein, M., ``Nonparametric Tests of the
Alternative Option Pricing Models Using All Reported Trades and Quotes
on the 30 Most Active CBOE Option Classes from August 23, 1976 through
August 31, 1978'', Journal of Finance 40 (June 1986), 445-480.
- 11
- Merton, R.C., ``Option Pricing When Underlying Stock
Returns are Discontinuous'', Journal of Financial Economics 3
(March 1976), 125-144.
- 12
- Cox, J.C., and Ross, S.A., ``The Valuation of Options
for Alternative Stochastic Processes'', Journal of Financial
Economics 3 (March 1976), 145-166.
- 13
- Jones, E.P., ``Option Arbitrage and Strategy with Large
Price Changes'', Journal of Financial Economics 13 (1984),
91-114.
- 14
- Rubinstein, M., ``Displaced Diffusion Option
Pricing'', Journal of Finance 38 (March 1983), 213-217.
- 15
- Kon, S.J., ``Models of Stock Returns - a Comparison'',
Journal of Finance 39 (March 1984), 147-166.
- 16
- Scott, L.O., ``Option Pricing When the Variance
Changes Randomly : Theory, Estimation and an Application'', Journal of Financial and Quantitative Analysis 22 (December 1987), 419-438.
- 17
- Bodurtha, J.N., and Courtadon, G., ``Empirical
Tests of the Philadelphia Stock Exchange Foriegn Currency Options
Markets'', Ohio State University Working Paper WPS 84-69, 1984.
- 18
- Hull, J.C., and White, A., ``Hedging the Risks from
Writing Foriegn Currency Options'', Journal of International
Money and Finance 6 (June 1987), 131-152.
- 19
- Hull, J.C., and White, A., ``An Analysis of the Bias
in Option Pricing Caused by a Stochastic Volatility'', Advances
in Futures and Options Research 3 (1988), 27-61.
- 20
- Heston, S.L., ``A Closed-Form Solution for Options
with Stochastic Volatility with Application to Bond and Currency
Options'', The Review of Financial Studies 6 (1993), 327-343.
- 21
- Stein, E.M., and Stein, J.C., ``Stock Price
Distribution with Stochastic Volatility : An Analytic Approach'', Review of Financial Studies 4 (1991), 727-752.
- 22
- Poterba, J.M., and Summers, L.H., ``The Persistence
of Volatility and Stock Market Fluctuations'', American Economic
Review 76 (1986), 1142-1151.
- 23
- Stein, J., ``Overreactions in the Options Market'',
Journal of Finance 44 (1989), 1011-1023.
- 24
- Mervill, L.H., and Pieptea, D.R., ``Stock Price
Volatility : Mean-Reverting Diffusion and Noise'', Journal of
Financial Economics 24 (1989), 193-214.
- 25
- Baaquie, B.E., (private communication).
- 26
- Cameron, R.H., and Martin, W.T., ``The Wiener
Measure of Hilbert Neighborhoods in the Space of Real Continuous
Functions'', Journal of Mathematical Physics 34 (1944),
195-209.
- 27
- Lamoureux, C.G., and Lastrapes, W.D.,
``Forecasting Stock-Return Variance : Toward an Understanding of
Stochastic Implied Volatilities'', Review of Financial Studies 6
(1993), 293-326.
- 28
- Kleinert, H., ``Path Integrals in Quantum
Mechanics, Statistics and Polymer Physics'', World Scientific 1990.
- 29
- Baaquie, B.E., and Kwek, L.C., ``Smiles and Frowns from
Stochastic Volatility'', NUS Preprint fin/97-01.
- 30
- Zinn-Justin, J., ``Quantum Field Theory and Critical
Phenomena'', International Series of Monographs on Physics, Oxford
Science Publications, 1993.
- 31
- Johnson, H., and Shanno, D., ``Option Pricing when
the Variance is Changing'', Journal of Financial and Quantitative
Analysis 22, 143-151.
Marakani Srikant
2000-08-15