Pricing options on assets with predictable white noise returns
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- Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.
- Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group.
References listed on IDEAS
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Cited by:
- Mencía, Javier & Sentana, Enrique, 2013.
"Valuation of VIX derivatives,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
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More about this item
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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