A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives

By António Câmara. 2003

70 citations recorded by the source corpus.

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Why are Put Options so Expensive (2014, unknown): “Several recent papers have documented related findings, including Jackwerth (2000), Coval and Shumway (2001), Aı̈t-Sahalia, Wang, and Yared (2001), Bakshi and Kapadia (2003), and Bollen and Whaley (2003).”
Option Valuation with Long-run and Short-run Volatility Components (2008, unknown): “Using (23), (26) and (25) in (24) we get”
Asset Pricing with Second-Order Esscher Transforms (2010, methodology): “Then, this RNVR or LRNVR are usually justified by a combination of assumptions on agents preferences and on probability distributions [see Rubinstein (1976), Brennan (1979), Duan (1995), Camara (1999, 2003)].”