Output details
19 - Business and Management Studies
University of Northumbria at Newcastle
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Article title
Discrete time linear-quadratic pricing of bonds and options
Type
D - Journal article
Title of journal
Applied Financial Economics
Article number
n/a
Volume number
21
Issue number
7
First page of article
463
ISSN of journal
0960-3107
Year of publication
2011
Number of additional authors
0
Additional information
This paper presents a discrete time pricing model in quasi closed form. The model is applied to price default-free bonds and stock options under stochastic volatility and is the discrete time counterpart of the continuous time Linear Quadratic (LQ) model of Cheng and Scaillet (2007). The model provides a possible alternative to the Garch based option pricing model of Heston-Nandi.
Interdisciplinary
-
Cross-referral requested
-
Research group
None
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-
