Pricing FTSE 100 index options under stochastic volatility

Lancaster University

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Pricing FTSE 100 index options under stochastic volatility. / Strong, N; Lin, Y N; Xu, G X.
In: Journal of Futures Markets, Vol. 21, No. 3, 2001, p. 197-211.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Strong, N, Lin, YN & Xu, GX 2001, 'Pricing FTSE 100 index options under stochastic volatility', Journal of Futures Markets, vol. 21, no. 3, pp. 197-211.

APA

Strong, N., Lin, Y. N., & Xu, G. X. (2001). Pricing FTSE 100 index options under stochastic volatility. Journal of Futures Markets, 21(3), 197-211.

Vancouver

Strong N, Lin YN, Xu GX. Pricing FTSE 100 index options under stochastic volatility. Journal of Futures Markets. 2001;21(3):197-211.

Author

Strong, N ; Lin, Y N ; Xu, G X. / Pricing FTSE 100 index options under stochastic volatility. In: Journal of Futures Markets. 2001 ; Vol. 21, No. 3. pp. 197-211.

Bibtex

@article{db9cdd11fd584e38a782e5d96192336a,

title = "Pricing FTSE 100 index options under stochastic volatility",

author = "N Strong and Lin, {Y N} and Xu, {G X}",

year = "2001",

language = "English",

volume = "21",

pages = "197--211",

journal = "Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley-Liss Inc.",

number = "3",

}

RIS

TY - JOUR

T1 - Pricing FTSE 100 index options under stochastic volatility

AU - Strong, N

AU - Lin, Y N

AU - Xu, G X

PY - 2001

Y1 - 2001

M3 - Journal article

VL - 21

SP - 197

EP - 211

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 3

ER -

Research