Discrete time linear-quadratic pricing of bonds and options

Realdon, Marco (2011) Discrete time linear-quadratic pricing of bonds and options. Applied Financial Economics, 21 (7). pp. 463-467. ISSN 0960-3107

Full text not available from this repository. (Request a copy)
Official URL: http://dx.doi.org/10.1080/09603107.2010.533960


This article presents a discrete time pricing model whereby prices are either exponential linear-quadratic functions of stochastic factors or transforms of such exponential linear-quadratic functions. 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). In discrete time, the factors are conditionally Gaussian and market prices of risk can be specified with much freedom.

Item Type: Article
Subjects: L100 Economics
N400 Accounting
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Ay Okpokam
Date Deposited: 28 Aug 2013 11:03
Last Modified: 19 Nov 2019 09:05
URI: http://nrl.northumbria.ac.uk/id/eprint/13413

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics