Hybrid Option Pricing with a Vega-Weighted Implied Standard Deviation

Paul R Lajbcygier, Andrew M Flitman, Marimuthu Palaniswami

    Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Other

    Original languageEnglish
    Title of host publicationBusiness Systems Research, Vol 2
    Place of PublicationClayton Vic Australia
    PublisherDepartment of Business Systems
    Pages599 - 618
    Number of pages20
    Publication statusPublished - 1997

    Cite this

    Lajbcygier, P. R., Flitman, A. M., & Palaniswami, M. (1997). Hybrid Option Pricing with a Vega-Weighted Implied Standard Deviation. In Business Systems Research, Vol 2 (pp. 599 - 618). Department of Business Systems.