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1,850,465 Total downloads
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Option Pricing and the Probability of Success of Cash Mergers AFA 2010 Atlanta Meetings Paper
Alan Bester
,
Victor Hugo Martinez and
Ioanid Rosu
Date Posted: March 20, 2009Last Revised: March 13, 2013313 downloads
The Greek Implied Volatility Index: Construction and Properties
George S. Skiadopoulos
Date Posted: March 25, 2004313 downloads
Assessing the Influence of Spot Price Predictability in Electricity Futures Hedging
Hipòlit Torró
Date Posted: January 08, 2008Last Revised: March 17, 2009312 downloads
Limits to Arbitrage and Hedging: Evidence from Commodity Markets Journal of Financial Economics (JFE), Forthcoming
Viral V. Acharya ,
Lars A. Lochstoer
and
Tarun Ramadorai
Date Posted: March 09, 2009Last Revised: January 08, 2013312 downloads
Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
Chunsheng Zhou
Date Posted: June 11, 1997312 downloads
Procurement and Distribution Policies in a Distributive Supply Chain in the Presence of Commodity Markets
Ankur Goel
and
Genaro Gutierrez
Date Posted: September 11, 2007Last Revised: May 03, 2012312 downloads
The Influence of Tracking Error on Volatility Premium Estimation
James S. Doran
Date Posted: February 22, 2005312 downloads
Accelerated Stock Repurchase Programs: Underreported and Overpriced? Part II (Hewlett-Packard Addendum)
M. A. Gumport
Date Posted: October 23, 2007Last Revised: April 21, 2009311 downloads
Accuracy of Premium Calculation Models for CAT Bonds - An Empirical Analysis
Marcello Galeotti
,
Marc Gürtler
and
Christine Winkelvos
Date Posted: April 23, 2009Last Revised: December 06, 2011311 downloads
Calculation of Volatility in a Jump-Diffusion Model Journal of Derivatives, Vol. 11, No. 2, 2003
Javier F. Navas
Date Posted: November 20, 2007Last Revised: December 05, 2007311 downloads
Calling Convertible Bonds too Late Can be Rational EFA 2004 Maastricht Meetings Paper No. 4355
Wolfgang Bühler and
Christian Koziol
Date Posted: June 11, 2004311 downloads
Executive Stock and Option Valuation in a Two State-Variable Framework: Allowing Optimal Investment of Outside Wealth in the Riskfree Asset and the Market Portfolio
Jie Cai
and
Anand M. Vijh
Date Posted: February 05, 2004311 downloads
Nonparametric Pricing of Multivariate Contingent Claims FRB New York Working Paper No. 162
Joshua V. Rosenberg
Date Posted: May 06, 2003311 downloads
A Methodology to Analyze Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton Framework Risklab Research Report
Francois Lhabitant ,
Mireille Bossy ,
Rajna Gibson ,
Denis Talay and
Nathalie Pistre
Date Posted: July 10, 2001310 downloads
Asset Liquidity, Business Risk, and Beta
Antonio Camara
and
Ali Nejadmalayeri
Date Posted: March 17, 2009Last Revised: August 21, 2009310 downloads
Interest Rate Convexity and the Volatility Smile
Wolfram Boenkost
and
Wolfgang M. Schmidt
Date Posted: April 10, 2009310 downloads
Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia
Junye Li
Date Posted: January 21, 2010Last Revised: May 14, 2011310 downloads
Pricing American Option Based on a Chebyshev Approximation of the Early Exercise Boundary
Elias Tzavalis and
Shijun Wang
Date Posted: February 24, 2002310 downloads
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities CRSP Working Paper No. 495
George M. Constantinides and
Thaleia Zariphopoulou
Date Posted: April 26, 2000309 downloads
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting
Damiano Brigo ,
Agostino Capponi ,
Andrea Pallavicini
and
Vasileios Papatheodorou
Date Posted: January 20, 2011309 downloads
Forecasting Sovereign Default risk with Merton’s Model
Johan G. Duyvesteyn
and
Martin Martens
Date Posted: May 14, 2011Last Revised: October 17, 2012309 downloads
Information Asymmetry, Bid-Ask Spreads and Option Returns EFA 2003 Annual Conference Paper No. 147
Fredrik Berchtold
and
Lars L. Norden
Date Posted: July 23, 2003309 downloads
Risk Management in Electricity Markets: Hedging and Market Incompleteness TILEC Discussion Paper No. 2008-031
Bert Willems
and
Joris Morbee
Date Posted: September 12, 2008Last Revised: February 20, 2010309 downloads
Weather Derivative Pricing and the Detrending of Meteorological Data: Three Alternative Representations of Damped Linear Detrending
Stephen Jewson
and
Jeremy Penzer
Date Posted: January 24, 2005309 downloads
Decimalization, Trading Costs, and Information Transmissions between ETFs and Index Futures EFMA 2004 Basel Meetings Paper
Robin K. Chou and
Huimin Chung
Date Posted: May 28, 2004308 downloads
The Order Flow of Discount Certificates and Issuer Pricing Behavior Journal of Banking and Finance, Forthcoming
Rainer Baule
Date Posted: February 13, 2009Last Revised: August 18, 2011308 downloads
Correlated Random Walks and the Joint Survival Probability
Mark B. Wise and
Vineer Bhansali
Date Posted: July 07, 2004307 downloads
Equilibrium Price Dynamics of Emission Permits
Steffen Hitzemann
and
Marliese Uhrig-Homburg
Date Posted: February 17, 2011Last Revised: February 22, 2013307 downloads
Explicit Representation of Cost-Efficient Strategies
Carole Bernard
,
Phelim P. Boyle and
Steven Vanduffel
Date Posted: July 30, 2010Last Revised: April 18, 2013307 downloads
The Effect of Credit Risk on Stock Returns Journal of Economic Research, Vol. 14, No. 2, pp. 49-67, 2009
ChoongOh Kang
and
Hyoung Goo Kang
Date Posted: June 16, 2009Last Revised: April 18, 2013307 downloads
A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1
Ram Srinivasan
Date Posted: March 06, 2010306 downloads
Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout Conventions
Damiano Brigo and
Massimo Morini
Date Posted: November 18, 2010Last Revised: February 22, 2011306 downloads
Implied Bivariate State Price Density
Biao Lu and
Guojun Wu
Date Posted: September 27, 1999306 downloads
Option Betas
Nicole Branger
and
Christian Schlag
Date Posted: June 22, 2002306 downloads
Option-implied Asymmetries in Bond Market Expectations Around Monetary Policy Actions of the ECB ECB Working Paper No. 315
Sami Vähämaa
Date Posted: May 18, 2004306 downloads
Adaptive Mesh Modeling and Barrier Option Pricing Under a Jump-Diffusion Process
Jason Fink
and
Michael Albert
Date Posted: February 28, 2007305 downloads
Extracting Information from the Market to Price the Weather Derivatives
Helene Hamisultane
Date Posted: June 12, 2006Last Revised: October 20, 2007305 downloads
Market Jump Risk and the Price Structure of Individual Equity Options WFA 2010 Victoria meetings
Redouane Elkamhi
and
Chayawat Ornthanalai
Date Posted: July 19, 2009Last Revised: June 01, 2010305 downloads
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Tim Bollerslev ,
Lai Xu
and
Hao Zhou
Date Posted: November 18, 2012Last Revised: November 20, 2012305 downloads
Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk SEN Working Paper No. R0202
Jiri Hoogland ,
Dimitri Neumann and
Michel Vellekoop
Date Posted: March 14, 2002305 downloads
Traffic Light Options
Peter Løchte Jørgensen
Date Posted: March 21, 2006305 downloads
A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method Pricing Partners Working Paper
Marian Ciuca
,
Dorinel Bastide
and
Eric Benhamou
Date Posted: December 06, 2007Last Revised: December 24, 2007304 downloads
Does Frequent Trading Always Improve Liquidity? EFMA 2002 London Meetings
Philip Y. K. Cheng
,
Saji Gopinath and
Chandrasekhar Krishnamurti
Date Posted: June 19, 2002304 downloads
Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Eric Benhamou
and
Pierre Gauthier
Date Posted: October 09, 2009Last Revised: December 08, 2009303 downloads
The Impossibility of Full Carry Markets
Amber Anand
Date Posted: December 09, 1999303 downloads
Analytical Pricing of Defaultable Bond with Stochastic Default Intensity
Hyong-chol O
and
Ning Wan
Date Posted: May 16, 2005302 downloads
On Singularities in the Heston Model
Vladimir Lucic
Date Posted: November 25, 2007Last Revised: December 17, 2007302 downloads
Valuation of Arithmetic Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve
Katsumi Kevin Takada
affiliation not provided to SSRN
Date Posted: January 08, 2012Last Revised: January 16, 2012302 downloads
A Tale of Two Option Markets: Pricing Kernels and Volatility Risk Chicago Booth Research Paper No. 12-10, Fama-Miller Working Paper, Forthcoming
Zhaogang Song
and
Dacheng Xiu
Date Posted: March 01, 2012Last Revised: February 13, 2013301 downloads
Cointegrated Commodity Pricing Model
Katsushi Nakajima
and
Kazuhiko Ohashi
Date Posted: July 22, 2009Last Revised: September 21, 2009301 downloads
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