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JEL Code: G13
1,851,651 Total downloads
Showing Papers 1,681 - 1,730 of 4,932
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Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact
Frederic Abergel
and
Grégoire Loeper
Date Posted: March 26, 2013Last Revised: April 15, 201322 downloads
Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Futures
Leonidas Rompolis
and
Elias Tzavalis
Date Posted: December 19, 2012Last Revised: April 13, 201345 downloads
Pricing and Hedging CoCos
Patrick Cheridito
and
Zhikai Xu
Date Posted: January 17, 2013Last Revised: April 22, 2013129 downloads
Pricing and Hedging Basket Options to Prespecified Levels of Acceptability Robert H. Smith School Research Paper No. RHS 06-147
Dilip B. Madan
Date Posted: January 28, 2010Last Revised: January 30, 2011138 downloads
Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model
Leela R. Mitra ,
Gautam Mitra
and
Rogemar Mamon
Date Posted: February 11, 2008320 downloads
Pricing and Capital Requirements for With Profit Contracts: Modelling Considerations
Laura Ballotta
Date Posted: May 03, 2007163 downloads
Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue
Don M. Chance ,
Eric T. Hillebrand
and
Jimmy E. Hilliard
Date Posted: December 18, 2005193 downloads
Pricing an American Option by Approximating Its Early Exercise Boundary As a Piece-Wise Exponential Function
Nengjiu Ju
Date Posted: April 03, 19971103 downloads
Pricing an American Option by Approximating Its Early Exercise Boundary as a Multi-Piece Exponential Function Review of Financial Studies, Vol. 11, No. 3
Nengjiu Ju
Date Posted: June 04, 1998
Pricing American Stock Options by Linear Programming
M. A. H. Dempster and
J.P. Hutton
Date Posted: December 06, 1997620 downloads
Pricing American Options: A Duality Approach Mit Sloan Working Paper No. 4340-01
Martin Haugh and
Leonid Kogan
Date Posted: February 05, 20021172 downloads
Pricing American Options: A Duality Approach Operations Research, Forthcoming
Leonid Kogan and
Martin Haugh
Date Posted: March 11, 2003
Pricing American Options Under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary U of London Queen Mary Economics Working Paper No. 488
Elias Tzavalis and
Shijun Wang
Date Posted: May 17, 2003240 downloads
Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation Journal of Derivatives, Vol. 20, No. 3, 2013
Peter Ruckdeschel
,
Tilman Sayer
and
Alexander Szimayer
Date Posted: March 30, 2011Last Revised: March 07, 2013
Pricing American Options by Canonical Least-Squares Monte Carlo
Qiang Liu
Date Posted: June 16, 2008371 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
Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model
Natalia Beliaeva
,
Sanjay K. Nawalkha and
Gloria M. Soto
Date Posted: March 01, 2007Last Revised: April 20, 2009811 downloads
Pricing American Interest Rate Options Under the Jump-Extended Constant-Elasticity-of-Variance Short Rate Models
Natalia Beliaeva
and
Sanjay K. Nawalkha
Date Posted: January 27, 2011Last Revised: June 15, 201175 downloads
Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models
Natalia Beliaeva
,
Sanjay K. Nawalkha and
Gloria M. Soto
Date Posted: May 16, 2007416 downloads
Pricing American Interest Rate Claims with Humped Volatility Models
Juan M. Moraleda and
Ton Vorst
Date Posted: June 21, 1998
Pricing American Call Options Under the Assumption of Stochastic Dividends - An Application of the Korn-Rogers-Model
Susanne Kruse and
Marlene Müller
Date Posted: February 28, 2008Last Revised: May 05, 200994 downloads
Pricing Adjustable-Rate Real Estate Lease Contracts with Embedded Options and Credit Risk
Chuang-Chang Chang ,
Hsiao-Wei Ho
,
Hongming Huang
and
Yildiray Yildirim
affiliation not provided to SSRN
,
National Central University at Taiwan
and
Syracuse University - Whitman School of Management
Date Posted: October 21, 2011Last Revised: October 22, 201175 downloads
Pricing a Credit-Linked Note on a CDX Tranche
Daniel L. Chertok
Date Posted: November 09, 2012Last Revised: November 18, 201247 downloads
Pricing a Callable Leveraged Constant Maturity Swap Spread Note
Daniel L. Chertok
Date Posted: November 08, 2012Last Revised: November 18, 201228 downloads
Prices, Price Processes, Volume and Their Information
- A Survey of the Market Microstructure Literature - Financial Markets Group, LSE Working Paper No. DP 270
Markus K. Brunnermeier
Date Posted: May 16, 1998
Prices Expansion in the Wishart Model
Pierre Gauthier
and
Dylan Possamai
Date Posted: September 20, 2009Last Revised: September 29, 2009468 downloads
Prices As Aggregators of Private Information: Evidence from the S&P 500 Futures Market
Jin-wan Cho and
Murugappa (Murgie) Krishnan
affiliation not provided to SSRN
and
Yeshiva University
Date Posted: March 30, 1999326 downloads
Prices As Aggregators Of Private Information: Evidence From S&P 500 Futures Data Journal of Financial and Quantitative Analysis
Jin-wan Cho and
Murugappa (Murgie) Krishnan
affiliation not provided to SSRN
and
Yeshiva University
Date Posted: October 20, 1999
Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models
Mitya Boyarchenko and
Sergei Levendorskii
Date Posted: July 05, 2008382 downloads
Prices and Asymptotics for Discrete Variance Swaps
Carole Bernard
and
Zhenyu Cui
Date Posted: July 23, 2012115 downloads
Price Volatility Forecasts for Agricultural Commodities: An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat
Guillermo Benavides
Date Posted: November 01, 2004Last Revised: July 09, 2008774 downloads
Price Stabilization as a Bonding Mechanism in New Equity Issues
Lawrence M. Benveniste ,
Walid Y. Busaba and
William J. Wilhelm
Date Posted: November 06, 2000
Price Stabilization as a Bonding Mechanism in New Equity Issues Journal of Financial Economics Vol. 42, Pp. 223-255, 1996
Lawrence M. Benveniste ,
Walid Y. Busaba and
William J. Wilhelm
Date Posted: September 24, 2002
Price Matching for Multiple Rescindable Options and European Options
Nikolai Dokuchaev
Date Posted: May 23, 200748 downloads
Price Manipulation and American Options in Illiquid Markets
Alexandre F. Roch
Date Posted: September 08, 2011Last Revised: February 24, 201377 downloads
Price Linkages in Selected Agricultural Industrial, Financial and Foreign Exchange Futures Markets Using Daily Data OFOR Working Paper 94-10
Viswanath Tirupattur ,
Philip Garcia and
Raymond M. Leuthold
Date Posted: September 13, 1999
Price Linkages between Chinese and International Metal Future Markets
Han Zhang
,
zheng hui
and
Shuai Dai
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 19, 201144 downloads
Price Inefficiencies in Commodities-Linked Derivatives Markets: A Model-Free Analysis
Alejandro Balbás and
Javier Gil-Bazo
Date Posted: November 20, 2008135 downloads
Price Impact of Block Trades: New Evidence from Downstairs Trading on the World's Largest Carbon Futures Exchange
Gbenga Ibikunle
,
Andros Gregoriou and
Naresh Pandit
Date Posted: November 02, 2011Last Revised: April 21, 201340 downloads
Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures
Bernd Schlusche
Date Posted: October 06, 2009394 downloads
Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures
James Richard Cummings
and
Alex Frino
Date Posted: August 25, 2008Last Revised: November 24, 2011110 downloads
Price Dynamics in the Regular and E-mini Futures Markets
Alexander Kurov
and
Dennis Lasser
Date Posted: May 07, 2003396 downloads
Price Dynamics in the Regular and E-mini Futures Markets Journal of Financial and Quantitative Analysis, Forthcoming
Alexander Kurov
and
Dennis Lasser
Date Posted: May 07, 2003
Price Dynamics in the European Carbon Market
Adrian John Ladaniwskyj
Date Posted: July 31, 2010220 downloads
Price Dynamics in Commodity Market: A Comparison between European and US Markets
Jean-Christophe Statnik and
David Verstraete
Date Posted: April 20, 201252 downloads
Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis
Alessandro Mauro and
Andrea Peri
Date Posted: November 08, 2011Last Revised: November 09, 2011168 downloads
Price Discovery, Causality and Forecasting in the Freight Futures Market EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Manolis G. Kavussanos and
Nikos K. Nomikos
Date Posted: May 23, 2001728 downloads
Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach
Richard Holowczak ,
Yusif Simaan and
Liuren Wu
Date Posted: December 15, 2006262 downloads
Price Discovery in the Foreign Currency Futures and Spot Market FRB of New York Staff Report No. 262
Joshua V. Rosenberg and
Leah Goldman Traub
Date Posted: August 08, 2006460 downloads
Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market Economic and Business Review, Vol. 6, No. 3, pp. 229-243, October 2004
Dimitris Kenourgios
Date Posted: December 20, 2005232 downloads
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