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1,868,508 Total downloads
Showing Papers 4,151 - 4,200 of 4,954
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Local Volatility Changes in the Black-Scholes Model
Hans-Peter Bermin and
Arturo Kohatsu-Higa
Date Posted: July 29, 2000544 downloads
Financial Modeling and Option Theory with the Truncated Levy
Process International Journal of Theoretical and Applied Finance, Vol. 3, No. 1, P. 143, 2000
Andrew Matacz
Date Posted: July 29, 2000407 downloads
The Design of Private Reinsurance Contracts Journal of Financial Intermediation, Vol. 9, No. 3
Eslyn L. Jean-Baptiste and
Anthony M. Santomero
Date Posted: July 28, 2000
Pricing the SPI Futures Call Option Contract Using the Asay Model
Chakriya Bowman
Date Posted: July 27, 2000242 downloads
The Fear and Exuberance from Implied Volatility of S&P 100 Index Options AFA 2001 New Orleans Meetings
Cheekiat Low
Date Posted: July 26, 2000690 downloads
Discrete Option Pricing: A Simplified Exposition (Part I)
Joseph Tham
Date Posted: July 26, 2000557 downloads
When Are Real Options Exercised? An Empirical Study of Mine Closings Working Paper No. 99-117
Alberto Moel and
Peter Tufano
Date Posted: July 20, 20001373 downloads
Recovering Risk Aversion from Option Prices and Realized Returns Review of Financial Studies, Vol. 13, No. 2
Jens Carsten Jackwerth
Date Posted: July 17, 2000
A Closed-Form GARCH Option Valuation Model Review of Financial Studies
Steven L. Heston and
Saikat Nandi
Date Posted: July 17, 20001791 downloads
Utility Based Option Evaluation with Proportional Transaction Costs EFA 0224
Anders Damgaard
Date Posted: July 17, 2000198 downloads
Hedging Short-term Corn Price Risks In Tokyo versus Chicago's Project A OFOR Working Paper No. 00-02
Raymond M. Leuthold and
Min-Kyoung Kim
Date Posted: July 13, 2000117 downloads
Efficiency in the Pricing of the FTSE 100 Futures Contract European Financial Management, Vol. 7, No. 1, Pp. 9-22, 2001, Cass Business School Research Paper
Joelle Miffre
Date Posted: July 13, 2000
Optimal Stopping and Perpetual Options for Levy Processes
Ernesto Mordecki
Date Posted: July 11, 2000
The Effects of Securitization on Consumer Mortgage Costs Real Estate Economics
Steven K. Todd
Date Posted: June 30, 2000
Suitability in Securities Transactions Business Lawyer, Vol. 54, No. 4, August 1999
Lewis D. Lowenfels and
Alan R. Bromberg
Date Posted: June 27, 2000
Applied Non-Parametric Regression Techniques: Estimating Prepayments on Fixed Rate Mortgage-Backed Securities OLIN-99-04
Michael LaCour-Little and
Clark L. Maxam
Date Posted: June 22, 2000
A Simple Option Pricing Formula
Robert Savickas
Date Posted: June 22, 2000385 downloads
The Basis Risk of Catastrophic-Loss Index Securities
J. David Cummins ,
David Lalonde and
Richard D. Phillips
Date Posted: June 22, 2000485 downloads
The First Passage Time Problem in Contingent Valuation
Jihe Song
affiliation not provided to SSRN
Date Posted: June 21, 2000
SFAS No. 123 Disclosures and Discounted Cash Flow Valuation
Leonard C. Soffer
Date Posted: June 19, 20001191 downloads
The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty European Financial Management, Vol. 6, No. 4, December 2000
Bruce G. Resnick and
Glen A. Larsen Jr.
Date Posted: June 18, 2000
Options and Earnings Announcements: An Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity European Financial Management, Vol. 6, No. 2, June 2000
Monique W.M. Donders ,
Roy Kouwenberg and
Ton Vorst
Date Posted: June 17, 2000
Optimal Exercise Prices For Executive Stock Options Harvard NOM Working Paper No. 99-01
Brian J. Hall and
Kevin J. Murphy
Date Posted: June 16, 2000911 downloads
'True' Stochastic Volatility and a Generalized Class of Affine Models
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: June 13, 2000520 downloads
The Implied Subsidy of Exchange Rate Mechanisms
Vincent Brousseau and
Fabio Scacciavillani
Date Posted: June 12, 2000187 downloads
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence Anderson School at UCLA Working Paper #4-00
Francis A. Longstaff ,
Eduardo S. Schwartz and
Pedro Santa-Clara
Date Posted: June 09, 20001313 downloads
The Term Structure of Simple Forward Rates with Jump Risk
Paul Glasserman and
Steven G. Kou
Date Posted: June 07, 2000540 downloads
An Explanation of the Forward Premium 'Puzzle' European Financial Management, Vol. 6, No. 2, June 2000
Shu Yan and
Richard Roll
Date Posted: June 02, 2000
The Effects of Securitization on Consumer Mortgage Costs
Steven K. Todd
Date Posted: June 01, 2000940 downloads
A Survey into the Use of Derivatives by Large Non-Financial Firms Operating in Belgium European Financial Management, Vol. 6, No. 3, September 2000
Marc J. K. de Ceuster ,
Eddy Laveren and
Jozef Lodewyckx
Date Posted: May 30, 2000
Pecuniary Externalities of Futures Trading and Constrained Suboptimality JAPANESE JOURNAL OF FINANCIAL ECONOMICS, Vol 1 No 1 December 1994
Makoto Yano
Date Posted: May 24, 2000
The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims' Valuation Approach
Marc Chesney and
Rajna Gibson
Date Posted: May 22, 2000
Credit Risk and the Yen Interest Rate Swap Market
Young Ho Eom ,
Jun Uno and
Marti G. Subrahmanyam
Date Posted: May 19, 2000536 downloads
Static Replication of Barrier Options: Some General Results
Leif B. G. Andersen ,
Jesper Andreasen and
David A. Eliezer
Date Posted: May 19, 20002340 downloads
Time-to-Market Capability as a Stackelberg Growth Option
Enrico C. Perotti and
Nalin Kulatilaka
Date Posted: May 19, 2000372 downloads
Managing Collateral On Exchanges and Off: A New Perspective JOURNAL OF DERIVATIVES Vol 2 No 3, Spring 1995
Todd E. Petzel
Date Posted: May 18, 2000
Delta Hedging of S&P 500 Options: Cash versus Futures Market Execution Journal of Derivatives, Spring 1996, Cass Business School Research Paper
Date Posted: May 17, 2000
The Information Content of Implied Volatility, Skewness and Kurtosis: The Empirical Evidence from Long Term CAC 40 Options European Financial Management, Vol. 6, No. 1, March 2000
Patrick Navatte and
Christophe Villa
Date Posted: May 16, 2000
Option Expiration Day Effects in Small Markets: Evidence from the Oslo Stock Exchange J of Financial Engineering, Vol. 3, No. 2, June 1994.
Steve Swidler ,
Lisa Schwartz and
Roger Kristiansen
Date Posted: May 16, 2000
Probabilities and Values of Early Exercise: Spot and Futures Foreign Currency Options THE J. OF DERIVATIVES, Fall 1995
James N. Bodurtha and
Georges R. Courtadon
Date Posted: May 16, 2000
The Economic Impact of Client Losses on OTC Bank Derivatives Dealers: Evidence from the Capital Markets J. OF MONEY, CREDIT, AND BANKING, August 1996
Jeffrey A. Clark and
Steven B. Perfect
Date Posted: May 15, 2000
Risk Management of Real Estate: The Case of Real Estate Swaps J. OF REAL ESTATE FINANCE AND ECONOMICS
Tae H. Park and
Lorne N. Switzer
Date Posted: May 15, 2000
Program Trading and Intraday Volatility REVIEW OF FINANCIAL STUDIES, Vol 7 No 4, 1994
Lawrence Harris and
George Sofianos
affiliation not provided to SSRN
Date Posted: May 14, 2000
Pricing via Multiplicative Price Decomposition THE J. OF FINANCIAL ENGINEERING, Vol. 4 No. 3, September 1995
Robert J. Elliott and
William C. Hunter
Date Posted: May 14, 2000
Pricing Lookback Options Using Binomial Trees: An Evaluation Journal of Financial Engineering, Vol. 4No. 4, December 1995, Cass Business School Research Paper
Date Posted: May 14, 2000
Portfolio Insurance for the Small Investor in Switzerland (J. of Derivatives, Spring 1996)
Walter Wasserfallen
Date Posted: May 14, 2000
Option Trading Around Ex-Dividend Dates J. OF DERIVATIVES, Spring 1996
Arthur J. Wilson
Date Posted: May 14, 2000
Option Pricing with Differential Interest Rates REVIEW OF FINANCIAL STUDIES, Vol 8 No 2
Yaacov Z. Bergman
Date Posted: May 14, 2000
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation Journal of Finance
Andrew W. Lo ,
Harry Mamaysky and
Jiang Wang
Date Posted: May 14, 2000
Skewed Generalized Error Distribution of Financial Assets and Option Pricing
Panayiotis Theodossiou
Date Posted: May 13, 20001579 downloads
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