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Showing Papers 4,501 - 4,550 of 4,952
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Fast Accurate Valuation of American Options
Dmitri Faguet and
Peter Carr
Date Posted: December 20, 1998
Hedging Short-Term Interest Risk Under Time-Varying Distributions Journal of Futures Markets, Vol. 15, pp. 767-783, 1995
Louis Gagnon and
Greg Lypny
Date Posted: December 20, 1998Last Revised: July 12, 2010
Implementing Option Pricing Models When Asset Returns are Predictable JOURNAL OF FINANCE, Vol 50, No 1, March 1995
Andrew W. Lo and
Jiang Wang
Date Posted: December 20, 1998
Is There a Tax-Induced January Effect In the Canadian Equity Options Market?
Moshe A. Milevsky and
Eliezer Z. Prisman
Date Posted: December 20, 1998
Jump-Diffusion Processes and the Bond Markets HBS Working Paper No. 95-034
Sanjiv Ranjan Das
Date Posted: December 20, 1998
The Impact of Crime Rates on Residential Mortgage Default
David B. Nickerson and
Robert M. Feinberg
Date Posted: December 10, 1998236 downloads
The Early Exercise Premium in American Option Prices: Direct Empirical Evidence
Lindsey McMurray and
Pradeep K. Yadav
Date Posted: December 05, 1998
The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of FT-SE 100 Index Options
Paul Dawson
Date Posted: December 05, 1998
When the Bubble is Going to Burst
Jing Chen
Date Posted: December 05, 19981102 downloads
Anonymous Electronic Trading Versus Floor Trading Journal of Empirical Finance, Vol. 7, No. 5, 2000
Dieter Hess and
Guenter Franke
Date Posted: December 05, 1998Last Revised: December 18, 2008
Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory -- An Empirical Study on Japanese Banks -- IMES Discussion Paper No. 98-E-11
Nobuyuki Oda
Date Posted: November 29, 1998358 downloads
Dynamic Programming and Mean-Variance Hedging Finance and Stochastics, Vol. 3, Iss. 1, 1999
Huyen Pham and
Jean Paul Laurent
Date Posted: November 25, 1998
Connecting Discrete and Continuous Path-Dependent Options Finance and Stochastics, Vol. 3, Iss. 1, 1999
Mark Broadie ,
Paul Glasserman and
Steven G. Kou
Date Posted: November 25, 1998
A Closed-Form Solution to the Problem of Super-Replication under Transaction Costs Finance and Stochastics, Vol. 3, Iss. 1, 1999
Jaksa Cvitanic ,
Huyen Pham and
Nizar Touzi
Date Posted: November 24, 1998
Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence From Dual Trading Restrictions Journal of Financial and Quantitative Analysis, March 1999
Asani Sarkar ,
Peter Locke and
Lifan Wu
Date Posted: November 09, 1998
Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence From Dual Trading Restrictions
Asani Sarkar ,
Peter Locke and
Lifan Wu
Date Posted: November 09, 1998180 downloads
Generalizing Merton's Approach of Pricing Risky Debt: Some Closed Form Results University of Waterloo Working Paper TD-UW-98
Deng-Feng Wang
affiliation not provided to SSRN
Date Posted: November 08, 1998643 downloads
Closing the Floor: Evidence of Price Discovery on the Sydney Futures Exchange Babcock School Working Paper 98-022
Frederick H. deB. Harris ,
Alex Frino and
Thomas H. McInish
Date Posted: November 08, 1998
Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models
Dennis Bams and
Peter C. Schotman
Date Posted: November 07, 1998550 downloads
Eurodollar Bundles and Hedging Considerations THE JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 1, March 1995
Ira G. Kawaller
Date Posted: November 04, 1998
The Short-Run Dynamics of the Price Adjustment to New Information JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol 30, No 1, March 1995
Louis H. Ederington and
Jae Ha Lee
Date Posted: November 04, 1998
The Impact of Firm Specific News on Implied Volatilities
Monique W.M. Donders and
Ton Vorst
Date Posted: November 03, 1998
Asset Pricing under Political Risk: Theory and Evidence from Hong Kong Stock Options
Joseph Cherian and
Enrico C. Perotti
Date Posted: November 03, 1998
Repricing and Employee Stock Option Valuation
Charles J. Corrado ,
Bradford D. Jordan ,
Thomas W. Miller Jr. and
John J. Stansfield
Date Posted: October 26, 1998531 downloads
Valuing American Options by Simulation: A Simple Least-Squares Approach
Francis A. Longstaff and
Eduardo S. Schwartz
Date Posted: October 26, 1998
Path Dependent Options on Yields in the Affine Term Structure Model Finance and Stochastics, Vol. 2, No. 4, 1998
Boris Leblanc and
Olivier Scaillet
Date Posted: October 22, 1998
Early Unwinding Strategy in Index Options-Futures Arbitrage Journal of Financial Research
Louis T. W. Cheng ,
Joseph K. W. Fung and
Castor W. S. Pang
Date Posted: October 22, 1998
Are REIT Returns Hedgeable? Journal of Real Estate Research, Vol. 16, No. 1, September 1998
Arjun Chatrath ,
Youguo Liang and
Michael J. Seiler
Date Posted: October 22, 1998
Long Memory in Futures Prices Financial Review, November 1998
Joseph I. Onochie ,
John T. Barkoulas and
Walter C. Labys
Date Posted: October 22, 1998
Option Pricing with Heterogeneous Expectations Financial Review, November 1998
Chen Guo
Date Posted: October 21, 1998
Estimating Volatility and Dividend Yield when Valuing Real Options to Invest or Abandon Quarterly Review Of Economics And Finance, Special Issue, 1998
Graham A. Davis
Date Posted: October 21, 1998
Comparing Mean Reverting Versus Pure Diffusion Interest Rate Processes in Valuing Postponement Options Quarterly Review of Economics and Finance, Special Issue, 1998
Ronald W. Spahr and
Robert G. Schwebach
Date Posted: October 21, 1998
Why the Law Hates Speculators: Regulation and Private Ordering in the Market for OTC Derivatives
Lynn A. Stout
Date Posted: October 21, 1998
The Valuation of Interest Rate Digital Options and Range Notes Revisited European Financial Management, 1998
Patrick Navatte and
Francois Quittard-Pinon
Date Posted: October 21, 1998
Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models
Les Clewlow and
Chris Strickland
Date Posted: October 20, 1998865 downloads
The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices
Claus Munk
Date Posted: October 19, 1998256 downloads
An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps
Anurag Gupta and
Marti G. Subrahmanyam
Date Posted: October 15, 1998
Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates
Richard C. Stapleton and
Marti G. Subrahmanyam
Date Posted: October 15, 1998
An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach
Sandra Peterson ,
Richard C. Stapleton and
Marti G. Subrahmanyam
affiliation not provided to SSRN
,
University of Strathclyde, Glasgow - Department of Accounting and Finance
and
New York University - Stern School of Business
Date Posted: October 15, 1998
Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?
Louis H. Ederington and
Wei Guan
Date Posted: October 15, 1998
A New Approach to the Valuation of Interest Rate Derivatives: Arrow-Debreu Prices Implicit in the Term Structure of Interest Rates
Padideh Jalali and
Hossein B. Kazemi
Date Posted: October 12, 19982251 downloads
Futures Price Volatility and Spot Price Stationarity: Reevaluating the Samuelson Hypothesis
Hendrik Bessembinder ,
Jay F. Coughenour ,
Paul J. Seguin and
Margaret Smoller
Date Posted: October 10, 1998
Expected Optimal Exercise Time of a Perpetual American Option: A Closed Form Solution THE JOURNAL OF FINANCIAL ENGINEERING, Volume 4, Number 1, March 1995.
Rudy Yaksick
Date Posted: October 10, 1998
Testing Option Pricing Models
David S. Bates
Date Posted: October 10, 1998
Brazilian Soybean Production and the CBOT Futures Profile
Darren L. Frechette
affiliation not provided to SSRN
Date Posted: October 10, 1998
Implied Volatility Smiles: Empirical Tests
Bernard Dumas ,
Jeff Fleming and
Robert E. Whaley
Date Posted: October 10, 1998
Futures Contracting and Dividend Uncertainty in Experimental Asset Markets JOURNAL OF BUSINESS, Vol 68 No. 4, October 1995
David P. Porter and
Vernon L. Smith
Date Posted: October 10, 1998
Some Easy-To-Implement Methods of Calculating American Futures Option Prices JOURNAL OF FUTURES MARKETS, Vol 15 (3), 1995
M.M. Chaudhury
affiliation not provided to SSRN
Date Posted: October 10, 1998
Price Continuity Rules and Insider Trading JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol 30, No 2, June 1995
Ananth Madhavan and
Prajit K. Dutta
Date Posted: October 10, 1998
Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? Journal of Business, Vol. 68, No. 3, July 1995
Wayne E. Ferson and
Robert A. Korajczyk
Date Posted: October 10, 1998Last Revised: April 11, 201090 downloads
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