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JEL Code: G13
1,851,575 Total downloads
Showing Papers 801 - 850 of 4,932
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Thinking by Analogy and Option Prices
Hammad Siddiqi
Date Posted: August 05, 201140 downloads
Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria
Daniel Ralph and
Yves Smeers
Date Posted: August 04, 2011110 downloads
Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index European Financial Management, 2012
Laurent Deville
,
Carole Gresse and
Béatrice de Séverac
Date Posted: August 03, 2011Last Revised: January 24, 2012133 downloads
Perpetual American Options in a Diffusion Model with Piecewise-Linear Coefficients
Pavel V. Gapeev
and
Neofytos Rodosthenous
Date Posted: August 03, 201131 downloads
On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond
Nikolai Dokuchaev
Date Posted: August 02, 201138 downloads
A Microstructure Analysis of the Carbon Finance Market
Don Bredin
,
Stuart Hyde and
Cal B. Muckley
Date Posted: August 01, 2011Last Revised: January 08, 2013224 downloads
Black-Scholes Formulae for Asian Options in Local Volatility Models
Paolo Foschi ,
Stefano Pagliarani
and
Andrea Pascucci
Date Posted: July 31, 2011Last Revised: December 12, 2011267 downloads
Pricing Swaps Including Funding Costs
Antonio Castagna
Date Posted: July 31, 2011Last Revised: January 31, 2012276 downloads
Integrated Options and Spot Procurement for Commodity Processors
Ankur Goel
and
Fehmi Tanrisever
Date Posted: July 30, 2011Last Revised: December 11, 201172 downloads
Concocting Marketable Cocos HKIMR Working Paper No.22/2011
George M. von Furstenberg
Date Posted: July 27, 201168 downloads
A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach
Cyril Grunspan
Date Posted: July 25, 2011Last Revised: November 29, 2011262 downloads
Do Gamblers Correctly Price Momentum in NBA Betting Markets? Journal of Prediction Markets, Vol. 5, No. 1, pp. 31-50, 2011
Jeremy Arkes
Date Posted: July 21, 201160 downloads
CDs Auctions CEPR Discussion Paper No. DP8456
Mikhail Chernov ,
Alexander S. Gorbenko
and
Igor Makarov
Date Posted: July 20, 20115 downloads
Dispersion Trading
Volker Vonhoff
Date Posted: July 20, 2011256 downloads
Multivariate Lévy Processes with Dependent Jump Intensity Quantitative Finance, Forthcoming
Roberto Marfè
Date Posted: July 20, 2011
Examining the Effect of Target Rate News on Australian Interest Rate Futures International Research Journal of Finance and Economics, Vol. 81, December 2011
Lee A. Smales
Date Posted: July 18, 2011Last Revised: January 20, 201223 downloads
A Note on Essential Smoothness in the Heston Model Finance Stochastics, Forthcoming
Antoine Jacquier
,
Aleksandar Mijatovic
and
Martin Forde
Date Posted: July 15, 2011Last Revised: April 19, 2013
The Smile Calibration Problem Solved
Julien Guyon and
Pierre Henry-Labordere
Date Posted: July 15, 2011808 downloads
Contractual Terms and CDS Pricing BIS Quarterly Review, 2005
Bank for International Settlements ,
Frank Packer and
Haibin Zhu
Date Posted: July 14, 2011Last Revised: November 08, 201195 downloads
The Rise and Fall of US Dollar Interest Rate Volatility: Evidence from Swaptions BIS Quarterly Review, Forthcoming
Bank for International Settlements and
Fabio Fornari
Date Posted: July 13, 201129 downloads
The Cross-Section of Credit Risk Premia and Equity Returns Journal of Finance, Forthcoming
Nils Friewald
,
Christian Wagner
and
Josef Zechner
Date Posted: July 12, 2011Last Revised: May 07, 2013464 downloads
A Long Run Risks Model of Asset Pricing with Fat Tails Review of Finance, Vol. 14, No. 3, pp. 409-449, 2009
Zhiguang Wang
and
Prasad V. Bidarkota
Date Posted: July 10, 2011
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
affiliation not provided to SSRN
Date Posted: July 10, 20111193 downloads
The Performance of Vix Option Pricing Models: Empirical Evidence Beyond Simulation Journal of Futures Markets, Vol. 31, No. 3, pp. 251-281, 2010
Zhiguang Wang
and
Robert T. Daigler
Date Posted: July 10, 2011
Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market Journal of Futures Markets, Forthcoming
Zhiguang Wang
,
Scott W. Fausti
and
Bashir A. Qasmi
affiliation not provided to SSRN
Date Posted: July 10, 2011
Does the Information Content of Option Prices Add Value for Asset Allocation? ICMA Centre Discussion Paper No. DP2011-03
Vladimir V. Zdorovenin
and
Jacques Pezier
Date Posted: July 09, 2011Last Revised: December 17, 201278 downloads
Competence Value Emersion: A Key to Sound Practices in Entrepreneurial Finance: From 'Q' to 'T' Ratios in the North-Eastern Italian Experience
Guido Max Mantovani
Date Posted: July 08, 2011Last Revised: October 08, 201298 downloads
Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options The International Journal of Business and Finance Research, Vol. 5, No. 3, pp. 87-99, 2011
Kohta Takehara
,
Masashi Toda
and
Akihiko Takahashi
Date Posted: July 07, 201126 downloads
Financing Uncertain Growth
Jay Y. Li and
David C. Mauer
Date Posted: July 07, 201184 downloads
Predictive Power of Information Market Prices Swiss Finance Institute Research Paper No. 11-23, The Journal of Prediction Markets, Forthcoming
Maria Putintseva
Date Posted: July 06, 2011Last Revised: August 15, 2011121 downloads
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
Janis Back
,
Raphael Paschke
,
Marcel Prokopczuk
and
Markus Rudolf
Date Posted: July 05, 2011Last Revised: March 28, 2013
Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten Zeitschrift für Betriebswirtschaft, Vol. 76, No. 4, pp. 347-372, 2006,
Antje Brigitte Mahayni and
Michael Suchanecki
Date Posted: July 04, 2011
A New Algorithm for Computing Implied Volatility East-West Journal of Mathematics, Forthcoming
Kawee Numpacharoen and
Kornkanok Bunwong
Date Posted: July 03, 2011Last Revised: August 15, 2012452 downloads
Implied Index and Option Pricing Errors: Evidence from the Taiwan Option Market The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 115-125, 2011
Ching-Ping Wang
,
Hung-Hsi Huang
and
Chien-Chia Hung
Date Posted: July 03, 201146 downloads
The Liquidity Effect in Option Pricing: An Empirical Analysis International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 35-43, 2011
Shih-Ping Feng
Date Posted: July 03, 201166 downloads
The Valuation of Reset Options When Underlying Assets are Autocorrelated The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 95-114, 2011
Yu-Hong Liu
,
I-Ming Jiang
,
Shih-Cheng Lee
and
Yu-Ting Cheng
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 03, 201133 downloads
Transaction Cost Discovery by Decomposition of the Error Term: A Bootstrapping Approach International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 113-121, 2011
Ariful Hoque
Date Posted: July 03, 201128 downloads
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
Lars Stentoft
Date Posted: July 02, 201179 downloads
Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions Journal of Economic Theory, Vol. 146, 2011
An Chen
,
Antoon Pelsser and
Michel Vellekoop
Date Posted: July 01, 2011Last Revised: September 08, 201127 downloads
Capital Requirements or Pricing Constraints? An Economic Analysis of Measures for Insurance Regulation ICIR Working Paper Series No. 03/11
Sebastian Schluetter
Date Posted: June 29, 2011Last Revised: November 18, 201189 downloads
Mispricing in Stock Index Futures Markets – the Case of Greece
Athanasios Fassas
Date Posted: June 28, 201189 downloads
The Fast Multipole Method - Application to PIDE in Option Pricing
Takayuki Sakuma
Date Posted: June 28, 2011Last Revised: August 24, 2011
Evaluating Portfolios in Energy Trading Risk Professional, April 2011
Alessandro Mauro
Date Posted: June 27, 2011175 downloads
Funding, Liquidity, Credit and Counterparty Risk: Links and Implications
Antonio Castagna
Date Posted: June 27, 2011Last Revised: July 20, 2011240 downloads
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks Forthcoming, Journal of Futures Markets
Lin Gao
and
Lu Liu
Date Posted: June 26, 2011Last Revised: November 06, 2012122 downloads
The Optimal Timing and Equilibrium Pricing for IPO
Zhuming Chen
and
Can Chen
Date Posted: June 24, 201152 downloads
Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach
Stylianos Perrakis and
Ali Boloorforoosh
Date Posted: June 24, 201131 downloads
Technical Note on Profit Sharing and Market-Consistent Embedded Value in German Life Insurance
Christian Wiehenkamp
Date Posted: June 22, 2011Last Revised: July 02, 2011112 downloads
Deriving Optimal Portfolios for Hedging Housing Risk Journal of Real Estate Finance and Economics, Forthcoming
Cristian Voicu
and
Michael Joseph Seiler
Date Posted: June 21, 2011
Impact of the First to Default Time on Bilateral CVA
Damiano Brigo ,
Cristin Buescu and
Massimo Morini
Date Posted: June 21, 2011136 downloads
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