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Advances in Futures and Options Research

3,342 Total downloads

Viewing: 1 - 14 of 14 papers

1.

The Pricing of Double Barrier Options and Their Variations

Advances in Futures and Options Research, Vol. 10, 1998
Number of pages: 25 Posted: 07 Nov 2005
Accepted Paper Series
KL Capital
Downloads 1,631
2.

Using Stock Price as Numeraire in Option Pricing Models with Non-Constant Volatility

Advances in Futures and Options Research, Vol. 9, 1997
Number of pages: 16 Posted: 20 Oct 2006
Accepted Paper Series
KL Capital
Downloads 784
3.

A One-Factor Lognormal Markovian Interest Rate Model: Theory and Implementation

Advances in Futures and Options Research, Vol. 8, 1995
Number of pages: 12 Posted: 20 Oct 2006
Accepted Paper Series
KL Capital
Downloads 516
4.

Testing a Jump-Diffusion Stochastic Interest Rates Model in Currency Options Markets

Advances in Futures and Options Research, Vol. 11, 2001
Number of pages: 42 Posted: 04 Dec 2007
Accepted Paper Series
The Institute of International Studies and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 391
5.

Trading Frequency and Implied Transaction Costs of Foreign Exchange Options

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Vol. 7, pp. 37-45, 1994
Number of pages: 9 Posted: 19 Jul 2001 Last Revised: 08 Oct 2013
Accepted Paper Series
Ben-Gurion University of the Negev - School of Management, Hebrew University of Jerusalem and Rutgers University
Downloads 20
6.

An Option-Based Approach to Determining the Optimal Reinsurance Stop-Loss Premium

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Vol 7, 1994
Posted: 25 Oct 1999
Accepted Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
7.

Components of the Bid-Ask Spread of Default-Risky Interest Rate Swaps

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 12 May 2000
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies and Thomas Jefferson University
8.

Hedging Option Portfolios in the Presence of Transaction Costs

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 20 Oct 2000
Accepted Paper Series
University of Oxford - Nomura Centre for Mathematical Finance, affiliation not provided to SSRN and University of Warwick - Finance Group
9.

Numeraire Invariance, Change of Measure, and Pricing by Arbitrage in Continuous Time Financial Models

Advances in Futures and Options Research, Vol. 10, No. 1, 1999
Posted: 19 Dec 2012
Accepted Paper Series
University of Aarhus - Business and Social Sciences and Aarhus University - Department of Management
10.

On the Use of Implied Volatilities in the Prediction of Successful Corporate Takeovers

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 23 Dec 1999
Accepted Paper Series
University of Texas at Austin - Department of Finance, University of Lugano and Fidelity Investments
11.

The Mathematical Foundations of Barrier Option-Pricing Theory

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 03 May 2000
Accepted Paper Series
affiliation not provided to SSRN
12.

The Pricing of Index Options When the Underlying Assets All Follow a Lognormal Diffusion

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 18 Jul 2001
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies, University of Alabama - Department of Mathematics and affiliation not provided to SSRN
13.

Unbiased Estimation of Option Prices: An Examination of the Return from Hedging Options Against Stocks

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 03 May 2000
Accepted Paper Series
Syracuse University - Department of Economics and affiliation not provided to SSRN
14.

Valuing Takeover-Contingent Foreign Exchange Call Options

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 02 May 2000
Accepted Paper Series
Wilfrid Laurier University - School of Business & Economics and University of Toronto - Rotman School of Management