SSRN eLibrary Search Results
EFMA 2004 Basel Meetings (Archive)

2,233 Total downloads | Link to this page
Search Within

Viewing: 1 - 13 of 13 papers

1.

Internal Capital Market and Dividend Policies: Evidence from Business Groups

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 03 Jan 2005 Last Revised: 31 Aug 2011
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Stanford University
Downloads 841
2.

Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton

Number of pages: 45 Posted: 22 May 2016
Working Paper Series
University of St Joseph
Downloads 654
3.

Risk Premia in Option Markets

Robert H. Smith School Research Paper No. RHS 2635650
Number of pages: 27 Posted: 26 Jul 2015
Working Paper Series
University of Maryland - Robert H. Smith School of Business
Downloads 269
5.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 42 Posted: 11 Nov 2016
Working Paper Series
University of Zurich and University of Zurich
Downloads 69
6.

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

BIS Working Paper No. 521
Number of pages: 48 Posted: 15 Oct 2015
Working Paper Series
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 62
7.

Pricing and Hedging of European Plain Vanilla Options under Jump Uncertainty

Number of pages: 45 Posted: 03 May 2016 Last Revised: 12 Jun 2016
Working Paper Series
Dublin City University - School of Mathematical Sciences
Downloads 59
8.

Examination of Potential Misrepresentation in CMBS

Number of pages: 47 Posted: 03 Feb 2016
Working Paper Series
University of Texas at Austin - Department of Economics
Downloads 35
9.

Cliquet Option Pricing with Meixner Processes

Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 20 Sep 2017
Working Paper Series
Université Libre de Bruxelles (ULB)
Downloads 24
10.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 34 Posted: 04 Jun 2016
Accepted Paper Series
University of Texas at Austin - Department of Economics and University of Leicester
11.

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Number of pages: 32 Posted: 15 Jun 2016
Accepted Paper Series
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)

Multiple version iconThere are 2 versions of this paper

12.

Optimal Timing of Wind Farm Repowering: A Two-Factor Real Options Analysis

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 32 Posted: 06 Jun 2016
Accepted Paper Series
RWTH Aachen University and RWTH Aachen University
13.

Pricing and Hedging Multiasset Spread Options Using a Three-Dimensional Fourier Cosine Series Expansion Method

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 22 Posted: 06 Jun 2016
Accepted Paper Series
affiliation not provided to SSRN and E.ON Global Commodities