Richard C. Stapleton

University of Strathclyde - Department of Accounting and Finance

Curran Building

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

SCHOLARLY PAPERS

37

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Top 9,339

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4,099

CITATIONS
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Top 4,091

in Total Papers Citations

132

Scholarly Papers (37)

1.
Downloads 915 ( 19,905)
Citation 6

The Term Structure of Interest-Rate Futures Prices

EFA 2001 Barcelona Meetings
Number of pages: 68 Posted: 13 Dec 1999
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 822 (22,896)
Citation 6

Abstract:

The Term Structure of Interest-Rate Futures Prices.

NYU Working Paper No. S-DRP-01-11
Number of pages: 45 Posted: 07 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 47 (346,098)
Citation 6

Abstract:

The Term Structure of Interest-Rate Futures Prices

NYU Working Paper No. FIN-01-040
Number of pages: 45 Posted: 03 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 46 (349,312)
Citation 6

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

EFA 2001 Barcelona Meetings
Number of pages: 50 Posted: 04 Jul 2001
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 683 (29,771)
Citation 3

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. S-DRP-01-14
Number of pages: 51 Posted: 07 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 107 (215,395)
Citation 2

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. FIN-01-041
Number of pages: 51 Posted: 03 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 32 (401,949)
Citation 2

Abstract:

3.

The Valuation of American-style Swaptions in a Two-factor Spot Futures Model

Number of pages: 40 Posted: 15 Jan 2000
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 502 (44,575)

Abstract:

4.

Richardson Extrapolation Techniques for the Pricing of American-Style Options

EFMA 2002 London Meetings
Number of pages: 26 Posted: 12 Jun 2002
San-Lin Chung, Chuang-Chang Chang and Richard C. Stapleton
National Central University at Taiwan - Department of Finance, National Central University at Taiwan - Department of Finance and University of Strathclyde - Department of Accounting and Finance
Downloads 489 (43,812)
Citation 5

Abstract:

American option, non-uniform convergence, Richardson extrapolation, Repeated-Richardson extrapolation

5.

Long-Term Portfolio Choice Given Uncertain Personal Savings

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 53 Posted: 12 May 2002
Guenter Franke, Sandra Peterson and Richard C. Stapleton
University of Konstanz - Department of Economics, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 295 (85,022)
Citation 1

Abstract:

6.

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

NYU Working Paper No. FIN-94-037
Number of pages: 35 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 123 (186,217)
Citation 1

Abstract:

Correlation Risk, Derivatives, Portfolio Performance, Exchange Risk

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

NYU Working Paper No. FIN-98-070
Number of pages: 40 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Sandra Peterson and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 113 (206,905)
Citation 2

Abstract:

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Posted: 15 Oct 1998
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

8.

The Pricing of Options on Credit-Sensitive Bonds

Schmalenbach Business Review, Vol. 55, July 2003
Number of pages: 16 Posted: 03 Jun 2004
Sandra Peterson and Richard C. Stapleton
affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 105 (206,009)

Abstract:

Credit Risk, Bonds, Options

9.

The Term Structure of Interest-Rate Future Prices

NYU Working Paper No. FIN-99-045
Number of pages: 51 Posted: 11 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 97 (229,318)
Citation 6

Abstract:

10.

A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates

NYU Working Paper No. FIN-96-029
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 84 (246,140)

Abstract:

11.

When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel

NYU Working Paper No. FIN-99-003
Number of pages: 30 Posted: 07 Nov 2008
Guntar Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 74 (265,270)
Citation 20

Abstract:

12.

The Valuation of American-Style Options on Bonds

NYU Working Paper No. FIN-96-027
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 62 (284,675)
Citation 4

Abstract:

American Bond Options, Stochastic Interest Rates

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-96-025
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 36 (385,429)
Citation 26

Abstract:

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-98-063
Number of pages: 31 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 18 (476,619)
Citation 26

Abstract:

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

Journal of Economic Theory, 1998
Posted: 20 May 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

14.

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

NYU Working Paper No. FIN-94-036
Number of pages: 39 Posted: 11 Nov 2008
Teng-Suan Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 51 (316,846)
Citation 18

Abstract:

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-95-022
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 26 (430,846)

Abstract:

Background risk, derived utility, sharing rules

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-94-034
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 13 (505,703)

Abstract:

16.

The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1

NYU Working Paper No. FIN-99-078
Number of pages: 40 Posted: 11 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 34 (366,346)

Abstract:

17.

Why are Options Expensive?

NYU Working Paper No. FIN-98-065
Number of pages: 38 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 32 (384,622)

Abstract:

18.

Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique

NYU Working Paper No. FIN-96-028
Number of pages: 29 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 29 (392,442)
Citation 8

Abstract:

19.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. S-MF-99-02
Number of pages: 26 Posted: 12 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 27 (409,466)
Citation 1

Abstract:

20.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. FIN-01-039
Number of pages: 28 Posted: 03 Nov 2008
G. Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 23 (418,903)
Citation 1

Abstract:

21.

The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy

NYU Working Paper No. FIN-96-037
Number of pages: 29 Posted: 11 Nov 2008
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 19 (449,536)
Citation 2

Abstract:

22.

Who Buys and Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-95-021
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 13 (465,237)
Citation 28

Abstract:

23.

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-98-066
Number of pages: 26 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 11 (485,985)

Abstract:

24.

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Journal of Financial and Quantitative Analysis, No. 38, December 2003
Posted: 17 Nov 2003
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

25.

A Simple Technique for the Valuation and Hedging of American Options

Posted: 30 Dec 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

26.

Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates

Posted: 15 Oct 1998
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

27.

The Implied Volatility of Option Prices: A Test Using Options on UK Stocks

University of Lancaster Working Paper No. 95/004
Posted: 10 Oct 1998
Laurence Copeland, Ser-Huang Poon and Richard C. Stapleton
Cardiff University - Cardiff Business School, University of Manchester - Manchester Business School and University of Strathclyde - Department of Accounting and Finance

Abstract:

28.

The Size Of Background Risk and the Theory Of Risk Bearing

Posted: 29 Aug 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

29.

Leases, Debt and Taxable Capacity

Posted: 25 Aug 1998
Abimbola Adedeji and Richard C. Stapleton
University of Birmingham - Birmingham Business School and University of Strathclyde - Department of Accounting and Finance

Abstract:

30.

Recent Developments in Capital Market Theory: A Survey

Lancaster University Department of Accounting and Finance 98/006
Posted: 13 Aug 1998
Richard C. Stapleton
University of Strathclyde - Department of Accounting and Finance

Abstract:

31.

Who Buys and Who Sells Options: The Role of Options in a General Equilibrium Model with Background Risk

Posted: 20 Jul 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

32.

Evaluating the Risk of a Currency Swap: A Methodology Based on Multivariate-Bionomial Approximation

European Financial Management, 1998
Posted: 08 Mar 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

33.

The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

AUSTRALIAN J. OF MANAGEMENT
Posted: 04 Jul 1997
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

The Risk of a Currency Swap: A Multivariate-Binomial Methodology

Posted: 13 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

The Risk of a Currency Swap: A Multivariate-Binomial Methodology

European Financial Management, Vol. 4, No. 1, March 1998
Posted: 04 May 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

35.

The Valuation of American Options on Bonds

J. OF BANKING AND FINANCE
Posted: 05 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

EUROPEAN FINANCIAL MANAGEMENT, 1995
Posted: 25 Jul 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

Posted: 08 Mar 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

REVIEW OF FINANCIAL STUDIES, Vol 8 No 4
Posted: 05 Sep 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

Posted: 01 Dec 1994
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract: