Richard C. Stapleton

University of Strathclyde - Department of Accounting and Finance

Curran Building

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

SCHOLARLY PAPERS

38

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CITATIONS
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38

Scholarly Papers (38)

1.
Downloads 924 ( 23,939)
Citation 4

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 (NYU) - Department of Finance
Downloads 830 (27,489)
Citation 5

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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 (NYU) - Department of Finance
Downloads 47 (401,057)

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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 (NYU) - Department of Finance
Downloads 47 (401,057)

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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 (NYU) - Department of Finance
Downloads 689 (35,511)
Citation 7

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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 (NYU) - Department of Finance
Downloads 111 (245,048)

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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 (NYU) - Department of Finance
Downloads 33 (458,880)

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3.

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 527 (51,185)
Citation 12

Abstract:

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

4.

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 (NYU) - Department of Finance
Downloads 515 (52,676)
Citation 6

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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 297 (100,702)
Citation 1

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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 (NYU) - Department of Finance
Downloads 129 (218,124)
Citation 1

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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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 120 (231,367)

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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 (NYU) - Department of Finance

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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 117 (234,718)

Abstract:

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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 (NYU) - Department of Finance
Downloads 98 (265,601)
Citation 1

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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 (NYU) - Department of Finance
Downloads 88 (284,498)
Citation 5

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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 (NYU) - Department of Finance
Downloads 78 (306,084)
Citation 7

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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 (NYU) - Department of Finance
Downloads 69 (327,972)

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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 (NYU) - Department of Finance
Downloads 43 (416,249)

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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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 26 (495,912)

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance
Downloads 62 (346,755)
Citation 7

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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 (NYU) - Department of Finance
Downloads 28 (484,534)

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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 (NYU) - Department of Finance
Downloads 14 (572,055)

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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 (NYU) - Department of Finance
Downloads 40 (419,367)

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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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 40 (419,367)

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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 (NYU) - Department of Finance
Downloads 33 (448,017)
Citation 6

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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 (NYU) - Department of Finance
Downloads 28 (471,543)

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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 (NYU) - Department of Finance
Downloads 26 (481,896)

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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 (NYU) - Department of Finance
Downloads 21 (509,829)

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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 (NYU) - Department of Finance
Downloads 18 (527,126)
Citation 2

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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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 16 (538,607)

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24.

Downside Risk Aversion and the Downside Risk Premium

Journal of Risk and Insurance, Vol. 85, Issue 2, pp. 379-395, 2018
Number of pages: 17 Posted: 05 Jun 2018
Richard C. Stapleton and Qi Zeng
University of Strathclyde - Department of Accounting and Finance and University of Melbourne - Department of Finance
Downloads 0 (662,094)
Citation 1
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25.

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 (NYU) - Department of Finance

Abstract:

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26.

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 (NYU) - Department of Finance

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27.

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 (NYU) - Department of Finance

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28.

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

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29.

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 (NYU) - Department of Finance

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30.

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

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31.

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

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32.

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 (NYU) - Department of Finance

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33.

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 (NYU) - Department of Finance

Abstract:

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34.

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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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36.

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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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