Content
December 2005, Volume 8, Issue 3
- 151-175 Stochastic dividend yields and derivatives pricing in complete markets
by Abraham Lioui - 177-198 The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets
by James Doran & Ehud Ronn
August 2005, Volume 8, Issue 2
- 67-83 Options with Constant Underlying Elasticity in Strikes
by Lloyd Blenman & Steven Clark - 85-95 On the Upper Bound of a Call Option
by John Handley - 97-123 Option Prices Under Generalized Pricing Kernels
by Bertram Düring & Erik Lüders
June 2005, Volume 8, Issue 1
- 5-25 A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
by Vicky Henderson & David Hobson & Sam Howison & Tino Kluge - 27-47 A Continuous Time Model to Price Commodity-Based Swing Options
by M. Dahlgren - 49-60 Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
by Mariano Cané de Estrada & Elsa Cortina & Constantino FontÁn & Javier Fiori
October 2005, Volume 7, Issue 3
- 185-212 Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach
by Wolfgang Bühler & Olaf Korn & Rainer Schöbel - 213-239 Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
by Markus Leippold & Zvi Wiener - 241-266 The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests
by Manolis Kavussanos & Ilias Visvikis & David Menachof
August 2004, Volume 7, Issue 2
- 79-97 A Model of the Convenience Yields in On-the-Run Treasuries
by Joseph A. Cherian & Eric Jacquier & Robert A. Jarrow - 99-127 On the Information in the Interest Rate Term Structure and Option Prices
by Frank de Jong & Joost Driessen & Antoon Pelsser - 129-168 Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
by Lars Stentoft - 169-173 Pricing the Risks of Default: A Note on Madan and Unal
by Peter Grundke & Karl O. Riedel
2004, Volume 7, Issue 1
- 5-24 Theory of Storage and the Pricing of Commodity Claims
by Martin J. Nielsen & Eduardo S. Schwartz - 25-51 Option Pricing Bounds and the Elasticity of the Pricing Kernel
by James Huang - 53-72 Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing
by Rainer Baule & Marco Wilkens
October 2003, Volume 6, Issue 3
- 165-177 Impact of Divergent Consumer Confidence on Option Prices
by James Huang - 179-202 The Dynamics of Implied Volatilities: A Common Principal Components Approach
by Matthias Fengler & Wolfgang Härdle & Christophe Villa - 203-230 Price Discovery, Causality and Forecasting in the Freight Futures Market
by Manolis Kavussanos & Nikos Nomikos
May 2003, Volume 6, Issue 2
- 83-106 Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks
by Hoi Wong & Yue Kwok - 107-128 On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
by Manuel Moreno & Javier Navas - 129-155 Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
by Carl Chiarella & Oh Kwon
October 2002, Volume 5, Issue 3
- 213-250 Banks' option to lend, interest rate sensitivity, and credit availability
by Iftekhar Hasan & Sudipto Sarkar - 251-271 Valuation of commodity derivatives in a new multi-factor model
by Xuemin Yan - 273-314 Convergence of numerical methods for valuing path-dependent options using interpolation
by P. Forsyth & K. Vetzal & R. Zvan
May 2002, Volume 5, Issue 2
- 127-151 The pricing of Bermudan-style options on correlated assets
by Sandra Peterson & Richard Stapleton - 153-179 Disagreement and equilibrium option trading volume
by Mark Cassano - 181-203 Efficient, exact algorithms for asian options with multiresolution lattices
by Tian-Shyr Dai & Yuh-Dauh Lyuu
October 2000, Volume 4, Issue 3
- 219-230 Variable Purchase Options
by John Handley - 231-262 Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
by Leif Andersen & Jesper Andreasen - 263-284 Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices
by Gurupdesh Pandher - 285-303 Dividend Forecast Biases in Index Option Valuation
by Don Chance & Raman Kumar & Don Rich
May 2000, Volume 4, Issue 2
- 107-131 Efficient Option Replication in the Presence of Transactions Costs
by Lionel Martellini - 133-154 Dynamic Volatility Trading Strategies in the Currency Option Market
by Dajiang Guo - 155-188 Tighter Option Bounds from Multiple Exercise Prices
by Peter Ryan - 189-211 Effects of Callable Feature on Early Exercise Policy
by Yue Kwok & Lixin Wu
October 2000, Volume 3, Issue 3
- 215-236 Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity?
by Saikat Nandi - 237-262 Interest rate option pricing with volatility humps
by Peter Ritchken & Iyuan Chuang - 263-282 The Dynamics of the S&P 500 Implied Volatility Surface
by George Skiadopoulos & Stewart Hodges & Les Clewlow - 283-307 American option valuation under stochastic interest rates
by San-Lin Chung
May 1999, Volume 3, Issue 2
- 115-133 A universal lattice
by Ren-Raw Chen & Tyler Yang - 135-156 Minimum option prices under decreasing absolute risk aversion
by Kamlesh Mathur & Peter Ritchken - 157-181 Stochastic duration and fast coupon bond option pricing in multi-factor models
by Claus Munk - 183-204 Options on the minimum or the maximum of two average prices
by Xueping Wu & Jin Zhang