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9780762301256

Advances in Futures and Options Research

by ; ;
  • ISBN13:

    9780762301256

  • ISBN10:

    0762301252

  • Format: Hardcover
  • Copyright: 1997-02-01
  • Publisher: Jai

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Table of Contents

EDITORIAL STATEMENT ix(2)
ABSTRACTS xi
AN OPTION-BASED APPROACH TO ANALYZING FINANCIAL CONTRACTS WITH MULTIPLE INDENTURE PROVISIONS
1(36)
Don Rich
Remigijus Leipus
USING STOCK PRICE AS NUMBERAIRE IN OPTION PRICING MODELS WITH NONCONSTANT VOLATILITY
37(14)
Anlong Li
THE SKEWNESS PREMIUM: OPTION PRICING UNDER ASYMMETRIC PROCESSES
51(32)
David S. Bates
NEGATIVE OPTION VALUES IMPLICIT IN EXTENDABLE CANADIAN TREASURY BONDS
83(28)
George Athanassakos
Peter Carayannopoulos
Yisong Tian
VALUATION OF OPTIONS ON SEVERAL RISKY ASSETS WHEN THERE ARE TRANSACTIONS COSTS
111(18)
Phelim P. Boyle
Xiaodong Lin
AVERAGE INTER-SECURITY CORRELATION COEFFICIENTS: IMPLICATIONS FOR THE TIMING OF HEDGING DECISIONS
129(28)
Robert Brooks
John M. Clark
NUMERAIRE INVARIANCE AND GENERALIZED RISK NEUTRAL VALUATION
157(18)
Aleksandar Kocic
THE VALUATION OF DEFAULT RISK IN CORPORATE BONDS AND INTEREST RATE SWAPS
175(22)
Soren S. Nielsen
Ehud I. Ronn
TESTING TERM STRUCTURE ESTIMATION METHODS
197(36)
Robert R. Bliss
CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS: THE AMERICAN CASE
233(32)
Klaus Bjerre Toft
Eric S. Reiner
THE VALUATION OF AMERICAN OPTIONS WITH THE METHOD OF LINES
265(22)
G.H. Meyer
J. van der Hoek
THE LATEST RANGE
287
Alan L. Tucker
Jason Z. Wei

Supplemental Materials

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The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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