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Financial Engineering with Reverse Cliquet Options

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Author Info
Brian A. Eales (London Metropolitan University)
Radu Tunaru (London Metropolitan University)
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Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2004 with number 81.

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Date of creation: 17 Sep 2004
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Handle: RePEc:mmf:mmfc04:81

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  1. MacBeth, James D & Merville, Larry J, 1980. " Tests of the Black-Scholes and Cox Call Option Valuation Models," Journal of Finance, American Finance Association, vol. 35(2), pages 285-301, May. [Downloadable!] (restricted)
  2. McConnell, John J & Schwartz, Eduardo S, 1986. " LYON Taming," Journal of Finance, American Finance Association, vol. 41(3), pages 561-76, July. [Downloadable!] (restricted)
  3. Beckers, Stan, 1980. " The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-73, June. [Downloadable!] (restricted)
  4. John J. McConnell & Eduardo S. Schwartz, 1992. "THE ORIGIN OF LYONs: A CASE STUDY IN FINANCIAL INNOVATION," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 40-47. [Downloadable!] (restricted)
  5. Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-19, March. [Downloadable!] (restricted)
  6. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166. [Downloadable!] (restricted)
  7. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(04), pages 533-554, November. [Downloadable!]
  8. Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-47, March. [Downloadable!] (restricted)
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