Financial Engineering with Reverse Cliquet Options
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2004 with number 81.
Date of creation: 17 Sep 2004
Date of revision:
Contact details of provider:
Web page: http://www.essex.ac.uk/afm/mmf/index.html
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-30 (All new papers)
- NEP-CMP-2004-09-30 (Computational Economics)
- NEP-FIN-2004-09-30 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- McConnell, John J & Schwartz, Eduardo S, 1986. " LYON Taming," Journal of Finance, American Finance Association, vol. 41(3), pages 561-76, July.
- 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.
- 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.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.