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Citations for " Implied Binomial Trees"

by Rubinstein, Mark

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Cited by (explanations, 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.):
  1. Olivier Ledoit & Pedro Santa-Clara, 1998. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management 1112, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]
  3. Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research Department. [Downloadable!]
  4. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  5. Bossaerts, Peter & Plott, Charles, 2000. "Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets," CEPR Discussion Papers 2578, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  6. Aron Gereben, 2002. "Extracting market expectations from option prices?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, March. [Downloadable!]
  7. Carey, Alexander, 2006. "Path-conditional forward volatility," MPRA Paper 4964, University Library of Munich, Germany. [Downloadable!]
  8. Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices," IMF Working Papers 04/196, International Monetary Fund. [Downloadable!]
  9. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies. [Downloadable!]
  10. Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  11. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  12. Saikat Nandi & Daniel F. Waggoner, 2000. "Issues in hedging options positions," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 24-39. [Downloadable!]
  13. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
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  14. W. Härdle & J. Zheng, . "How Precise Are Price Distributions Predicted by Implied Binomial Trees?," Sonderforschungsbereich 373 2002-1, Humboldt Universitaet Berlin.
  15. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  16. Angel León & Gonzalo Rubio, 2003. "Smiling under stochastic volatility," DFAEII Working Papers 200202, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
  17. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  18. Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised 01 Feb 2002. [Downloadable!]
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  19. Ramaprasad Bhar, Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 113-125, June. [Downloadable!] (restricted)
  20. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  21. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
  22. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November. [Downloadable!]
  23. Éric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO. [Downloadable!]
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  24. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January. [Downloadable!] (restricted)
  25. Mark Rubinstein., 1997. "Derivatives Performance Attribution," Research Program in Finance Working Papers RPF-274-Rev, University of California at Berkeley. [Downloadable!]
  26. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Managing Livestock Feed Cost Risks Using Futures and Options," 2005 Annual meeting, July 24-27, Providence, RI 19399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  27. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer, vol. 22(2), pages 113-138, October. [Downloadable!] (restricted)
  28. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO. [Downloadable!]
  29. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  30. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics. [Downloadable!]
  31. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research. [Downloadable!]
  32. Robert G. Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 198-230, September. [Downloadable!] (restricted)
  33. Steven L. Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," Working Paper 2000-20, Federal Reserve Bank of Atlanta. [Downloadable!]
  34. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA. [Downloadable!]
  35. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
  36. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de España Working Papers 0504, Banco de España. [Downloadable!]
  37. Myers, Robert J. & Liu, Yanyan & Hanson, Steven D., 2005. "How Should We Value Agricultural Insurance Contracts," 2005 Annual meeting, July 24-27, Providence, RI 19561, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  38. Robert M. Gillenkirch & Matthias M. Schabel, 1999. "Die Bedeutung der Periodenerfolgsrechnung für die Investitionssteuerung. Der Fall ungleicher Zeitpräferenzen," Working Paper Series: Finance and Accounting 36, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  39. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 69-85, June. [Downloadable!] (restricted)
  40. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
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  41. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
  42. Matthias R. Fengler, 2005. "Arbitrage-Free Smoothing of the Implied Volatility Surface," SFB 649 Discussion Papers SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  43. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Quantitative Finance Papers math/0310223, arXiv.org. [Downloadable!]
  44. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA. [Downloadable!]
  45. Bruce Mizrach, 2006. "The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 365-382, December. [Downloadable!] (restricted)
  46. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
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  47. Jiang, G. & Sluis, P.J. van der, 2000. "Index option pricing models with stochastic volatility and stochastic interest rates," Discussion Paper 36, Tilburg University, Center for Economic Research. [Downloadable!]
  48. Bhupinder Bahra, . "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England. [Downloadable!]
  49. Alejandro Balbas & Anna Downarowicz & Javier Gil-Bazo, 2005. "Market Imperfections, Discount Factors And Stochastic Dominance: An Empirical Analysis With Oil-Linked Derivatives," Business Economics Working Papers wb055013, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  50. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
  51. Jens Carsten Jackwerth., 1996. "Implied Binomial Trees: Generalizations and Empirical Tests," Research Program in Finance Working Papers RPF-262, University of California at Berkeley. [Downloadable!]
  52. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  53. Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  54. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany. [Downloadable!]
  55. Jackwerth, Jens Carsten, 1996. "Generalized Binomial Trees," MPRA Paper 11635, University Library of Munich, Germany, revised 12 May 1997. [Downloadable!]
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  56. Aron Gereben, 2002. "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series DP2002/04, Reserve Bank of New Zealand. [Downloadable!]
  57. Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula I," Quantitative Finance Papers math/0604640, arXiv.org. [Downloadable!]
  58. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  59. K. Ronnie Sircar, George C. Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 107-145, June. [Downloadable!] (restricted)
  60. H. Nielsen, . "Extracting implicit density functions from short term interest rate options," Sonderforschungsbereich 373 2001-47, Humboldt Universitaet Berlin.
  61. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]
  62. René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO. [Downloadable!]
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  63. Laurent, Jean-Paul & Dietmar P.J. Leisen, 1998. "Building a Consistent Pricing Model from Observed Option Prices," Discussion Paper Serie B 443, University of Bonn, Germany. [Downloadable!]
  64. Jens Carsten Jackwerth & George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2008. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," CoFE Discussion Paper 08-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  65. Robert R Bliss & Nikolaos Panigirtzoglou, . "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England. [Downloadable!]
  66. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  67. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Forecasting Livestock Feed Cost Risks Using Futures and Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19048, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  68. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University. [Downloadable!]
  69. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January. [Downloadable!] (restricted)
  70. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus. [Downloadable!]
  71. Patrick Dennis & Stewart Mayhew, 2009. "Microstructural biases in empirical tests of option pricing models," Review of Derivatives Research, Springer, vol. 12(3), pages 169-191, October. [Downloadable!] (restricted)
  72. Ahmed Loulit, 2004. "Approximating equity volatility," Working Papers CEB 04-028.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  73. Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2007. "Smart expansion and fast calibration for jump diffusion," Quantitative Finance Papers 0712.3485, arXiv.org, revised Sep 2008. [Downloadable!]
  74. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November. [Downloadable!] (restricted)
  75. V. Moriggia, S. Muzzioli, C. Torricelli, 2007. "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 35-64, June. [Downloadable!]
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  76. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  77. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany. [Downloadable!]
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  78. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  79. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
  80. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA. [Downloadable!]
  81. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]
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  82. Sanjiv Ranjan Das, 1997. "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers 0212, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  83. Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis. [Downloadable!]
  84. Steven L. Heston & Saikat Nandi, 1997. "A closed-form GARCH option pricing model," Working Paper 97-9, Federal Reserve Bank of Atlanta. [Downloadable!]
  85. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO. [Downloadable!]
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  86. Marco Avellaneda, Craig Friedman, Richard Holmes, Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(1), pages 37-64, March. [Downloadable!] (restricted)
  87. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance. [Downloadable!]
  88. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  89. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Documents de Travail 47, Banque de France. [Downloadable!]
  90. Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2009. "Smart expansion and fast calibration for jump diffusion," Post-Print hal-00200395_v2, HAL. [Downloadable!]
  91. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
  92. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
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  93. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  94. C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 87-102, June. [Downloadable!] (restricted)
  95. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies : Reading Interest Rate Options Smiles," Working Papers CEB 06-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  96. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 335-365, September. [Downloadable!] (restricted)
  97. E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September. [Downloadable!] (restricted)
  98. George Chacko & Peter Tufano & Geoffrey Verter, 2000. "Cephalon, Inc. Taking Risk Management Theory Seriously," NBER Working Papers 7748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  99. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  100. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]
  101. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  102. Cornelis A. Los, 2004. "The Changing Concept of Financial Risk," Finance 0409034, EconWPA. [Downloadable!]
  103. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
  104. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  105. Saurabha, Rritu & Tiwari, Manvendra, 2007. "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper 6329, University Library of Munich, Germany. [Downloadable!]
  106. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge. [Downloadable!]
  107. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  108. Michael P. Leahy & Charles P. Thomas, 1996. "The sovereignty option: the Quebec referendum and market views on the Canadian dollar," International Finance Discussion Papers 555, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  109. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Research Papers 200510, University of Liverpool Management School. [Downloadable!]
  110. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  111. Steven L. Heston & Saikat Nandi, 1998. "Preference-free option pricing with path-dependent volatility: A closed-form approach," Working Paper 98-20, Federal Reserve Bank of Atlanta. [Downloadable!]
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