This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "Option pricing: A simplified approach"

by Cox, John C. & Ross, Stephen A. & Rubinstein, Mark

For a complete description of this item, click here.
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. Hisham Foad, 2005. "Currency Unions, Options, and Foreign Direct Investment," Emory Economics 0516, Department of Economics, Emory University (Atlanta). [Downloadable!]
  2. Akimichi Takemura & Taiji Suzuki, 2005. "Game theoretic derivation of discrete distributions and discrete pricing formulas," Quantitative Finance Papers math/0509367, arXiv.org. [Downloadable!]
  3. Udo Broll & Peter Welzel, 2002. "Risikomanagement mit Kreditoptionen," Discussion Paper Series 231, Universitaet Augsburg, Institute for Economics. [Downloadable!]
  4. Leisen, D. P. J. & M. Reimer, 1995. "Binomial Models for Option Valuation - Examining and Improving Convergence," Discussion Paper Serie B 309, University of Bonn, Germany. [Downloadable!]
  5. Silvia Florio, Wolfgang J. Runggaldier, 1999. "On hedging in finite security markets," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 159-176, September. [Downloadable!] (restricted)
  6. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March. [Downloadable!] (restricted)
  7. 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!]
  8. Williamson, Brendon & Villano, Renato & Fleming, Euan, 2008. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5992, Australian Agricultural and Resource Economics Society. [Downloadable!]
  9. Sven Husmann & Andreas Stephan, 2006. "On Estimating an Asset's Implicit Beta," Discussion Papers of DIW Berlin 640, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  10. Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," Working Paper 99-5, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  11. Eurico J. Ferreira & G. Stacy Sirmans, 1987. "Interest-Rate Changes, Transaction Costs, and Assumable Loan Value," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 29-40. [Downloadable!]
  12. Collan, Mikael & Fullér, Robert & József, Mezei, 2008. "A Fuzzy Pay-off Method for Real Option Valuation," MPRA Paper 13601, University Library of Munich, Germany. [Downloadable!]
  13. Villinski, Michele T., 1999. "A Numerical Quadrature Approach To Option Valuation In Water Markets," 1999 Annual meeting, August 8-11, Nashville, TN 21708, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  14. Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, EconWPA, revised 29 Nov 1998. [Downloadable!]
  15. Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001 60, Society for Computational Economics.
    Other versions:
  16. Brian J. Hall & Kevin J. Murphy, 2000. "Stock Options for Undiversified Executives," NBER Working Papers 8052, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  17. 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!]
    Other versions:
  18. Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, . "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  19. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233. [Downloadable!]
  20. Fleten, Stein-Erik & Lindset, Snorre, 2004. "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," MPRA Paper 220, University Library of Munich, Germany, revised Apr 2006. [Downloadable!]
  21. L. Ingber & C. Chen & R.P. Mondescu & D. Muzzall & M. Renedo, . "Probability tree algorithm for general diffusion processes," Lester Ingber Papers 01pt, Lester Ingber. [Downloadable!]
  22. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, EconWPA. [Downloadable!]
  23. 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)
    Other versions:
  24. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
  25. An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers bgse19_2005, University of Bonn, Germany. [Downloadable!]
    Other versions:
  26. Ilhem Kassar & Pierre Lasserre, 2002. "Species Preservation and Biodiversity Value: A Real Options Approach," CIRANO Working Papers 2002s-82, CIRANO. [Downloadable!]
    Other versions:
  27. Vladislav Kargin, 2003. "Lattice Option Pricing By Multidimensional Interpolation," Finance 0309003, EconWPA, revised 29 Oct 2004. [Downloadable!]
    Other versions:
  28. Massimo Costabile, 2006. "On pricing lookback options under the CEV process," Decisions in Economics and Finance, Springer, vol. 29(2), pages 139-153, November. [Downloadable!] (restricted)
  29. Hranaiova, Jana, 2000. "Delivery Options In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Conference, April 17-18 2000, Chicago, Illinois 18936, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  30. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  31. Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics. [Downloadable!]
  32. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee. [Downloadable!]
    Other versions:
  33. David Ardia, 2007. "Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland. [Downloadable!]
  34. Isabelle Bajeux, 1989. "Gestion de portefeuille dans un modéle binomial," Annales d'Economie et de Statistique, ADRES, issue 13, pages 02, Janvier-M. [Downloadable!]
  35. Jorge Guardiola & Antonio Falcó, 2004. "A Simulation Approach To The Valuation Of Capital Budgeting Projects Incorporating A Defer Option," Working Papers. Serie EC 2004-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  36. 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!]
  37. Yunjong Wang, 1995. "Comparative Advantage And Hysteresis In Trade Balance," International Economic Journal, Korean International Economic Association, vol. 9(4), pages 57-76, December. [Downloadable!] (restricted)
  38. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
  39. Mark Rubinstein., 1997. "Derivatives Performance Attribution," Research Program in Finance Working Papers RPF-274-Rev, University of California at Berkeley. [Downloadable!]
  40. Klaus Abbink & Bettina Rockenbach, 2005. "Option Pricing by Students and Professional Traders: A Behavioural Investigation," Discussion Papers 2005-12, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham. [Downloadable!]
  41. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Public Policy Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  42. Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
  43. N.P. Firth & J.N. Dewynne, 2004. "High Dimensional Radial Barrier Options," OFRC Working Papers Series 2004mf02, Oxford Financial Research Centre. [Downloadable!]
  44. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  45. Benjamin Jourdain & Antonino Zanette, 2008. "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer, vol. 31(1), pages 33-49, May. [Downloadable!] (restricted)
  46. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA. [Downloadable!]
    Other versions:
  47. Donald D. Aingworth & Sanjiv R. Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 95-105, April. [Downloadable!] (restricted)
  48. Pavel Cizek & Karel Komorad, 2005. "Implied Trinomial Trees," SFB 649 Discussion Papers SFB649DP2005-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  49. Robert Fourt & Gianluca Marcato & Charles Ward, 2007. "Real Option Pricing in Mixed-use Development Projects," Real Estate & Planning Working Papers rep-wp2007-09, Henley Business School, Reading University. [Downloadable!]
  50. Pizzi Claudio & Pellizzari Paolo, 2002. "Monte Carlo Pricing of American Options Using Nonparametric Regression," Finance 0207007, EconWPA, revised 04 Mar 2003. [Downloadable!]
  51. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856_v1, HAL. [Downloadable!]
  52. Lint, O., 2000. "Retrospective insights from real options in R&D," ECIS Working Papers 00.09, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
  53. Giuliano Carrozza Uzêda Iorio de Souza & Carlos Patrício Samanez & Gustavo Santos Raposo, 2008. "Avaliação de opções de troca e opções de spread européias e americanas," Working Papers Series 165, Central Bank of Brazil, Research Department. [Downloadable!]
  54. K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany. [Downloadable!]
  55. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer, vol. 32(2), pages 161-181, November. [Downloadable!] (restricted)
  56. Saman Majd & Stewart C. Myers, 1986. "Tax Asymmetries and Corporate Income Tax Reform," NBER Working Papers 1924, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  57. Shin, Hyun Song, 2002. "Disclosures and Asset Returns," CEPR Discussion Papers 3345, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  58. Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007. "Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis," Quantitative Finance Papers math/0703834, arXiv.org. [Downloadable!]
  59. Richard Stanton & Nancy Wallace, 2009. "An Empirical Test of a Contingent Claims Lease Valuation Model," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 1-26. [Downloadable!]
  60. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 229-242, June. [Downloadable!] (restricted)
  61. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
  62. Jing Li & Charles Dhanaraj & Richard L. Shockley, 2008. "Joint venture evolution: extending the real options approach," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 29(4), pages 317-336. [Downloadable!]
  63. Rosalba Padalino, 2004. "Opzioni reali e Investimenti in Ricerca e Sviluppo," Quaderni DSEMS 07-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
  64. S. Ping Ho & Liang Y. Liu, 2002. "An option pricing-based model for evaluating the financial viability of privatized infrastructure projects," Construction Management & Economics, Taylor and Francis Journals, vol. 20(2), pages 143-156, March. [Downloadable!] (restricted)
  65. Philippe Desbrières, 2006. "Les normes comptables actuelles permettent-elles une comptabilisation des stock-options à leur juste valeur?," Working Papers FARGO 1061002, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  66. David H. Pyle., 1997. "Bank Risk Management: Theory," Research Program in Finance Working Papers RPF-272, University of California at Berkeley. [Downloadable!]
  67. 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!]
  68. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
    Other versions:
  69. L. Ingber & J.K. Wilson, . "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber. [Downloadable!]
  70. Mark Rubinstein, 2000. "On the Relation Between Binomial and Trinomial Option Pricing Models," Research Program in Finance, Working Paper Series 1003, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  71. Lothar Rogge, 2006. "Call Completeness Implies Completeness in the n-period Model of a Financial Market," Finance and Stochastics, Springer, vol. 10(2), pages 298-301, April. [Downloadable!] (restricted)
  72. Jackwerth, Jens Carsten, 1996. "Generalized Binomial Trees," MPRA Paper 11635, University Library of Munich, Germany, revised 12 May 1997. [Downloadable!]
    Other versions:
  73. Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  74. Mahdi Mattar & Charles Cheah, 2006. "Valuing large engineering projects under uncertainty: private risk effects and real options," Construction Management & Economics, Taylor and Francis Journals, vol. 24(8), pages 847-860, August. [Downloadable!] (restricted)
  75. Hranaiova, Jana & Tomek, William G., 2000. "Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Annual meeting, July 30-August 2, Tampa, FL 21732, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  76. Marc Chesney, Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 21-39, March. [Downloadable!] (restricted)
  77. Junwu Gan, 2001. "Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm," Finance 0110003, EconWPA. [Downloadable!]
  78. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  79. Ansgar Belke & Matthias Göcke, 2003. "Monetary Policy (In-) Effectiveness under Uncertainty - Some Normative Implications for European Monetary Policy," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 223/2003, Department of Economics, University of Hohenheim, Germany. [Downloadable!]
  80. David C. Heath & Stefano Herzel, 2002. "Efficient option valuation using trees," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(3), pages 163-178, September. [Downloadable!] (restricted)
  81. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Hedging with Derivatives in Incomplete Markets," Cowles Foundation Discussion Papers 1126R, Cowles Foundation, Yale University. [Downloadable!]
  82. Henryk Gzyl, 2000. "Maxentropic construction of risk neutral measures: discrete market models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(4), pages 229-239, December. [Downloadable!] (restricted)
  83. Marco, Alan, 2001. "The Option Value of Patent Litigation: Theory and Evidence," Vassar College Department of Economics Working Paper Series 52, Vassar College Department of Economics, revised Dec 2003. [Downloadable!]
    Other versions:
  84. Tomas Philipson, 1991. "Dynamic information release," Journal of Economics, Springer, vol. 53(2), pages 205-213, June. [Downloadable!] (restricted)
  85. Philip H. Dybvig & Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Cowles Foundation Discussion Papers 860, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  86. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA. [Downloadable!]
  87. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, University of Venice. [Downloadable!]
  88. Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany. [Downloadable!]
  89. Leonel Pérez-Hernández, . "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," School of Economics Working Papers EC200505, Universidad de Guanajuato. [Downloadable!]
  90. L. Ingber, . "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nn, Lester Ingber. [Downloadable!]
  91. 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!]
  92. Tze Leung Lai & Samuel Po-Shing Wong, 2007. "Combining domain knowledge and statistical models in time series analysis," Quantitative Finance Papers math/0702814, arXiv.org. [Downloadable!]
  93. E. Philip Jones & Scott P. Mason & Eric Rosenfeld, 1985. "Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests," NBER Working Papers 1143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  94. Björk, Tomas & Clapham, Eric, 2002. "A Note on the Pricing of Real Estate Index Linked Swaps," Working Paper Series in Economics and Finance 492, Stockholm School of Economics. [Downloadable!]
  95. Mark Rubinstein., 2000. "On the Relation Between Binomial and Trinomial Option Pricing Models," Research Program in Finance Working Papers RPF-292, University of California at Berkeley. [Downloadable!]
  96. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  97. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
  98. Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, University of Venice. [Downloadable!]
  99. George M. Constantinides, 1984. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  100. Juettner-Nauroth, Beate E., 2003. "Problems associated with the Value-Relevance of Financial Derivatives according to IAS 39," Working Paper Series in Business Administration 2003:2, Stockholm School of Economics, revised 07 Feb 2003. [Downloadable!]
  101. Mario Cerrato & Kan Kwok Cheung, 2007. "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006 49, Money Macro and Finance Research Group. [Downloadable!]
  102. Doriana Ruffino & Jonathan Treussard, 2006. "A Note on Financial Frictions and Risky Corporate Debt in Relation to Cooley and Quadrini (2001)," Boston University - Department of Economics - Working Papers Series WP2006-017, Boston University - Department of Economics. [Downloadable!]
  103. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131_v1, HAL. [Downloadable!]
    Other versions:
  104. Gomes Santana Félix, Elisabete & Esperança, José Paulo, 2004. "Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre
    [Flexibility effect on the investment decision: An application to the exploration of copper]    ," MPRA Paper 6185, University Library of Munich, Germany. [Downloadable!]
  105. L. Ingber, . "High-resolution path-integral development of financial options," Lester Ingber Papers 00hr, Lester Ingber. [Downloadable!]
    Other versions:
  106. 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!]
    Other versions:
  107. Valeri Zakamouline, 2003. "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance 0311009, EconWPA. [Downloadable!]
  108. Steven Huddart & Ravi Jagannathan & Jane Saly, 1999. "Valuing the Reload Features of Executive Stock Options," NBER Working Papers 7020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  109. Hansen, Kristiana & Howitt, Richard & Williams, Jeffrey, 2006. "Implementing Options Markets in California To Manage Water Supply Uncertainty," 2006 Annual meeting, July 23-26, Long Beach, CA 21218, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  110. Cara Marshall, 2008. "Monte Carlo Simulation in the Pricing of Derivatives," Fordham Economics Discussion Paper Series dp2008-08, Fordham University, Department of Economics. [Downloadable!]
  111. Dalila B. M. M. Fontes & Luís Camões & Fernando A. C. C. Fontes, 2007. "Real Options using Markov Chains: an application to Production Capacity Decisions," FEP Working Papers 246, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  112. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
  113. Belke, Ansgar & Göcke, Matthias & Hebler, Martin, 2004. "Institutional Uncertainty and European Social Union: Impacts on Job Creation and Destruction in the CEECs," IZA Discussion Papers 1039, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  114. James T. Moser, 1998. "Credit derivatives: just-in-time provisioning for loan losses," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 2-11. [Downloadable!]
  115. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus. [Downloadable!]
  116. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  117. 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)
  118. Andreas Grünbichler & Hanspeter Wohlwend, 2005. "The Valuation of Structured Products: Empirical Findings for the Swiss Market," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 361-380, December. [Downloadable!] (restricted)
  119. He, Wei & Wei, Peihwang P., 2003. "Is overreaction an explanation for the value effect? A study using implied volatility from option prices," Working Papers 2003-11, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  120. Garry de Jager, 1991. "A Note on Parameters in Binomial Option Pricing," Working Paper Series 2, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  121. Roques, F.A. & Nuttall, W.J. & Newbery, D.M. & de Neufville, R., 2005. "Nuclear Power: a Hedge against Uncertain Gas and Carbon Prices?," Cambridge Working Papers in Economics 0555, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  122. Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November. [Downloadable!] (restricted)
  123. Collan, Mikael, 2008. "New Method for Real Option Valuation Using Fuzzy Numbers," Working Papers 466, IAMSR, Åbo Akademi. [Downloadable!]
  124. Pindyck, Robert S., 1990. "Irreversibility, uncertainty, and investment," Working papers 3137-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  125. Karl Friedrich Habermeier & Andrei Kirilenko, . "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund. [Downloadable!]
  126. Mensink, Paul, 2004. "A comment on "An arbitrage-free approach to quasi-option value" by Coggins and Ramezani," Economics Working Papers 2004,06, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  127. David N. Ford & Diane M. Lander & John J. Voyer, 2002. "A real options approach to valuing strategic flexibility in uncertain construction projects," Construction Management & Economics, Taylor and Francis Journals, vol. 20(4), pages 343-351, June. [Downloadable!] (restricted)
  128. John Geanakoplos & Stephen P. Zeldes, 2009. "Market Valuation of Accrued Social Security Benefits," Cowles Foundation Discussion Papers 1711, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  129. David Bakstein, 2001. "The Pricing of Derivatives in Illiquid Markets," OFRC Working Papers Series 2001mf05, Oxford Financial Research Centre. [Downloadable!]
  130. Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee. [Downloadable!]
    Other versions:
  131. Jackwerth, Jens Carsten & Rubinstein, Mark, 2003. "Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns," MPRA Paper 11638, University Library of Munich, Germany, revised 2004. [Downloadable!]
  132. Andrea Gavosto & Guido Ponte & Carla Scaglioni, 2007. "Investment in Next Generation Networks and the Role of Regulation: A Real Option Approach," Working Papers 2007/31, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  133. Rachel A. Campbell & Roman Kräussl, 2006. "Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector," CFS Working Paper Series 2006/32, Center for Financial Studies. [Downloadable!]
  134. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  135. João Amaro de Matos & Paula Antão, 2001. "Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-7. [Downloadable!]
  136. Rainer Brosch, 2001. "Portfolio-aspects in real options management," Working Paper Series: Finance and Accounting 66, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  137. Zvi Bodie & Jonathan Treussard & Paul Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston. [Downloadable!]
  138. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  139. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, EconWPA, revised 21 Apr 2004. [Downloadable!]
  140. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  141. Sukanto Bhattacharya, 2005. "A synthetic protective put strategy for phased investment in projects without an outright deferral," Finance 0507005, EconWPA, revised 04 Jul 2005. [Downloadable!]
  142. Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  143. Massimo Costabile & Ivar Massabó & Emilio Russo, 2006. "An adjusted binomial model for pricing Asian options," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 285-296, November. [Downloadable!] (restricted)
  144. Patric H. Hendershott, 1986. "Mortgage Pricing: What Have We Learned So Far?," NBER Working Papers 1959, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  145. Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  146. 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)
  147. F. De Roon, C. Veld, J. Wei, 1998. "A study on the efficiency of the market for Dutch long-term call options," European Journal of Finance, Taylor and Francis Journals, vol. 4(2), pages 93-111, June. [Downloadable!] (restricted)
    Other versions:
  148. David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre. [Downloadable!]
  149. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany. [Downloadable!]
  150. John Ammer & Michael S. Gibson, 1996. "Regulation and the cost of capital in Japan: a case study," International Finance Discussion Papers 556, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  151. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  152. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time," CIRJE F-Series CIRJE-F-532, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  153. Manuel Ammann & Ralf Seiz, 2005. "An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 381-396, December. [Downloadable!] (restricted)
  154. Andrea Gheno, 2005. "Convertible bonds and volatility structure," Departmental Working Papers of Economics - University 'Roma Tre' 0057, Department of Economics - University Roma Tre. [Downloadable!]
  155. Fernández, Pablo, 1996. "Convertible bonds in Spain: A different security," IESE Research Papers D/311, IESE Business School. [Downloadable!]
  156. Mihnea-Stefan Mihai, 2003. "Stochastics for the worst case: distributions and risk measures for minimal returns," Risk and Insurance 0305001, EconWPA. [Downloadable!]
  157. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  158. Ciurlia, Pierangelo & Gheno, Andrea, 2008. "A model for pricing real estate derivatives with stochastic interest rates," MPRA Paper 9924, University Library of Munich, Germany. [Downloadable!]
  159. Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March. [Downloadable!] (restricted)
  160. Sempere, Loreto Pardo & Alcaide, Jose Javier Rodriguez, 2005. "El valor de la flexibilidad en la valoracion de inversiones acuícolas," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 5(10). [Downloadable!]
  161. Hal R. Varian, 1988. "Le principe d'arbitrage en économie financiere," Annales d'Economie et de Statistique, ADRES, issue 10, pages 01, Avril-Jui. [Downloadable!]
  162. Marc Baudry & Béatrice Dumont, 2009. "A Bayesian Real Option Approach to Patents and Optimal Renewal Fees," Working Papers hal-00419330_v1, HAL. [Downloadable!]
  163. João Amaro De Matos & Paula Antão, 2003. "Market illiquidity and bounds on European option prices," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 475-498, October. [Downloadable!] (restricted)
  164. Manuel Moreno & Javier R. Navas, 2001. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
  165. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society. [Downloadable!]
  166. Heinz Zimmermann, 1988. "Eine Analyse des Couponabschlages bei schweizerischen Optionsanleihen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 124(III), pages 405-419, September. [Downloadable!]
  167. Patrick Roger, 2007. "Does the consciousness of the disposition effect increase the equity premium?," Working Papers of LaRGE (Laboratoire de Recherche en Gestion et Economie) 2007-01, Laboratoire de Recherche en Gestion et Economie, Université de Strasbourg (France). [Downloadable!]
  168. Horst, J. ter & Veld, C., 2002. "Behavioral preferences for individual securities: : the case for call warrants and call options," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
  169. Phelim P. Boyle, Yisong (Sam) Tian, 1998. "An explicit finite difference approach to the pricing of barrier options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 17-43, March. [Downloadable!] (restricted)
  170. David Bowman & Jon Faust, 1995. "Options, sunspots, and the creation of uncertainty," International Finance Discussion Papers 510, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  171. Valeri Zakamouline, 2003. "American Option Pricing with Transaction Costs," Finance 0311012, EconWPA. [Downloadable!]
Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-12-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.