Financial Engineering with Reverse Cliquet Options
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References listed on IDEAS
- 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.
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- Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-147, March.
- McConnell, John J & Schwartz, Eduardo S, 1986. " LYON Taming," Journal of Finance, American Finance Association, vol. 41(3), pages 561-576, July.
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- 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.
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NEP fieldsThis 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)
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