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Citations for " Efficient Analytic Approximation of American Option Values"

by Barone-Adesi, Giovanni & Whaley, Robert E

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  1. Lindset, Snorre & Lund, Arne-Christian, 2007. "A Monte Carlo approach for the American put under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1081-1105, April.
  2. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  3. Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 449-474.
  4. Siddique, Akhtar R., 2003. "Common asset pricing factors in volatilities and returns in futures markets," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2347-2368, December.
  5. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Dec, pages 21-35.
  6. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
  7. Khasminskii, R.Z. & Zhu, C. & Yin, G., 2007. "Stability of regime-switching diffusions," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1037-1051, August.
  8. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November.
  9. DAI & Feng QIN & Zifu, 2005. "DF Structure Models for Options Pricing," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 61-77, November.
  10. Tim Leung & Marco Santoli, 2014. "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers 1412.8414, arXiv.org, revised Apr 2015.
  11. 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.
  12. A. Mayo, 2004. "High-order accurate implicit finite difference method for evaluating American options," The European Journal of Finance, Taylor & Francis Journals, vol. 10(3), pages 212-237.
  13. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  14. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
  15. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, School of Economics and Management, University of Aarhus.
  16. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-.
  17. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, School of Economics and Management, University of Aarhus.
  18. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  19. Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy.
  20. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.
  21. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  22. Doobae Jun & Hyejin Ku, 2013. "Valuation of American partial barrier options," Review of Derivatives Research, Springer, vol. 16(2), pages 167-191, July.
  23. Bates, David S., 2005. "Hedging the smirk," Finance Research Letters, Elsevier, vol. 2(4), pages 195-200, December.
  24. Guillermo Benavides, 2006. "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers 2006-04, Banco de México.
  25. Huddart, Steven & Lang, Mark, 2003. "Information distribution within firms: evidence from stock option exercises," Journal of Accounting and Economics, Elsevier, vol. 34(1-3), pages 3-31, January.
  26. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
  27. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
  28. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
  29. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
  30. Marc Chesney & Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 21-39.
  31. Baer, Herbert L. & France, Virginia G. & Moser, James T., 1994. "Opportunity cost and prudentiality : an analysis of futures clearinghouse behavior," Policy Research Working Paper Series 1340, The World Bank.
  32. 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.).
  33. Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos, 2014. "Capital Structure and Financial Flexibility: Expectations of Future Shocks," Working Papers 731, Queen Mary University of London, School of Economics and Finance.
  34. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  35. Meyer, Thomas O., 2003. "Calculation and comparison of delta-neutral and multiple-Greek dynamic hedge returns inclusive of market frictions," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 207-235.
  36. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
  37. Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August.
  38. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  39. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  40. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December.
  41. Cai, Ning & Sun, Lihua, 2014. "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 213-241.
  42. Marco Rossi, 2007. "Pricing Fund Liquidity Provision," IMF Working Papers 07/45, International Monetary Fund.
  43. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  44. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.
  45. Corrado, Charles J. & Miller, Thomas Jr., 1996. "A note on a simple, accurate formula to compute implied standard deviations," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 595-603, April.
  46. repec:spr:compst:v:70:y:2009:i:3:p:505-525 is not listed on IDEAS
  47. Frans Roon & Chris Veld, 1996. "An empirical investigation of the factors that determine the pricing of Dutch index warrants," European Financial Management, European Financial Management Association, vol. 2(1), pages 97-112.
  48. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 30-51.
  49. Reiffen, David & Buyuksahin, Bahattin, 2010. "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper 35927, University Library of Munich, Germany.
  50. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, School of Economics and Management, University of Aarhus.
  51. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1197-1210.
  52. Janis Back & Marcel Prokopczuk & Markus Rudolf, 2010. "Seasonality and the Valuation of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2010-08, Henley Business School, Reading University.
  53. Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Business School - Economics, University of Glasgow.
  54. Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 317-340, December.
  55. F. Douglas Foster & Charles H. Whiteman, 2006. "Bayesian Prediction, Entropy, and Option Pricingx," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 181-205, December.
  56. Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
  57. Sbuelz, A., 2003. "Analytic American Option Pricing and Applications," Discussion Paper 2003-64, Tilburg University, Center for Economic Research.
  58. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.
  59. Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 109-116, June.
  60. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  61. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
  62. Baranzini, Andrea & Chesney, Marc & Morisset, Jacques, 2003. "The impact of possible climate catastrophes on global warming policy," Energy Policy, Elsevier, vol. 31(8), pages 691-701, June.
  63. Lynch, Damien & Panigirtzoglou, Nikolaos, 2008. "Summary statistics of option-implied probability density functions and their properties," Bank of England working papers 345, Bank of England.
  64. Nilsson, Roland, 2008. "The value of shorting," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 880-891, May.
  65. Bellalah, Mondher, 2000. "Le choix des investissements et les options réelles : une revue de la littérature," Economics Papers from University Paris Dauphine 123456789/9845, Paris Dauphine University.
  66. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J, 2014. "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers 1122, Board of Governors of the Federal Reserve System (U.S.).
  67. Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
  68. Marti G. Subrahmanyam & Bin Gao & Jing-zhi Huang, 1998. "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-067, New York University, Leonard N. Stern School of Business-.
  69. Allegretto, Walter & Lin, Yanping & Yang, Hongtao, 2002. "A novel approach to the valuation of American options," Global Finance Journal, Elsevier, vol. 13(1), pages 17-28.
  70. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
  71. Mattos, Fabio & Garcia, Philip, 2009. "The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53035, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  72. Davidson, Wallace N. & Kim, Jin Kyoung & Ors, Evren & Szakmary, Andrew, 2001. "Using implied volatility on options to measure the relation between asset returns and variability," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1245-1269, July.
  73. D. J. Manuge & P. T. Kim, 2014. "A fast Fourier transform method for Mellin-type option pricing," Papers 1403.3756, arXiv.org, revised Mar 2014.
  74. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
  75. J. Benson Durham, 2006. "What do financial asset prices say about the housing market?," Finance and Economics Discussion Series 2006-32, Board of Governors of the Federal Reserve System (U.S.).
  76. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
  77. 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.
  78. Wen-chung Guo & Ying-huei Chen, 2014. "Pricing of put warrants and competition among issuers," Economics Bulletin, AccessEcon, vol. 34(4), pages 2315-2323.
  79. Naszódi, Anna, 2004. "A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között
    [Target-zone rearrangement and exchange-rate behaviour in an options-based model]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 638-658.
  80. 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.
  81. Gukhal, C.R.Chandrasekhar Reddy, 2004. "The compound option approach to American options on jump-diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2055-2074, September.
  82. Nikola Tarashev & Kostas Tsatsaronis, 2006. "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.
  83. Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014. "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 667-690, May.
  84. Pizzi Claudio & Pellizzari Paolo, 2002. "Monte Carlo Pricing of American Options Using Nonparametric Regression," Finance 0207007, EconWPA, revised 04 Mar 2003.
  85. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
  86. Feng Dai, 2007. "The DF Structure Models for Options Pricing on the Dividend-Paying and Capital-Splitting," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 17-30, May.
  87. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer, vol. 70(3), pages 505-525, December.
  88. Jyh-Bang Jou & Tan (Charlene) Lee, 2009. "How Does a Development Moratorium Affect Development Timing Choices and Land Values?," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 301-315, October.
  89. Christopher J. Neely, 2005. "Using implied volatility to measure uncertainty about interest rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 407-425.
  90. Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
  91. Didier Cossin & Benoît Leleux & Entela Saliasi, 2002. "Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts," Swiss Finance Institute Research Paper Series rp63, Swiss Finance Institute.
  92. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  93. Leisen, Dietmar P. J., 1998. "Pricing the American put option: A detailed convergence analysis for binomial models," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1419-1444, August.
  94. Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015. "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
  95. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
  96. Giandomenico, Rossano, 2006. "Valuing an American Put Option," MPRA Paper 20082, University Library of Munich, Germany.
  97. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.
  98. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  99. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-.
  100. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  101. Christopher J. Neely & Drew B. Winters, 2005. "Year-end seasonality in one-month LIBOR derivatives," Working Papers 2003-040, Federal Reserve Bank of St. Louis.
  102. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
  103. Egelkraut, Thorsten M. & Garcia, Philip, 2005. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19033, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  104. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
  105. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
  106. Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
  107. Câmara, António & Popova, Ivilina & Simkins, Betty, 2012. "A comparative study of the probability of default for global financial firms," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 717-732.
  108. Abudy, Menachem & Benninga, Simon, 2013. "Non-marketability and the value of employee stock options," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5500-5510.
  109. Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Society for Computational Economics, vol. 45(1), pages 31-47, January.
  110. Minton, Bernadette A., 1997. "An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps," Journal of Financial Economics, Elsevier, vol. 44(2), pages 251-277, May.
  111. Sohnke M. Bartram & Frank R. Fehle, 2003. "Alternative Market Structures for Derivatives," Finance 0311007, EconWPA, revised 12 Dec 2003.
  112. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
  113. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics.
  114. Michael Dueker & Thomas W. Miller, Jr., 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
  115. Koekebakker, Steen & Lien, Gudbrand D., 2002. "Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24874, European Association of Agricultural Economists.
  116. Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
  117. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
  118. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
  119. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
  120. Kroner, Kenneth F. & Kneafsey, Devin P. & Claessens, Stijn & DEC, 1993. "Forecasting volatility in commodity markets," Policy Research Working Paper Series 1226, The World Bank.
  121. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
  122. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.).
  123. Brown, C. A. & Taylor, S. D., 1997. "A test of the Asay model for pricing options on the SPI futures contract," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 579-594, December.
  124. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  125. Feng Dai & Feng Han, 2004. "Optimal Choice Models for Executing Time to American Options," Finance 0412016, EconWPA.
  126. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  127. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
  128. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 241-256.
  129. San-Lin Chung & Mark Shackleton, 2003. "The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 709-716.
  130. Babbs, Simon, 2000. "Binomial valuation of lookback options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1499-1525, October.
  131. Don H. Kim, 2008. "Zero bound, option-implied PDFs, and term structure models," Finance and Economics Discussion Series 2008-31, Board of Governors of the Federal Reserve System (U.S.).
  132. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  133. Shackleton, Mark B. & Sodal, Sigbjorn, 2005. "Smooth pasting as rate of return equalization," Economics Letters, Elsevier, vol. 89(2), pages 200-206, November.
  134. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 74-96, December.
  135. Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney.
  136. Benavides, Guillermo, 2009. "Price volatility forecasts for agricultural commodities:an application of volatility models,option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 40-59.
  137. Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco, 2014. "Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 63-93, enero-mar.
  138. William R. Melick & Charles P. Thomas, 1992. "War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis," International Finance Discussion Papers 437, Board of Governors of the Federal Reserve System (U.S.).
  139. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
  140. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
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