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Citations for "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis"

by Frank Milne & Dilip Madan

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  1. E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Centre de Recherche en Economie et Statistique.
  2. Gunther Capelle-Blancard & Emmanuel Jurczenko & Bertrand Maillet, 2001. "The Approximate Option Pricing Model: Performances and Dynamic Properties," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308985, HAL.
  3. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  4. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA.
  5. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
  6. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
  7. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  8. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
  9. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
  10. Michael Rockinger & Eric Jondeau, 1997. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," Working Papers hal-00601591, HAL.
  11. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
  12. 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 and International Relations Area.
  13. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
  14. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
  15. Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
  16. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  17. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  18. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
  19. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
  20. 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.
  21. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
  22. Serge Darolles & Jean-Paul Laurent, 2000. "Approximating payoffs and pricing formulas," Post-Print halshs-00678228, HAL.
  23. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250058-1-1.
  24. Birke, Melanie & Pilz, Kay F., 2007. "Nonparametric option pricing with no-arbitrage constraints," Technical Reports 2007,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  25. 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.
  26. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  27. Mc Manus, Des, 1999. "The Information Content of Interest Rate Futures Options," Staff Working Papers 99-15, Bank of Canada.
  28. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  29. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
  30. Galati, Gabriele & Melick, William & Micu, Marian, 2005. "Foreign exchange market intervention and expectations: The yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 982-1011, October.
  31. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  32. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
  33. 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.
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