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Citations for "The Pricing of Options and Corporate Liabilities"

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  1. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
  2. Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
  4. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Banco de Espa�a Working Papers 0707, Banco de Espa�a.
  5. Svend Rasmussen, 2013. "A model for the optimal risk management of (farm) firms," IFRO Working Paper 2013/10, University of Copenhagen, Department of Food and Resource Economics.
  6. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, Springer, vol. 9(1), pages 97-137, 03.
  7. Masaaki Kijima & Akihisa Tamura, 2014. "Buhlmann’s Economic Premium Principle in The Presence of Transaction Costs," KIER Working Papers 893, Kyoto University, Institute of Economic Research.
  8. Carpenter, Jennifer N. & Stanton, Richard & Wallace, Nancy, 2010. "Optimal exercise of executive stock options and implications for firm cost," Journal of Financial Economics, Elsevier, vol. 98(2), pages 315-337, November.
  9. Wossink, Ada, 2000. "The Failure Of Marketable Permit Systems And Uncertainty Of Environmental Policy: A Switching Regime Model Applied To The Dutch Phosphate Quota Program," 2000 Annual meeting, July 30-August 2, Tampa, FL 21792, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  10. repec:dgr:kubcen:2014002 is not listed on IDEAS
  11. Cortazar, Gonzalo & Casassus, Jaime, 1998. "Optimal Timing of a Mine Expansion: Implementing a Real Options Model," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 755-769.
  12. Marie-Eve Lachance & Olivia S. Mitchell, 2003. "Understanding Individual Account Guarantees," Working Papers wp035, University of Michigan, Michigan Retirement Research Center.
  13. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
  14. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Discussion Paper 2007-93, Tilburg University, Center for Economic Research.
  15. Suk Joon Byun & Dong Woo Rhee & Sol Kim, 2011. "Intraday volatility forecasting from implied volatility," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(1), pages 83-100, February.
  16. Magni, Carlo Alberto, 2007. "Rating and ranking firms with fuzzy expert systems: the case of Camuzzi," MPRA Paper 5646, University Library of Munich, Germany.
  17. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  19. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  20. Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula II," Papers math/0604641, arXiv.org.
  21. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
  23. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
  24. Cheung, Ka Chun & Yang, Hailiang, 2005. "Optimal stopping behavior of equity-linked investment products with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 599-614, December.
  25. Marco Rossi, 2007. "Pricing Fund Liquidity Provision," IMF Working Papers 07/45, International Monetary Fund.
  26. Klaus Düllmann & Agnieszka Sosinska, 2007. "Credit default swap prices as risk indicators of listed German banks," Financial Markets and Portfolio Management, Springer, vol. 21(3), pages 269-292, September.
  27. Haque, Md. Aminul & Topal, Erkan & Lilford, Eric, 2014. "A numerical study for a mining project using real options valuation under commodity price uncertainty," Resources Policy, Elsevier, vol. 39(C), pages 115-123.
  28. Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.
  30. Philip H. Dybvig & Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Cowles Foundation Discussion Papers 860, Cowles Foundation for Research in Economics, Yale University.
  31. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  32. 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.
  33. Chen, K.C. & Wu, Lifan, 2007. "An anatomy of Bullish Underlying Linked Securities," Global Finance Journal, Elsevier, vol. 18(1), pages 34-46.
  34. Keppo, Jussi & Moscarini, Giuseppe & Smith, Lones, 2008. "The demand for information: More heat than light," Journal of Economic Theory, Elsevier, vol. 138(1), pages 21-50, January.
  35. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
  36. Morten Balling & Ernest Gnan, 2013. "The development of financial markets and financial theory: 50 years of interaction," SUERF 50th Anniversary Volume Chapters, SUERF - The European Money and Finance Forum.
  37. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
  38. Pablo Salas, 2013. "Literature Review of Energy-Economics Models, Regarding Technological Change and Uncertainty," 4CMR Working Paper Series 003, University of Cambridge, Department of Land Economy, Cambridge Centre for Climate Change Mitigation Research.
  39. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  40. Stoimenov, Pavel A. & Wilkens, Sascha, 2005. "Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2971-2993, December.
  41. Marco Realdon, . "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
  42. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
  43. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
  44. Hans Dewachter, 1996. "Modelling interest rate volatility: Regime switches and level links," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(2), pages 236-258, September.
  45. O’Connor, Matthew & Rafferty, Matthew & Sheikh, Aamer, 2013. "Equity compensation and the sensitivity of research and development to financial market frictions," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2510-2519.
  46. Johnson, Shane A. & Tian, Yisong S., 2000. "The value and incentive effects of nontraditional executive stock option plans," Journal of Financial Economics, Elsevier, vol. 57(1), pages 3-34, July.
  47. Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.
  48. Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CARF F-Series CARF-F-047, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  49. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  50. Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
  51. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance 0212003, EconWPA.
  52. Radnai, Márton, 2005. "Indexált alaptermék árú opciók
    [Indexed options based on the underlying price]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 130-143.
  53. P.J.G. Vlaar, 1996. "Methods to determine capital requirements for options," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 49(198), pages 351-373.
  54. Evelina Shamarova & Rui S\'a Pereira, 2013. "L\'evy-FBSDE approach to option pricing," Papers 1309.2211, arXiv.org.
  55. Johannes Ruf, 2013. "Negative call prices," Annals of Finance, Springer, vol. 9(4), pages 787-794, November.
  56. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, School of Economics and Management, University of Aarhus.
  57. Guillen, Montserrat & Jorgensen, Peter Lochte & Nielsen, Jens Perch, 2006. "Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 229-252, April.
  58. Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196.
  59. Kenneth A. Froot & Jeremy C. Stein, 1996. "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach," Center for Financial Institutions Working Papers 96-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  60. Barone-Adesi, Giovanni & Bermudez, Ana & Hatgioannides, John, 2003. "Two-factor convertible bonds valuation using the method of characteristics/finite elements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1801-1831, August.
  61. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
  62. Raj, Mahendra & Sim, Ah Boon & Thurston, David C., 1997. "A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models," Journal of Economics and Business, Elsevier, vol. 49(2), pages 169-192.
  63. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  64. Ivanov, Sergei, 2014. "Альтернативный Подход К Определению Условий Отсутствия Арбитража
    [Alternetive way of determining no arbitrage conditions]
    ," MPRA Paper 58572, University Library of Munich, Germany, revised 15 Sep 2014.
  65. Feng Dai, 2005. "The DF Structure Models for Options Pricing On the Dividend- Paying and Capital-Splitting," Finance 0508012, EconWPA.
  66. Bajo, Emanuele & Barbi, Massimiliano, 2012. "The role of time value in convertible bond call policy," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 550-563.
  67. Aase, Knut K., 2004. "Negative volatility and the Survival of Western Financial Markets," Discussion Papers 2004/5, Department of Business and Management Science, Norwegian School of Economics.
  68. repec:hal:journl:halshs-00173787 is not listed on IDEAS
  69. 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.
  70. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  71. Alan J. Auerbach, 1983. "Real Determinants of Corporate Leverage," NBER Working Papers 1151, National Bureau of Economic Research, Inc.
  72. 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.
  73. Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
  74. repec:dgr:kubtil:2006007 is not listed on IDEAS
  75. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-65.
  76. Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno, 2006. "The exact value for European options on a stock paying a discrete dividend," MPRA Paper 701, University Library of Munich, Germany.
  77. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  78. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, School of Economics and Management, University of Aarhus.
  79. Jo\~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.
  80. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
  81. Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
  82. Dan Galai & Zvi Wiener, 2012. "Credit Risk Spreads in Local and Foreign Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 883-901, 08.
  83. Wosnitza, Jan Henrik & Leker, Jens, 2014. "Why credit risk markets are predestined for exhibiting log-periodic power law structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 427-449.
  84. Fegatelli, Paolo, 2010. "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," Journal of Financial Stability, Elsevier, vol. 6(2), pages 79-84, June.
  85. Richard J. Herring & Nathporn Chatusripitak, 2000. "The Case of the Missing Market: The Bond Market and Why It Matters for Financial Development," Center for Financial Institutions Working Papers 01-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
  86. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
  87. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
  88. 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.
  89. Kevin Fergusson & Eckhard Platen, 2014. "Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach," Research Paper Series 351, Quantitative Finance Research Centre, University of Technology, Sydney.
  90. Tan, Abby, 2006. "Long-memory volatility in derivative hedging," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 689-696.
  91. Li, Ka Leung & Wong, Hoi Ying, 2008. "Structural models of corporate bond pricing with maximum likelihood estimation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 751-777, September.
  92. Shafiee, Shahriar & Topal, Erkan, 2010. "An overview of global gold market and gold price forecasting," Resources Policy, Elsevier, vol. 35(3), pages 178-189, September.
  93. Yildirim, Yildiray, 2006. "Modeling default risk: A new structural approach," Finance Research Letters, Elsevier, vol. 3(3), pages 165-172, September.
  94. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
  95. Săvoiu, Gheorghe, 2008. "The scientific way of thinking in statistics, statistical physics and quantum mechanics," MPRA Paper 14093, University Library of Munich, Germany.
  96. Peter Aling & Shakill Hassan, 2011. "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," Working Papers 246, Economic Research Southern Africa.
  97. Hu, Xiangling & Motwani, Jaideep G., 2014. "Minimizing downside risks for global sourcing under price-sensitive stochastic demand, exchange rate uncertainties, and supplier capacity constraints," International Journal of Production Economics, Elsevier, vol. 147(PB), pages 398-409.
  98. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer, vol. 16(2), pages 97-109, June.
  99. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  100. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc.
  101. Tian, Yisong S., 2004. "Too much of a good incentive? The case of executive stock options," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1225-1245, June.
  102. Martin Conyon & Simon Peck & Graham Sadler, 2011. "New perspectives on the governance of executive compensation: an examination of the role and effect of compensation consultants," Journal of Management and Governance, Springer, vol. 15(1), pages 29-58, February.
  103. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
  104. Liang, Yijiong & Pokharel, Shaligram & Lim, Geok Hian, 2009. "Pricing used products for remanufacturing," European Journal of Operational Research, Elsevier, vol. 193(2), pages 390-395, March.
  105. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  106. Jose Giancarlo Gasha & Andre Santos & Jorge A. Chan-Lau & Carlos I. Medeiros & Marcos Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.
  107. Chernov, Mikhail, 2007. "On the Role of Risk Premia in Volatility Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 411-426, October.
  108. Shijun Cheng & John Evans & Nandu Nagarajan, 2008. "Board size and firm performance: the moderating effects of the market for corporate control," Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 121-145, August.
  109. Polito, Vito & Wickens, Mike, 2014. "Modelling the U.S. sovereign credit rating," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 202-218.
  110. Jérôme Detemple & Weidong Tian & Jie Xiong, 2012. "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, vol. 16(3), pages 423-448, July.
  111. Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," CARF F-Series CARF-F-173, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  112. Turvey, Calum G. & Toole, Andrew A. & Kropp, Jaclyn D., 2007. "An Empirical Examination of the Relationship Between Real Options Values and the Rate of Investment," 2007 1st Forum, February 15-17, 2007, Innsbruck, Austria 6606, International European Forum on Innovation and System Dynamics in Food Networks.
  113. Monda, Barbara & Giorgino, Marco & Modolin, Ileana, 2013. "Rationales for Corporate Risk Management - A Critical Literature Review," MPRA Paper 45420, University Library of Munich, Germany.
  114. Samaniego Alcántar Ángel, 2010. "Incertidumbre en los proyectos de investigación y desarrollo (I+D). Un estudio de la literatura," Contaduría y Administración:Revista Internacional, Accounting and Management: International Journal, vol. 55(3), pages 65-81, septiembr.
  115. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
  116. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  117. Michel Fliess & Cédric Join, 2010. "Delta Hedging in Financial Engineering: Towards a Model-Free Approach," Post-Print inria-00479824, HAL.
  118. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
  119. Ke Wang & Darrell Duffie, 2004. "Multi-Period Corporate Failure Prediction With Stochastic Covariates," Econometric Society 2004 Far Eastern Meetings 747, Econometric Society.
  120. Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar, 2013. "An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection," Resources Policy, Elsevier, vol. 38(2), pages 212-223.
  121. Wayne, James J., 2013. "Physics Laws of Social Science," MPRA Paper 47811, University Library of Munich, Germany.
  122. Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," Finance Working Papers 01-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  123. Liu, Wei & Huang, Xudong & Zheng, Weian, 2006. "Black–Scholes’ model and Bollinger bands," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 565-571.
  124. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
  125. Sottile, Pedro, 2013. "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, vol. 15(C), pages 160-185.
  126. Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 235-262.
  127. 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:Revista Internacional, Accounting and Management: International Journal, vol. 59(1), pages 63-93, enero-mar.
  128. Akihiko Takahashi & Toshihiro Yamada, 2011. "On Approximation of the Solutions to Partial Differential Equations in Finance," CIRJE F-Series CIRJE-F-815, CIRJE, Faculty of Economics, University of Tokyo.
  129. repec:dgr:uvatin:20020037 is not listed on IDEAS
  130. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
  131. Gulamhussen, M.A. & Pinheiro, Carlos & Pozzolo, Alberto Franco, 2014. "International diversification and risk of multinational banks: Evidence from the pre-crisis period," Journal of Financial Stability, Elsevier, vol. 13(C), pages 30-43.
  132. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  133. Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006. "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business 06-20, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  134. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés de Souza Penaloza & Rodrigo César de Castro Miranda, 2013. "Systemic Risk Measures," Working Papers Series 321, Central Bank of Brazil, Research Department.
  135. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00808608, HAL.
  136. Nyström, Kaj, 2008. "On deposit volumes and the valuation of non-maturing liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 709-756, March.
  137. Peter C.B.Phillips & Jun Yu, . "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Sim Kee Boon Institute for Financial Economics.
  138. Gilroy, Bernard Michael & Lukas, Elmar, 2004. "Optionen der Internationalisierung: Motive ausländischer Direktinvestitionen in einem neuen Licht
    [Options of internationalisation: motives for foreign direct invetsment in a new light]
    ," MPRA Paper 21539, University Library of Munich, Germany.
  139. James R. Hines Jr., 1998. "Investment Ramifications of Distortionary Tax Subsidies," NBER Working Papers 6615, National Bureau of Economic Research, Inc.
  140. Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
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