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Content
October 1992, Volume 2, Issue 4
- 299-308 Option Pricing When Jump Risk Is Systematic1
by Chang Mo Ahn
July 1992, Volume 2, Issue 3
- 153-187 Option Pricing Under Incompleteness and Stochastic Volatility
by Norbert Hofmann & Eckhard Platen & Martin Schweizer - 189-196 Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1
by Chris Jones & Frank Milne - 197-214 Pricing the Quality Option In Treasury Bond Futures1
by Peter Ritchken & L. Sankarasubramanian
April 1992, Volume 2, Issue 2
- 63-86 Derivative Asset Pricing With Transaction Costs1
by Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman - 87-106 Alternative Characterizations Of American Put Options
by Peter Carr & Robert Jarrow & Ravi Myneni - 107-130 Representing Martingale Measures When Asset Prices Are Continuous And Bounded
by Freddy Delbaen - 131-150 Asymptotically Optimal Portfolios
by Farshid Jamshidian
January 1992, Volume 2, Issue 1
- 1-15 From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
by Darrell Duffie & Philip Protter - 17-32 On Modeling Questions In Security Valuation
by Ernst Eberlein - 33-46 The Relationship Between Risk and Maturity In A Stochastic Setting
by Paul H. Zipkin - 47-60 Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax
by Bernhard Eckwert
October 1991, Volume 1, Issue 4
- 1-38 A Nonstandard Approach to Option Pricing
by Nigel Cutland & Ekkehard Kopp & Walter Willinger - 39-55 Option Pricing With V. G. Martingale Components1
by Dilip B. Madan & Frank Milne - 57-76 A Stochastic Extension of the Miller‐Modigliani Framework1
by S. P. Sethi & N. A. Derzko & J. P. Lehoczky - 77-94 Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
by Hiroshi Shirakawa
July 1991, Volume 1, Issue 3
- 1-1 ERRATUM: risk‐Aversion Behavior In Consumption/Investment Problems
by E. Presman & S. Sethi - 1-10 Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
by Hua He & Neil D. Pearson - 11-29 Equilibrium Models With Singular Asset Prices
by Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve - 31-43 A Characterization of Complete Security Markets On A Brownian Filtration1
by Robert A. Jarrow & Dilip B. Madan - 45-52 Arbitrage Values Generally Depend On A Parametric Rate of Return
by Robin J. Brenner & J. L. Denny - 53-84 Optimal Investment and Consumption With Two Bonds and Transaction Costs1
by S. E. Shreve & H. M. Soner & G.‐L. Xu
April 1991, Volume 1, Issue 2
- 1-14 Optimal Stopping and the American Put
by S. D. Jacka - 15-55 Optimal Sure Portfolio Plans
by Lucien Foldes - 57-70 A Note On Utility Maximization Under Partial Observations1
by Ioannis Karatzas & Xlng‐Xlong Xue
January 1991, Volume 1, Issue 1
- 1-29 Universal Portfolios
by Thomas M. Cover - 31-54 Cash Stream Valuation In the Face of Transaction Costs and Taxes
by Jaime Cuevas Dermody & R. Tyrrell Rockafellar - 55-59 Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
by Walter Willinger & Murad S. Taqqu - 100-124 Risk‐Aversion Behavior In Consumption/Investment Problems1
by E. Presman & S. Sethi