Del 8 i serien Advances in Futures and Options Research

Advances in Futures and Options Research

Inbunden, Engelska, 1996

AvPhelim P. Boyle,Frances A. Longstaff,Peter Ritchken,Don M. Chance,Robert R. Trippi

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Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field of advances in futures and options research.

Produktinformation

Utgivningsdatum1996-03-20
Mått152 x 229 x 20 mm
Vikt632 g
FormatInbunden
SpråkEngelska
SerieAdvances in Futures and Options Research
Antal sidor324
FörlagEmerald Publishing Limited
ISBN9781559388528

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Editorial statement; abstracts; Black-Scholes approximation of warrant prices, Alain Bensoussan et al; Computing the Black-Scholes implied volatility - generalization of a simple formula, M.A. J. Bharadia et al; An LP approach to option portfolio selection, Richard J. Rendleman; An LP approach to synthetic option replication with transaction costs and multiple security selection, Patrick Dennis, Richard J. Rendleman; State space symmetry and two-factor option pricing models, Marc Chesney, Rajna Gibson; Currency option pricing in a family of exchange rate regimes, Niklas Ekvall et al; Options as linear complementarity problems - analysis and finite-difference solutions, J.N. Dewynne, P. Willmott; Default premiums and quality spread differentials in stochastic interest rate economy, Masayuki Ikelda; Placing no-arbitrage bounds on the value of non-marketable and thinly-traded securities, Francis A. Longstaff; A one-factor lognormal Markovian interest rate model - theory and implementations, Along Li; Options on forward and futures contacts in the affine term structure model, B. Leblanc, O. Scaillet; Valuation of two-factor term structure models, D. Goldman et al.