Dynamic Volatility Trading Strategies in the Currency Option Market Dajiang Guo OriginalPaper Pages: 133 - 154
Efficient Option Replication in the Presence of Transactions Costs Lionel Martellini OriginalPaper Pages: 107 - 131
Options on the minimum or the maximum of two average prices Xueping WuJin E. Zhang OriginalPaper Pages: 183 - 204
Stochastic duration and fast coupon bond option pricing in multi-factor models Claus Munk OriginalPaper Pages: 157 - 181
Minimum option prices under decreasing absolute risk aversion Kamlesh MathurPeter Ritchken OriginalPaper Pages: 135 - 156
A Refined Binomial Lattice for Pricing American Asian Options Prasad ChalasaniSomesh JhaAshok Varikooty OriginalPaper Pages: 85 - 105
An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims Antonio Camara OriginalPaper Pages: 67 - 83
Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach João Pedro Vidal NunesLes ClewlowStewart Hodges OriginalPaper Pages: 5 - 66
Calibration of Gaussian heath, Jarrow and Morton and random field interest rate term structure models Kin Pang OriginalPaper Pages: 315 - 345
Pricing of non-redundant derivatives in a complete market Abdelhamid BizidElyès JouiniPierre -François Koehl OriginalPaper Pages: 287 - 314
Stock index dynamics and derivatives pricing with stochastic interest rates Carsten Sørensen OriginalPaper Pages: 261 - 285
The effects of newly listed derivatives in a thin stock market Martin BruandRajna Gibson-Asner OriginalPaper Pages: 59 - 86
Optimal investment and production decisions and the value of the firm Gonzalo CortazarEduardo S. SchwartzAndrés Löwener OriginalPaper Pages: 39 - 57
Options markets, self-fulfilling prophecies, and implied volatilities Joseph A. CherianRobert A. Jarrow OriginalPaper Pages: 5 - 37
A tractable yield-curve model that guarantees positive interest rates Antoon Pelsser OriginalPaper Pages: 269 - 284
American bond option pricing in one-factor dynamic term structure models Peter LØchte JØrgensen OriginalPaper Pages: 245 - 267
Discrete-time bond and option pricing for jump-diffusion processes Sanjiv Ranjan Das OriginalPaper Pages: 211 - 243
American stochastic volatility call option pricing: A lattice based approach Thomas J. FinucaneMichael J. Tomas OriginalPaper Pages: 183 - 201
Valuing foreign exchange rate derivatives with a bounded exchange process Jonathan E. Ingersoll Jr. OriginalPaper Pages: 159 - 181
Index-option pricing with stochastic volatility and the value of accurate variance forecasts Robert F. EngleAlex KaneJaesun Noh OriginalPaper Pages: 139 - 157
Option pricing using a binomial model with random time steps (A formal model of gamma hedging) Heike DenglerRobert A. Jarrow OriginalPaper Pages: 107 - 138
On pricing kernels and finite-state variable Heath Jarrow Morton models George PennacchiPeter RitchkenL. Sankarasubramanian OriginalPaper Pages: 87 - 99
An alternative approach to the valuation of American options and applications In Joon KimG. George Yu OriginalPaper Pages: 61 - 85
The valuation and behavior of black-scholes options subject to intertemporal default risk Don Rich OriginalPaper Pages: 25 - 59
Exact solutions for bond and option prices with systematic jump risk Sanjiv Ranjan DasSilverio Foresi OriginalPaper Pages: 7 - 24
