1996
|
|
Paper Details |
Copy |
| 96-71 | Kin Pang Calibration of Kennedy and Multi-Factor Gaussian HJM to Caps and Swaptions Prices |
PDF |
| 96-70 | Luca Pappalardo Option Pricing and Smile Effect when Underlying Stock Prices are Driven by a Jump Process |
PDF |
| 96-69 | Simon Babbs and Michael J P Selby Pricing by Arbitrage in Incomplete Markets |
PDF |
| 96-68 | Les Clewlow and Stewart Hodges Optimal Delta-Hedging Under Transactions Costs |
PDF |
| 96-67 | Les Clewlow and Chris Strickland Monte Carlo Valuation of Interest Rate Derivatives Under Stochastic Volatility |
PDF |
| 96-66 | *Revision of WF91/28 Les Clewlow and Andrew Carverhill A Note on the Efficiency of the Binomial Option Pricing Model |
PDF |
| 96-65 | Stewart Hodges and Michael J P Selby The Risk Premium in Trading Equilibria which Support Black-Scholes Option Pricing |
PDF |
| 96-64 | Anthony Neuberger and Stewart Hodges Equilibrium and the Role of Options in an Economy with Stochastic Volatility |
PDF |
| 96-63 | Silio Aparicio and Stewart Hodges Martingale Restriction Tests of Option Pricing Models and their Interpretation |
PDF |