Discrete Parisian and Delayed Barrier Options: A General Numerical Approach
1
(16)
K. R. Vetzal
P. A. Forsyth
The Pricing of Double Barrier Options and Their Variations
17
(26)
Anlong Li
Numeraire Invariance, Change of Measure, and Pricing by Arbitrage in Continuous-Time Financial Models
43
(24)
Peter Lochte Jorgensen
Johannes Raaballe
Introducing a Twist into Finite-State Health-Jarrow-Morton Term Structure Modeling
67
(36)
Dapeng Xu
Wiener Chaos and Hermite Polynomials Expansions for Pricing and Hedging Contingent Claims
103
(32)
Emilio Barucci
Maria Elvira Mancino
Valuing Insurance for Defined-Benefit Pension Plans
135
(34)
Christopher M. Lewis
George G. Pennacchi
Strategic Decisions in Ocean Shipping with Contingent Claims
169
(28)
Franklin de'O. Goncalves
Optimal Conversion Terms for a Subordinated Zero-Coupon Convertible Bond
197
(22)
Sudipto Sarkar
Aaron Low
Jayaram Muthuswamy
Eric Terry
The Economic Significance of the Forecast Bias of S&P 100 Index Option Implied Volatility
219
(34)
Jeff Fleming
Futures Hedging and Stochastic Volatility
253
Da-Hsiang Donald Lien
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