1. Option Pricing - A Review
T. Berglund and M. Gripenberg 2. General-Properties of Option Prices
Y. Bergman, B. Grundy and Z. Wiener 3. Comments on the Valuation of Derivative Assets
A. Bick 4. A Note on the Valuation of Contingent Claims
S. Dilworth 5. Super Contact and Related Optimality Conditions
B. Dumas 6. Models for Option Prices
S. Rachev and L. Ruschendorf 7. Toward the Theory of Pricing of Options of Both European and American Types and Continuous-Time
A. Shiryaev, Y. Kabanov, D. Kramkov and A. Melnikov 8. Option Pricing Methods - An Overview
C. Vanhulle 9. Decreasing Absolute Risk-Aversion and Option Pricing Bounds
A. Basso and P. Pianca 10. American Option Valuation - New Bounds, Approximations, and a Comparison of Existing Methods
M. Broadie and J. Detemple 11. Upper-Bounds for American Futures Options - A Note
M. Chaudhury and J. Wei 12. Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences
G. Constantinides and T. Zariphopoulou 13. A Put Option Paradox
M. Grinblatt and H. Johnson 14. Upper and Lower Bounds of Put and Call Option Value - Stochastic-Dominance Approach
H. Levy 15. Semiparametric Upper-Bounds for Option Prices and Expected Payoffs
A. Lo 16. Option Pricing Bounds in Discrete-Time
S. Perrakis and P. Ryan 17. Option Bounds in Discrete-Time - Extensions and the Pricing of the American Put
S. Perrakis 18. On Option Pricing Bounds
P. Ritchken 19. Option Bounds with Finite Revision Opportunities
P. Ritchken and S. Kuo 20. On Stochastic-Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
P. Ritchken and S. Kuo 21. The Accelerated Binomial Option Pricing Model
R. Breen 22. Currency Lookback Options and Observation Frequency - A Binomial Approach
T. Cheuk and T. Vorst 23. An Extension of the Black-Scholes Model of Security Valuation
D. Duffie 24. Multinomial Approximating Models for Options with K-State Variables
B. Kamrad and P. Ritchken 25. A Lattice Claims Model for Capital-Budgeting
B. Kamrad 26. The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
D. Madan, F. Milne and H. Shefrin 27. Simple Binomial Processes as Diffusion Approximations in Financial Models
D. Nelson and K. Ramaswamy 28. A Note on the Convergence of Binomial-Pricing and Compound-Option Models
E. Omberg 29. Option Pricing for Multinomial Stock Returns in Diffusion and Mixed Processes
S. Perrakis 30. The Valuation of Options When Asset Returns Are Generated by a Binomial Process
R. Stapleton and M. Subrahmanyam 31. An Alternative Valuation Model for Contingent Claims
G. Bakshi and Z. Chen 32. Notes on Multi-Period Valuation and the Pricing of Options
S. Bhattacharya 33. Implied Interest-Rates
M. Brenner and D. Galai 34. The Valuation of Options for Alternative Stochastic Processes
J. Cox and S. Ross 35. Option Pricing: A Simplified Approach
J. Cox, S. Ross and M. Rubinstein 36. Anomalies in Option Pricing - The Black-Scholes Model Revisited
P. Fortune 37. Pricing Contingent Claims Under Interest-Rate and Asset Price Risk
N. Kishimoto 38. Arbitrage Pricing of Contingent Claims
S. Muller 39. Displaced Diffusion Option Pricing
M. Rubinstein 40. A Note on a Simplified Approach to the Valuation of Risky Streams
S. Sethi 41. On the Valuation of American Call Options on Stocks with Known Dividends
R. Whaley 42. Prices of State-Contingent Claims Implicit in Option Prices
D. Breeden and R. Litzenberger 43. Optimal Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process
J. Cox and C. Huang 44. A Continuous-Time Portfolio Turnpike Theorem
J. Cox and C. Huang 45. On the Use of Semimartingales and Stochastic Integrals to Model Continuous Trading
J. Denny and G. Suchanek 46. Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
P. Dybvig and C. Huang 47. Dusenberrys Ratcheting of Consumption - Optimal Dynamic Consumption and Investment Given Intolerance for Any Decline in Standard-of-Living
P. Dybvig 48. Option Pricing by Esscher Transforms
H. Gerber and E. Shiu 49. Martingales and Arbitrage in Multiperiod Securities Markets
J. Harrison and D. Kreps 50. Securities Markets, Diffusion State Processes, and Arbitrage-Free Shadow Prices
J. Heaney and G. Poitras 51. A Characterization Theorem for Unique Risk Neutral Probability-Measures
R. Jarrow 52. Option Pricing and the Martingale Restriction
F. Longstaff 53. On Complete Securities Markets and the Martingale Property of Securities Prices
S. Muller 54. Information and Volatility - The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
S. Ross 55. How to Grow a Smiling Tree
S. Barle and N. Cakici 56. Transatlantic Trees
N. Chriss 57. Riding on a Smile
E. Derman and I. Kani 58. Implied Trinomial Trees of the Volatility Smile
E. Derman, I. Kani and N. Chriss 59. Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
E. Derman and I. Kani 60. Pricing with a Smile
B. Dupire 61. Option-Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review
J. Jackwerth 62. Implied Binomial Trees
M. Rubinstein 63. Do Option Markets Correctly Price the Probabilities of Movement of the Underlying Asset
Y. Aitsahalia, Y. Wang and F. Yared 64. Total Risk-Aversion and the Pricing of Options
E. Barron and R. Jensen 65. Empirical Pricing Kernels
J. Rosenberg and R. Engle 66. Risk-Aversion and the Intertemporal Behavior of Asset Prices
R. Stapleton and M. Subrahmanyam 67. Option Evaluation Techniques by Parallel Processing - A Review
M. Bertocchi 68. Options: A Monte Carlo Approach
P. Boyle 69. A Lattice Framework for Option Pricing with Two State Variables
P. Boyle 70. Monte Carlo Methods for Security Pricing
P. Boyle, M. Broadie and P. Glasserman 71. Estimating Security Price Derivatives Using Simulation
M. Broadie and P. Glasserman 72. Pricing American-Style Securities Using Simulation
M. Broadie and P. Glasserman 73. The Use of the Control Variate Technique in Option Pricing
J. Hull and A. White 74. Valuing American Options by Simulation: A Lease-squares Approach
F. Longstaff and E. Schwartz 75. Jackknifing Bond Option Prices
P. Phillips and J. Yu 76. Simulating Financial Prices
S. Taylor 77. A Modified Lattice Approach to Option Pricing
Y. Tian 78. Asset Market Equilibrium in Infinite Dimensional Complete Markets
H. Cheng 79. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
P. Collin-Dufresne and R. Goldstein 80. Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
D. Duffie and C. Huang 81. Stochastic Equilibria - Existence, Spanning Number, and the No Expected Financial Gain from Trade Hypothesis
D. Duffie 82. Mean-Variance Theory in Complete Markets
P. Dybvig and J. Ingersoll 83. Options, Short Sales, and Market Completeness
S. Figlewski and G. Webb 84. Convergence from Discrete to Continuous-Time Contingent Claims Prices
H. He 85. Weak-Convergence of Term Structure Movements and the Connection of Prices and Interest-Rates
D. Ji and G. Yin 86. When is Time Continuous?
D. Bertsimas, L. Kogan and A. Lo 87. An Analytic Approximation for the American Put Price for Options on Stocks with Dividends
E. Blomeyer 88. Randomization and the American Put
P. Carr 89. Valuation by Approximation - A Comparison of Alternative Option Valuation Techniques
R. Geske and K. Shastri 90. Approximate Option Valuation for Arbitrary Stochastic-Processes
R. Jarrow and A. Rudd 91. An Analytic Approximation for the American Put Price
H. Johnson 92. The Analytic Valuation of American Options
I. Kim 93. Relative Implied Volatility Arbitrage with Index Options
M. Ammann and S. Herriger 94. On Inferring Standard Deviations from Path Dependent Options
C. Ball, W. Torous and A. Tschoegl 95. A Note on a Simple, Accurate Formula to Compute Implied Standard Deviations
C. Corrado and T. Miller 96. The Model-Free Implied Volatility and Its Information Content
G. Jiang and Y. Tian 97. Forecasting Stock-Return Variance - Toward an Understanding of Stochastic Implied Volatilities
C. Lamoureux and W. Lastrapes 98. The Calculation of Implied Variances from the Black-Scholes Model - A Note
S. Manaster and G. Koehler 99. Alternative Specifications of the Errors in the Black Scholes Option-Pricing Model and Various Implied-Variance Formulas
A. Rahman and L. Kryzanowski 100. The Pricing of Stock Index Options in a General Equilibrium-Model
W. Bailey and R. Stulz 101. Equilibrium Valuation of Foreign-Exchange Claims
G. Bakshi and Z. Chen 102. Price Barriers and the Dynamics of Asset Prices in Equilibrium
P. Balduzzi, S. Foresi and D. Hait 103. On the Consistency of the Black-Scholes Model with a General Equilibrium Framework
A. Bick 104. Noise
F. Black 105. Rational-Expectations, Information and Asset Markets - An Introduction
M. Bray 106. An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities
D. Breeden 107. Consumption, Production, Inflation and Interest-Rates - A Synthesis
D. Breeden 108. Information, Trade, and Derivative Securities
M. Brennan and H. Cao 109. Capital-Market Equilibrium with Personal Tax
G. Constantinides 110. A General Equilibrium-Analysis of Option and Stock-Market Interactions
J. Detemple and L. Selden 111. The Risk and Price Volatility of Stock-Options in General Equilibrium
B. Drees and B. Eckwert 112. Dynamic Equilibrium and the Real Exchange-Rate in a Spatially Separated World
B. Dumas 113. Asset Preference, Skewness, and the Measurement of Expected Utility
M. Hassett, R. Sears and G. Trennepohl 114. On Equilibrium Asset Price Processes
H. He and H. Leland 115. General Equilibrium Stock Index Futures Prices - Theory and Empirical-Evidence
M. Hemler and F. Longstaff 116. Construction of a State-Space for Interrelated Securities with an Application to Temporary Equilibrium-Theory
P. Henrotte 117. Quasi-Mean Reversion in an Efficient Stock-Market - The Characterization of Economic Equilibria Which Support Black Scholes Option Pricing
S. Hodges and A. Carverhill 118. Heterogeneous Beliefs and the Effect of Replicatable Options on Asset Prices
A. Kraus and M. Smith 119. Arbitrage and Equilibrium in Economies with Infinitely Many Commodities
D. Kreps 120. Informational Efficiency and Information Subsets
M. Latham 121. The Existence of Security Market Equilibrium with a Nonatomic State-Space
A. Mascolell and W. Zame 122. Option Pricing When the Underlying Asset Earns a Below-Equilibrium Rate of Return - A Note
R. McDonald and D. Siegel 123. Arbitrage, Rationality, and Equilibrium
R. Nau and K. Mccardle 124. Options and Equilibrium
H. Polemarchakis and B. Ku 125. A Continuous-Time Equilibrium-Model of Forward Prices and Futures Prices in a Multigood Economy
S. Richard and M. Sundaresan 126. Explicit Solution of a General Consumption Portfolio Problem with Subsistence Consumption and Bankruptcy
S. Sethi, M. Taksar and E. Presman 127. Efficiency and Speculation in a Model with Price-Contingent Contracts
L. Svensson 128. A General Equilibrium-Model of International Portfolio Choice
R. Uppal 129. Options Trading and the CAPM
J. Vanden 130. Option Valuation with Systematic Stochastic Volatility
K. Amin and V. Ng 131. The Price of a Smile: Hedging and Spanning in Option Markets
A. Buraschi and J. Jackwerth 132. Option Pricing with Stochastic Volatility - Information-Time vs Calendar-Time
C. Chang and J. Chang 133. Black-Scholes Approximations of Call Option Prices with Stochastic Volatilities
T. Finucane 134. Bayesian-Analysis of Stochastic Volatility Models - Comment
E. Ghysels and J. Jasiak 135. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
S. Heston 136. A Closed-form GARCH Option Valuation Model
S. Heston and S. Nandi 137. The Pricing of Options on Assets with Stochastic Volatilities
J. Hull and A. White 138. Option Pricing When the Variance Is Changing
H. Johnson and D. Shanno 139. Conditional Heteroskedasticity, Asymmetry, and Option Pricing
T. Kang and B. Brorsen 140. A Simple Option Pricing Model with Markovian Volatilities
M. Kijima and T. Yoshida 141. Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns
V. Naik 142. Changing Volatility and the Pricing of Options on Stock Index Futures
H. Park and R. Sears 143. Contingent Claims and Market Completeness in a Stochastic Volatility Model
M. Romano and N. Touzi 144. Option Pricing When the Variance Changes Randomly - Theory, Estimation, and an Application
L. Scott 145. Stock-Price Distributions with Stochastic Volatility - An Analytic Approach
E. Stein and J. Stein 146. Option Values Under Stochastic Volatility - Theory and Empirical Estimates
J. Wiggins 147. Jump-Diffusion Processes and the Term Structure of Interest-Rates
C. Ahn and H. Thompson 148. Jump Diffusion Option Valuation in Discrete-Time
K. Amin 149. A Simplified Jump Process for Common-Stock Returns
C. Ball and W. Torous 150. On Jumps in Common-Stock Prices and Their Impact on Call Option Pricing
C. Ball and W. Torous 151. Stochastic Multiagent Equilibria in Economies with Jump-Diffusion Uncertainty
I. Bardhan and X. Chao 152. Using Jump-Diffusion Return Models to Measure Differential Information by Firm Size
G. Brauer 153. Finite Difference Methods and Jump Processes arising in the Pricing of Contingent Claims: A Synthesis
M. Brennan and E. Schwartz 154. Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes
S. Das 155. Jump Risks and the Intertemporal Capital-Asset Pricing Model
R. Jarrow and E. Rosenfeld 156. Optimal Portfolio for a Small Investor in a Market Model with Discontinuous Prices
M. Jeanblancpicque and M. Pontier 157. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
M. Joannes 158. On Jump-Processes in the Foreign-Exchange and Stock Markets
P. Jorion 159. Are Jumps in Stock Returns Diversifiable - Evidence and Implications for Option Pricing
M. Kim, Y. Oh and R. Brooks 160. General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
V. Naik and M. Lee 161. A General Derivation of the Jump Process Option Pricing Formula
F. Page and A. Sanders 162. Optimal Hedged Portfolios - The Case of Jump-Diffusion Risks
K. Park, C. Ahn and R. Fujihara 163. Optimal Stopping, Free-Boundary, and American Option in a Jump-Diffusion Model
H. Pham 164. Futures Markets and Commodity Options - Hedging and Optimality in Incomplete Markets
D. Breeden 165. Dynamic Consumption and Portfolio Choice with Stochastic Volatilility in Incomplete Markets
G. Chacko and L. Viceira 166. Options Arbitrage in Imperfect Markets
S. Figlewski 167. An Introduction to General Equilibrium with Incomplete Asset Markets
J. Geanakoplos 168. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
R. Jarrow 169. Market Resolution and Valuation in Incomplete Markets
K. John 170. On the Pricing of Contingent Claims Under Constraints
I. Karatzas and S. Kou 171. Efficient Funds for Meager Asset Spaces
D. Nachman 172. On the Computation of Continuous-Time Option Prices Using Discrete Approximations
K. Amin 173. The Pricing of Contingent Claims in Discrete Time Models
M. Brennan 174. Option Pricing in a Lognormal Securities Market with Discrete Trading - A Comment
D. Brown and C. Huang 175. A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives
A. Camara 176. Option Pricing in a Lognormal Securities Market with Discrete Trading
W. Lee, R. Rao and J. Auchmuty 177. An Equilibrium Debt Option Pricing Model in Discrete-Time
K. Maloney and M. Byrne 178. Efficient Discrete-Time Jump Process Models in Option Pricing
E. Omberg 179. A Hilbert-Space Proof of the Fundamental Theorem of Asset Pricing in Finite Discrete-Time
W. Schachermayer 180. Risk-Neutral Parameter Shifts and Derivatives Pricing in Discrete Time
M. Schroder 181. The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous-Time
D. Shimko 182. The Valuation of Multivariate Contingent Claims in Discrete-Time Models
R. Stapleton and M. Subrahmanyam 183. Continuously Traded Options on Discretely Traded Commodity Futures Contracts
R. Webb, G. Iwata, K. Fujiwara and H. Sunada 184. A Consistent Model for the Pricing of Derivative Assets in a Discrete-Time Framework
J. Wilhelm 185. Term Structure of Interest Rates with Regime Shifts
R. Bansal and H. Zhou 186. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
F. Black, E. Derman and W. Toy 187. A Comparative-Evaluation of Alternative Models of the Term Structure of Interest-Rates
G. Boero and C. Torricelli 188. Another Look at Models of the Short-Term Interest-Rate
R. Brenner, R. Harjes and K. Kroner 189. The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest-Rates
S. Brown and P. Dybvig 190. The Term Structure of Real Interest-Rates and the Cox, Ingersoll, and Ross Model
R. Brown and S. Schaefer 191. Recent Advances in Estimating Term Structure Models
D. Chapman and N. Pearson 192. On the Feasibility of Arbitrage-Based Option Pricing When Stochastic Bond Price Processes Are Involved
S. Cheng 193. A Theory of the Nominal Term Structure of Interest Rates
G. Constantinides 194. A Theory of the Term Structure of Interest-Rates
J. Cox, J. Ingersoll and S. Ross 195. An Intertemporal General Equilibrium-Model of Asset Prices
J. Cox, J. Ingersoll and S. Ross 196. On Alternative Interest-Rate Processes
M. Dahlquist 197. Term Structure Dynamics in Theory and Reality
Q. Dai and K. Singleton 198. Term Premia and Interest Rate Forecasts in Affine Models
G. Duffee 199. Multifactor Term Structure Models
D. Duffie and R. Ikan 200. A Yield Factor Model of Interest Rates
D. Duffie and R. Kan 201. An Econometric Model of the Term Structure of Interest Rate Swap Yields
D. Duffie and K. Singleton 202. Modeling Real Interest-Rates
L. Evans, S. Keef and J. Okunev 203. Term Premiums and Default Premiums in Money Markets
E. Fama 204. Arbitrage Free Pricing of Interest-Rate Futures and Forward Contracts
B. Flesaker 205. Bond Pricing and the Term Structure of Interest Rates: A New Methodology
D. Heath, R. Jarrow and A. Morton 206. Term Structure Movements and Pricing Interest-Rate Contingent Claims
T. Ho and S. Lee 207. Time-Varying Term Premia and Traditional Hypotheses About the Term Structure
F. Longstaff 208. Closed-Form Solutions for Term Structure Derivatives with Log-Normal Interest-Rates
K. Miltersen, K. Sandmann and D. Sondermann 209. Nonlinear Interest-Rate Dynamics and Implications for the Term Structure
G. Pfann, P. Schotman and R. Tschernig 210. The Term Structure of Interest-Rates - Alternative Approaches and Their Implications for the Valuation of Contingent Claims
M. Subrahmanyam 211. The Term Structure of Interest-Rate Differentials in a Target Zone - Theory and Swedish Data
L. Svensson 212. An Equilibrium Characterization of the Term Structure
O. Vasicek 213. A Survey of Stochastic Continuous-Time Models of the Term Structure of Interest-Rates
K. Vetzal 214. Derivative Asset Pricing with Transaction Costs
B. Bensaid, J. Lesne, H. Pages and J. Scheinkman 215. The Price of Options Illiquidity
M. Brenner, R. Eldor and S. Hauser 216. Stochastic Interest-Rates, Transaction Costs, and Immunizing Foreign-Currency Risk
R. Chiang, J. Okunev and M. Tippett 217. Optimal Delta-Hedging Under Transactions Costs
L. Clewlow and S. Hodges 218. European Option Pricing with Transaction Costs
M. Davis, G. Panas and T. Zariphopoulou 219. An Exact Solution to a Dynamic Portfolio Choice Problem Under Transactions Costs
B. Dumas and E. Luciano 220. Optimal Replication of Options with Transactions Costs and Trading Restrictions
C. Edirisinghe, V. Naik and R. Uppal 221. Trading Costs and the Relative Rates of Price Discovery in Stock Futures, and Option Markets
J. Fleming, B. Ostdiek and R. Whaley 222. The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model - A Note
J. Gilster and W. Lee 223. Martingales and Arbitrage in Securities Markets with Transaction Costs
E. Jouini and H. Kallal 224. Option Pricing and Replication with Transactions Costs
H. Leland 225. On the Possibility of Hedging Options in the Presence of Transaction Costs
S. Levental and A. Skoroho 226. Competing Methods for Option Hedging in the Presence of Transaction Costs
L. Martellini and P. Priaulet 227. Structuring an Option to Facilitate Replication with Transaction Costs
S. Shaffer 228. There is No Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs
H. Soner, E. Shreve and J. Cvitanic 229. On the Mean-Variance Tradeoff in Option Replication with Transactions Costs
K. Toft 230. An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
A. Whalley and P. Wilmott 231. A PDE Approach to Asian Options - Analytical and Numerical Evidence
B. Alziary, J. Decamps and P. Koehl 232. Efficient Analytic Approximation of American Option Values
G. Baroneadesi and R. Whaley 233. Numerical Valuation of High-Dimensional Multivariate American Securities
J. Barraquand and D. Martineau 234. Computational Methods in Finance - Option Pricing
E. Barucci, L. Landi and U. Cherubini 235. Some Easy-to-Implement Methods of Calculating American Futures Option Prices
M. Chaudhury 236. A More Accurate Finite-Difference Approximation for the Valuation of Options
G. Courtadon 237. The American Put - Computational Issues and Value Comparisons
W. Eckardt 238. The American Put Option Valued Analytically
R. Geske and H. Johnson 239. On Valuing American Call Options with the Black-Scholes European Formula
R. Geske and R. Roll 240. The Valuation of American Options with Stochastic Interest-Rates - A Generalization of the Geske-Johnson Technique
T. Ho, R. Stapleton and M. Subrahmanyam 241. Pricing and Hedging American Options - A Recursive Integration Method
J. Huang, M. Subrahmanyam and G. Yu 242. Valuing Derivative Securities Using the Explicit Finite-Difference Method
J. Hull and A. White 243. A Log-Transformed Binomial Numerical-Analysis Method for Valuing Complex Multi-Option Investments
L. Trigeorgis 244. Numerical-Analysis of American Option Pricing in a Jump-Diffusion Model
X. Zhang 245. Nonparametric Pricing of Interest-Rate Derivative Securities
Y. Aitsahalia 246. Improving the Pricing of Options: A Neural Network Approach
U. Anders, O. Korn and C. Schmitt 247. Integrating Mathematical and Symbolic Models Through Aesop - An Expert for Stock-Options Pricing
J. Clifford, H. Lucas and R. Srikanth 248. A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks
J. Hutchinson, A. Lo and T. Poggio 249. Nonparametric Pricing of Multivariate Contingent Claims
J. Rosenberg 250. A Graphical Note on European Put Thetas
G. Alexander and M. Stutzer 251. Stochastic-Models for Bond Prices, Function-Space Integrals and Immunization Theory
J. Beekman and E. Shiu 252. An Alternative Approach to Stochastic Calculus for Economic and Financial Models
L. Blenman, R. Cantrell, R. Fennell, D. Parker, J. Reneke, L. Wang and N. Womer 253. The Stop-Loss Start-Gain Paradox and Option Valuation - A New Decomposition into Intrinsic and Time Value
P. Carr and R. Jarrow 254. Noncausality in Continuous-Time Models
F. Comte and E. Renault 255. The Pricing of Convexity Risk and Time Decay in Options Markets
S. Figlewski and S. Freund 256. Stock-Price Fluctuation as a Diffusion in a Random Environment
H. Follmer 257. Towards a Semigroup Pricing Theory
M. Garman 258. Changes of Numeraire, Changes of Probability Measure and Option Pricing
H. Geman, N. Elkaroui and J. Rochet 259. Nonuniqueness of Option Prices
H. Gerber and E. Shiu 260. A Unified Method for Pricing Options on Diffusion-Processes
D. Goldenberg 261. Continuous Price Processes in Frictionless Markets Have Infinite Variation
J. Harrison, R. Pitbladdo and S. Schaefer 262. Invisible Parameters in Option Prices
S. Heston 263. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
J. Huang and L. Wu 264. Call Options and the Risk of Underlying Securities
R. Jagannathan 265. A Class of Options with Stochastic Lives and an Extension of the Black-Scholes Formula
L. Jennergren and B. Naslund 266. Explicit Solution of a General Consumption Investment Problem
I. Karatzas, J. Lehoczky, S. Sethi and S. Shreve 267. Itos Calculus in Financial Decision-Making
A. Malliaris 268. Dominance Relations Among Standardized Variables
F. Milne and E. Neave 269. Pricing via Anticipative Stochastic Calculus
E. Platen and R. Rebolledo 270. Call Option Valuation for Discrete Normal Mixtures
R. Ritchey 271. A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period
M. Rubinstein 272. Change of Numeraire for Pricing Futures, Forwards, and Options
M. Schroder 273. A Comparison of the ITO and Stratonovich Formulations of Problems in Finance
S. Sethi and J. Lehoczky 274. System Dynamics and Operational-Research - An Appraisal - Reply
J. Sharp and D. Price 275. Stochastic Differential-Equations in Finance
K. Sharp 276. On Some Basic Concepts and Some Basic Stochastic-Models Used in Finance
A. Shiryaev 277. Applicable Stochastic-Control - From Theory to Practice
C. Tapiero 278. Optimal Cross-Hedge Portfolios for Hedging Stock Index Options
M. Alderson and T. Zivney 279. Can a Dynamic Strategy Replicate the Returns of an Option
M. Asay and C. Edelsburg 280. Delta-Hedged Gains and the Negative Market Volatility Risk Premium
G. Bakshi and N. Kapadia 281. Hedging Derivative Securities and Incomplete Markets: An epsilon-Arbitrage Approach
D. Bertsimas, L. Kogan and A. Lo 282. Producing Derivative Assets with Forward Contracts
A. Bick 283. Residual Risks and Hedging Strategies in Markovian Markets
N. Bouleau and D. Lamberton 284. Discretely Adjusted Option Hedges
P. Boyle and D. Emanuel 285. An Intertemporal Measure of Hedging Effectiveness
J. Chang and F. Hsing 286. Hedging Options
N. Chen and H. Johnson 287. A Note on the Riskless Option Hedge
T. Conine 288. Pricing Continuously Resettled Contingent Claims
D. Duffie and R. Stanton 289. Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock-Market
P. Dybvig 290. Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
R. Fan, A. Gupta and P. Ritchken 291. Dynamic Immunization Under Stochastic Interest-Rates
L. Gagnon and L. Johnson 292. The Components of the Return from Hedging Options Against Stocks
D. Galai 293. Option Pricing Theory, Is Risk-Free Hedging Feasible - Comment
G. Gastineau 294. Actuarial Bridges to Dynamic Hedging and Option Pricing
H. Gerber and E. Shiu 295. Option Pricing Theory - Is Risk-Free Hedging Feasible
J. Gilster 296. An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
S. Grossman 297. Continuous Maturity Diversification of Default-Free Bond Portfolios and a Generalization of Efficient Diversification
W. Heaney and P. Cheng 298. Multiperiod Minimax Hedging Strategies
M. Howe, B. Rustem and M. Selby 299. A Robust Hedging Algorithm
M. Howe and B. Rustem 300. Robustness of the Black and Scholes Formula
N. Karoui, M. Jeanblac-Picque and S. Shreve 301. Optimal Weights and International Portfolio Hedging with United-States Dollar Index Futures - An Empirical-Investigation
S. Krull and A. Rai 302. Perfect Option Hedging and the Hedge Ratio
S. Muller 303. Leverage Constraints and the Optimal Hedging of Stock and Bond Options
V. Naik and R. Uppal 304. Optimal Hedging Policies
R. Stulz 305. Optimal Hedging with Futures Options
A. Wolf 306. A Note on the Design of Commodity Option Contracts
M. Asay 307. A Note on the Effects of Contract Adjustments on the Prices of Put and Call Options
R. Brown, S. Easton and P. Lalor 308. Financial Market Innovation and Security Design - An Introduction
D. Duffie and R. Rahi 309. Interpreting Signs
J. Finnerty 310. Competing Derivative Equity Instruments - Empirical-Evidence on Hedged Portfolio Performance
G. Hancock and P. Weise 311. International Listings and Risk
J. Howe, J. Madura and A. Tucker 312. Convertible Bond Design and Capital Investment: The Role of Call Provisions
T. Korkeamaki and W. Moore 313. A Note on the Design of Commodity Options Contracts - A Comment
R. McDonald and D. Siegel 314. The Log Contract
A. Neuberger 315. Behavioral-Aspects of the Design and Marketing of Financial Products
H. Shefrin and M. Statman 316. Superunits and Supershares
E. Weigel 317. Binomial Option Pricing and the Conditions for Early Exercise - An Example Using Foreign-Exchange Options
R. Breen 318. Strategic Analysis of the Competitive Exercise of Certain Financial Options
G. Constantinides and R. Rosenthal 319. Warrant Exercise and Bond Conversion in Competitive Markets
G. Constantinides 320. Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index
F. Deroon and C. Veld 321. Early Exercise of American Index Options
D. French and E. Maberly 322. The Early Exercise of American Puts
R. Geske and K. Shastri 323. American Put Options with a Finite-Set of Exercisable Time Epochs
H. Iwaki, M. Kijima and T. Yoshida 324. Analytic Approximation of the Optimal Exercise Boundaries for American Futures Options
I. Kim 325. A Note on the No Premature Exercise Condition of Dividend Payout Unprotected American Call