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The Term Structure of Volatility Implied by Foreign Exchange Options

Xu, Xinzhong; Taylor, Stephen J. - In: Journal of Financial and Quantitative Analysis 29 (1994) 01, pp. 57-74

This paper illustrates regression and Kalman filtering methods for estimating the time-varying term structure of volatility expectations revealed by options prices. Short- and long-term expectations are estimated for four currencies using daily PHLX options prices from 1985 to 1989. Throughout...

Persistent link: https://www.econbiz.de/10005140568

Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 12 (1977) 04, pp. 651-652

Persistent link: https://www.econbiz.de/10008476684

Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 12 (1977) 04, pp. 659-659

Persistent link: https://www.econbiz.de/10008476926

Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 13 (1978) 03, pp. 461-474

Persistent link: https://www.econbiz.de/10005139055

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 17 (1982) 03, pp. 301-329

Persistent link: https://www.econbiz.de/10005139190

Analyzing Convertible Bonds

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 15 (1980) 04, pp. 907-929

Persistent link: https://www.econbiz.de/10005140418

On the Geometric Mean Index: A Note

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 20 (1985) 01, pp. 119-122

This note explores the properties of some stock markets indices that are claimed to approximate a continuously rebalanced equally weighted portfolio.

Persistent link: https://www.econbiz.de/10005407195