In addition to showing the connection between parallel contingent and noncontingent risk comparison problems, we articulate a method for solving both kinds of problems using the "basis" approach. The basis approach has often been used implicitly, but we argue that there is value to making its...

This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the second one.

The purpose of this paper is to define the concept of expected minimum cost function and to present the methodology for a non parametric estimation of it. Generally, in cost enonometric analysis, inference is made on the cost function, namely the conditional expectation of cost given some level...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.