Annuities are contractual guarantees that promise to provide periodic income over the lifetime(s) of individuals. Standard insurance industry practice assumes independence of lives when valuing annuities where the promise is based on more than one life. This article investigates the use of...

Existing empirical studies of the put-call parity condition report frequent, substantial violations. An important problem in interpreting these results is that these studies all investigate American options. While some of these studies attempt to reduce the effects of possible early exercise on...

We test the relation between expected and realized excess returns for the S&P 500 index from January 1994 through December 2003 using the proportional reward-to-risk measure to estimate expected returns. When risk is measured by historical volatility, we find no relation between expected and...

We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style S&P 500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution...

A central question in finance is how to measure portfolio performance. We assert that foresight (i.e., the ability of managers to forecast relative returns) and commitment (i.e., the aggressiveness with which managers act on their foresight) are necessary ingredients to generate portfolio...