In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …

and option markets in the framework of rational expectations, consistent with the notion that these two markets are …

in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …

preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …

Brownian motion. …

pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from …