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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978435
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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
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Options : theory, strategy and applications
Ritchken, Peter H. - 1987
Persistent link: https://www.econbiz.de/10013502760
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On correlation and default clustering in credit markets
Berndt, Antje; Ritchken, Peter H.; Sun, Zhiqiang - In: The review of financial studies 23 (2010) 7, pp. 2680-2729
Persistent link: https://www.econbiz.de/10003992037
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On pricing derivatives in the presence of auxiliary state variables
Lin, Junze; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 14 (2006) 2, pp. 29-46
Persistent link: https://www.econbiz.de/10003400049
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Exchange traded foreign warrants
Gruca, E. - In: Advances in futures and options research : a research annual 6 (1993), pp. 53-66
Persistent link: https://www.econbiz.de/10001145854
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Option bounds with finite revision opportunities
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 43 (1988) 2, pp. 301-308
Persistent link: https://www.econbiz.de/10001059368
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On stochastic dominance and decreasing absolute risk averse option pricing bounds
Ritchken, Peter H. - In: Management science : journal of the Institute for … 35 (1989) 1, pp. 51-59
Persistent link: https://www.econbiz.de/10001066766
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Pricing the quality option in treasury bond futures
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 2 (1992) 3, pp. 197-214
Persistent link: https://www.econbiz.de/10001143990