Similar Search Results

Liquidity effect in OTC options markets : premium or discount?

Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160

Persistent link: https://www.econbiz.de/10009267085

Pricing and hedging interest rate options : evidence from cap-floor markets

Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of banking & finance 29 (2005) 3, pp. 701-733

Persistent link: https://www.econbiz.de/10002516999

On pricing and hedging in the swaption market : how many factors, really?

Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33

Persistent link: https://www.econbiz.de/10003611410

The term structure of interest rates : alternative approaches and their implications for the valuation of contingent claims

Subrahmanyam, Marti G. - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 7-28

Persistent link: https://www.econbiz.de/10001334894

The intertemporal behaviour of asset prices and the equivalent martingale measure for the valuation of contingent claims

Stapleton, Richard C.; Subrahmanyam, Marti G. - 1989

Persistent link: https://www.econbiz.de/10000760810

Financial risk and derivatives : a special issue of the Geneva papers on risk and insurance theory

Loubergé, Henri (contributor); … - 1996 - 2. print

Persistent link: https://www.econbiz.de/10000960176

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10011544342

Special issue on insurance and financial risk management

Loubergé, Henri (contributor); … - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 5-141

Persistent link: https://www.econbiz.de/10001210083

Credit risk and credit derivatives : special issue

Brenner, Menachem (contributor); … - 1998

Persistent link: https://www.econbiz.de/10001497906

The valuation of American barrier options using the decomposition technique

Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827

Persistent link: https://www.econbiz.de/10001508774