Similar Search Results - EconBiz

The valuation of American-style swaptions in a two-factor spot-futures model

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001463939

The pricing of options on credit-sensitive bonds

Peterson, Sandra; Stapleton, Richard C. - In: Schmalenbach business review : sbr 55 (2003) 3, pp. 178-193

Persistent link: https://www.econbiz.de/10001770485

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/10010324068

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

The pricing of marked-to-market contingent claims in a no-arbitrage economy

Satchell, Stephen - In: Australian journal of management 22 (1997) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001256338

The valuation of American options with stochastic interest rates : a generalization of the Geske-Johnson technique

Ho, Teng-suan - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 827-840

Persistent link: https://www.econbiz.de/10001222419

Who buys and who sells options : the role of options in an economy with background risk

Franke, Günter - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001246473

The valuation of American options on bonds

Ho, Teng-suan - In: Journal of banking & finance 21 (1997) 11, pp. 1487-1513

Persistent link: https://www.econbiz.de/10001236735

Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics

Ho, Teng-suan - In: The review of financial studies 8 (1995) 4, pp. 1125-1252

Persistent link: https://www.econbiz.de/10001198366

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

A service of the