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Probabilities and values of early exercise : spot and futures foreign currency options

Bodurtha, James N. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 57-75

Persistent link: https://www.econbiz.de/10001219430

Testing the CAPM with time-varying risks and returns

Bodurtha, James N. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1485-1505

Persistent link: https://www.econbiz.de/10001112558

Efficiency tests of the foreign currency options market

Bodurtha, James N. - In: The journal of finance : the journal of the American … 41 (1986) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10001008807

Tests of an American option pricing model on the foreign currency options market

Bodurtha, James N. - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 2, pp. 153-167

Persistent link: https://www.econbiz.de/10001025736

Closed-end country funds and US market sentiment

Bodurtha, James N. - In: The review of financial studies 8 (1995) 3, pp. 879-918

Persistent link: https://www.econbiz.de/10001188911

The pricing of foreign currency options

Bodurtha, James N.; Courtadon, Georges Robert - 1987

Persistent link: https://www.econbiz.de/10000845288

Economic forces and the stock market : an international perspective

Bodurtha, James N. - In: Global finance journal 1 (1989) 1, pp. 21-46

Persistent link: https://www.econbiz.de/10001089858

Enterprise risk management in the energy and power industry

Jermakyan, Martin - In: Risk management : a modern perspective, (pp. 41-58). 2006

Persistent link: https://www.econbiz.de/10003271300

The price of power : the valuation of power and weather derivatives

Pirrong, Craig; Jermakyan, Martin - In: Journal of banking & finance 32 (2008) 12, pp. 2520-2529

Persistent link: https://www.econbiz.de/10003795768

The Price of Power - the Valuation of Power and Weather Derivatives

Pirrong, Craig - 2003

Pricing contingent claims on power presents numerous challenges due to (1) the nonlinearity of power price processes, and (2) time-dependent variations in prices. We propose and implement an equilibrium model in which the spot price of power is a function of two state variables: demand (load or...

Persistent link: https://www.econbiz.de/10012740686