This paper establishes three empirical results. The authors find positive autocorrelation in actual intraday stock returns, in intraday returns computed from quot e-midpoints, and in the arrival of buy and sell orders. They present a model of return generation which incorporates these features...

This paper derives pricing models of interest rate options and interest rate futures options. The models utilize the arbitrage-free interest rate movements model of Ho and Lee. In their model, they take the initial term structures as given, and for the subsequent periods, they only require that...