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Asset prices and the level of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Beiträge zur Mikro- und zur Makroökonomik : …, (pp. 157-171). 2001

Persistent link: https://www.econbiz.de/10014553662

The valuation of American options on bonds

Ho, T.S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - In: Journal of banking & finance 21 (1997) 11-12, pp. 1487-1514

Persistent link: https://www.econbiz.de/10005903573

Background risk and the demand for state-contingent claims

Franke, Guenter; Stapleton, Richard C.; Subrahmanyam, … - In: Economic theory 23 (2004) 2, pp. 321-336

Persistent link: https://www.econbiz.de/10007155862

Papers - 1 - The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

Satchell, Stephen E.; Stapleton, Richard C.; … - In: Australian journal of management 22 (1997) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10006995164

Idiosyncratic risk, sharing rules and the theory of risk bearing

Franke, Günter - 1992

Persistent link: https://www.econbiz.de/10013387972

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

Franke, Günter - 1995

Persistent link: https://www.econbiz.de/10013388143

The Valuation of American-Style Options on Bonds

Ho, T.S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - Finance Department, Stern School of Business - 1996

Persistent link: https://www.econbiz.de/10005776441

Correlation risk, cross-market derivative products and portfolio performance

Ho, T. S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - In: European Financial Management 1 (1995) 2, pp. 105-124

We consider portfolios whose returns depend on at least three variables and show the effect of the correlation structure on the probabilities of the extreme outcomes of the portfolio return, using a multivariate binomial approximation. the portfolio risk is then managed by using derivatives. We...

Persistent link: https://www.econbiz.de/10005063432

Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk,

Franke, Gunter; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of Economic Theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10005159590

The valuation of American options on bonds1

Ho, T. S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - In: Journal of Banking & Finance 21 (1997) 11-12, pp. 1487-1513

Persistent link: https://www.econbiz.de/10005194916