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A simple non-parametric approach to bond futures option pricing

Stutzer, Michael J.; Chowdhury, Muinul - In: The journal of fixed income 8 (1999) 4, pp. 67-76

Persistent link: https://www.econbiz.de/10001432409

A Simple Non-Parametric Approach to Bond Futures Option Pricing

Stutzer, Michael J. - 1999

When used to price popular bond futures options, the Black model is subject to a moneyness bias similar to the Black-Scholes stock index option bias. It is shown that a suitably modified version of Stutzer's canonical stock option pricing model (Stutzer, J.Finance, 1996, 1633-52 ) also helps...

Persistent link: https://www.econbiz.de/10012789713

Asset allocation without unobservable parameters

Stutzer, Michael J. - In: Private wealth : advances in wealth management practices, (pp. 169-188). 2009

Persistent link: https://www.econbiz.de/10003810029

How students can backtest Madoff's claims

Stutzer, Michael J. - In: Advances in financial education : journal of the … 8 (2010) 1/2, pp. 62-72

Persistent link: https://www.econbiz.de/10008826303

The paradox of diversification

Stutzer, Michael J. - In: The journal of investing 19 (2010) 1, pp. 32-35

Persistent link: https://www.econbiz.de/10003961450

The formula that felled Wall Street? : an instructor's guide to default modelling

Stutzer, Michael J. - In: Journal of financial education 40 (2014) 1/2, pp. 1-13

Persistent link: https://www.econbiz.de/10010380526

A portfolio performance index

Stutzer, Michael J. - In: Investment performance measurement : evaluating and …, (pp. 605-618). 2009

Persistent link: https://www.econbiz.de/10003839858

A simple nonparametric approach to derivative security valuation

Stutzer, Michael J. - In: The journal of finance : the journal of the American … 51 (1996) 5, pp. 1633-1652

Persistent link: https://www.econbiz.de/10001211779

Optimal asset allocation for endowments: a large deviations approach

Stutzer, Michael - In: Advances in portfolio construction and implementation, (pp. 326-332). 2003

Persistent link: https://www.econbiz.de/10001771128

Portfolio choice with endogenous utility : a large deviations approach

Stutzer, Michael J. - In: Journal of econometrics 116 (2003) 1/2, pp. 365-386

Persistent link: https://www.econbiz.de/10001772155