Personal preferences and financial incentives make homeownership desirable for most families. Once a family purchases a home they find it impractical (costly) to frequently change their ownership of residential real estate. Thus, by deciding how much home to buy, a family constrains their...

Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a string market model framework, we solve for the correlation matrix implied by the swaptions market and examine the relative valuation of caps...

This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily...

The purpose of this paper is to examine the time series properties of volatilities, and to consider various financial and real variables that may be correlated with innovations in expected volatility. The measure used in this study is the Black-Scholes volatility implied in weekly call option...

In this paper we present a two-factor model, which values American crude oil futures options using the spot price and the net marginal convenience yield of crude as the relevant state variable. The model also accounts for a non-stationary market price of convenience yield risk, the value of...