Similar Search Results

Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities

Hilliard, Jimmy E. - In: Quantitative Finance 14 (2014) 1, pp. 101-110

A wide variety of diffusions used in financial economics are mean-reverting and many have state- and time-dependent volatilities. For processes with the latter property, a transformation along the lines suggested by Nelson and Ramaswamey can be used to give a diffusion with constant volatility...

Persistent link: https://www.econbiz.de/10010751524

Pricing a clas of American and European path dependent securities

Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899

Persistent link: https://www.econbiz.de/10006104132

Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach

Hilliard, Jimmy E.; Schwartz, Adam - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 3, pp. 671

Persistent link: https://www.econbiz.de/10006691645

Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot

Hilliard, Jimmy E.; Reis, Jorge - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10006700984

An empirical analysis of multi-period hedges: Applications to commercial and investment assets

Hilliard, Jimmy E.; Huang, Pinghsun - In: The journal of futures markets 25 (2005) 6, pp. 587-606

Persistent link: https://www.econbiz.de/10006813557

Pricing Currency Options Under Stochastic Interest Rates and Jump Diffusion Processes

Doffou, Ako; Hilliard, Jimmy E. - In: The journal of financial research : a publ. of the … 24 (2001) 4, pp. 565-586

Persistent link: https://www.econbiz.de/10006829580

Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Bivariate Binomial Options Pricing Technique

Hilliard, Jimmy E.; Kau, James B.; Slawson Jr, V.Carlos - In: Real estate economics : journal of the American Real … 26 (1998) 3, pp. 431-468

Persistent link: https://www.econbiz.de/10006917835

Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756

Persistent link: https://www.econbiz.de/10008265736

Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue

Chance, Don M.; Hillebrand, Eric; Hilliard, Jimmy E. - In: Management science : journal of the Institute for … 54 (2008) 5, pp. 1015-1028

Persistent link: https://www.econbiz.de/10008045596

BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES

Hilliard, Jimmy E.; Schwartz, Adam L.; Tucker, Alan L. - In: Journal of Financial Research 19 (1996) 4, pp. 585-602

Persistent link: https://www.econbiz.de/10008518484