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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

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 33 (1998) 01, pp. 61-86

This paper investigates the effects of stochastic convenience yields, stochastic interest rates, and jumps in the spot price on the pricing of commodity futures, forwards, and futures options. Numerical examples show that one-factor prices differ materially from the stochastic convenience yield...

Persistent link: https://www.econbiz.de/10008544238