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Advances in Futures and Options Research : Advances in Futures and Options Research - Phelim P. Boyle

Advances in Futures and Options Research

Advances in Futures and Options Research

By: Phelim P. Boyle (Editor), Frances A. Longstaff (Editor), Peter Ritchken (Editor), Don M. Chance (Editor), Robert R. Trippi (Editor)

Hardcover Published: 6th October 1981
ISBN: 9781559388528
Number Of Pages: 324

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Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field of advances in futures and options research.

Editorial statement; abstracts; Black-Scholes approximation of warrant prices, Alain Bensoussan et al; Computing the Black-Scholes implied volatility - generalization of a simple formula, M.A. J. Bharadia et al; An LP approach to option portfolio selection, Richard J. Rendleman; An LP approach to synthetic option replication with transaction costs and multiple security selection, Patrick Dennis, Richard J. Rendleman; State space symmetry and two-factor option pricing models, Marc Chesney, Rajna Gibson; Currency option pricing in a family of exchange rate regimes, Niklas Ekvall et al; Options as linear complementarity problems - analysis and finite-difference solutions, J.N. Dewynne, P. Willmott; Default premiums and quality spread differentials in stochastic interest rate economy, Masayuki Ikelda; Placing no-arbitrage bounds on the value of non-marketable and thinly-traded securities, Francis A. Longstaff; A one-factor lognormal Markovian interest rate model - theory and implementations, Along Li; Options on forward and futures contacts in the affine term structure model, B. Leblanc, O. Scaillet; Valuation of two-factor term structure models, D. Goldman et al.

ISBN: 9781559388528
ISBN-10: 1559388528
Series: Advances in Futures and Options Research : Book 8
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 324
Published: 6th October 1981
Publisher: Emerald Publishing Limited
Country of Publication: US
Dimensions (cm): 22.9 x 15.2  x 2.0
Weight (kg): 0.63