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Author:   Phelim P. Boyle ,  Frances A. Longstaff ,  Peter Ritchken ,  Don M. Chance
Publisher:   Emerald Publishing Limited
Imprint:   JAI Press Inc.
Volume:   8
Dimensions:   Width: 15.20cm , Height: 2.00cm , Length: 22.90cm
Weight:   0.632kg
ISBN:  

9781559388528

ISBN 10:   1559388528
Pages:   324
Publication Date:   20 March 1996
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

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.

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