7 results
Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 40 / Issue 3 / September 2005
- Published online by Cambridge University Press:
- 06 April 2009, pp. 671-691
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- September 2005
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Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 33 / Issue 1 / March 1998
- Published online by Cambridge University Press:
- 09 June 2010, pp. 61-86
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- March 1998
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Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 26 / Issue 3 / September 1991
- Published online by Cambridge University Press:
- 06 April 2009, pp. 345-362
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- September 1991
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Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 26 / Issue 2 / June 1991
- Published online by Cambridge University Press:
- 06 April 2009, pp. 139-151
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- June 1991
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Hedging Interest Rate Risk with Futures Portfolios under Full-Rank Assumptions
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 24 / Issue 2 / June 1989
- Published online by Cambridge University Press:
- 06 April 2009, pp. 217-240
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- June 1989
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Asset Pricing Under a Subset of Linear Risk Tolerance Functions and Log-Normal Market Returns
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 15 / Issue 5 / December 1980
- Published online by Cambridge University Press:
- 06 April 2009, pp. 1041-1061
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- December 1980
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Analysis of the Warrant Hedge in a Stable Paretian Market
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 12 / Issue 1 / March 1977
- Published online by Cambridge University Press:
- 19 October 2009, pp. 85-103
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- March 1977
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