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Econometric specification of the risk neutral valuation model

Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1997

Persistent link: https://www.econbiz.de/10000975624

Econometric specification of the risk neutral valuation model

Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1997

Persistent link: https://www.econbiz.de/10000976110

Efficiency wages and futures markets

Broll, Udo; Kit, Pong Wong - 1999

Persistent link: https://www.econbiz.de/10001362997

Hedging the risks from writing foreign currency options

Hull, John - In: Journal of international money and finance 6 (1987) 2, pp. 131-152

Persistent link: https://www.econbiz.de/10001043751

One-factor interest-rate models and the valuation of interest-rate derivative securities

Hull, John - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 2, pp. 235-254

Persistent link: https://www.econbiz.de/10001149611

Pricing interest-rate-derivative securities

Hull, John - In: The review of financial studies 3 (1990) 4, pp. 573-592

Persistent link: https://www.econbiz.de/10001105890

An analysis of the bias in option pricing caused by a stochastic volatility

Hull, John - In: Advances in futures and options research : a research annual 3 (1988), pp. 29-61

Persistent link: https://www.econbiz.de/10001081739

Valuing derivative securities using the explicit finite difference method

Hull, John - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 1, pp. 87-100

Persistent link: https://www.econbiz.de/10001082512

The use of the control variate technique in option pricing

Hull, John - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 3, pp. 237-251

Persistent link: https://www.econbiz.de/10001056078

The impact of inflation risk on forward trading and production

Broll, Udo; Kit, Pong Wong - 2014

This note examines the behavior of a competitive firm that faces joint price and inflation risk. Given that the price risk is negatively correlated with the inflation risk in the sense of expectation dependence, the firm optimally opts for an overhedge if the firm's coefficient of relative risk...

Persistent link: https://www.econbiz.de/10011521691