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Limiting differences between forward and futures prices in a Lucas consumption model
Wiener, Zvi; Benninga, Simon; Protopapadakis, Aris A. - 1995
Persistent link: https://www.econbiz.de/10000925751
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Limiting differences between forward and futures prices in a Lucas consumption model
Wiener, Zvi; Benninga, Simon; Protopapadakis, Aris A. - 1994
Persistent link: https://www.econbiz.de/10000893125
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General equilibrium properties of the term structure of interest rates
Benninga, Simon - In: Journal of financial economics 16 (1986) 3, pp. 389-410
Persistent link: https://www.econbiz.de/10001015142
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The stock market premium, production, and relative risk aversion
Benninga, Simon - In: The American economic review 81 (1991) 3, pp. 591-599
Persistent link: https://www.econbiz.de/10001107489
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Leverage, time preference, and the "equity premium puzzle"
Benninga, Simon - In: Journal of monetary economics 25 (1990) 1, pp. 49-58
Persistent link: https://www.econbiz.de/10001086374
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Forward and futures prices with Markovian interest-rate processes
Benninga, Simon - In: The journal of business : B 67 (1994) 3, pp. 401-421
Persistent link: https://www.econbiz.de/10001167693
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The equilibrium pricing of exchange rates and assets when trade takes time
Benninga, Simon - In: Journal of international money and finance 7 (1988) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10001062847
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The neutrality of the real equilibrium under alternative financing of government expenditures
Benninga, Simon; Protopapadakis, Aris - 1983
Persistent link: https://www.econbiz.de/10001893554
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On the use of numeraires in option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001
In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...
Persistent link: https://www.econbiz.de/10010281218
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On the Use of Numeraires in Option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - Economics Institute for Research (SIR), … - 2002
In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...
Persistent link: https://www.econbiz.de/10005423785