This article generalizes the single-period linear programming option bound prices by allowing for a finite nu mber of revision opportunities. It is shown that, in an incomplete ma rket, the bounds on option prices can be derived using a modified bin omial option pricing model. Tighter bounds are...

Traditionally, raising the level of technology is considered the most effective way to improve productivity. Nevertheless, without the support of sound management systems, the contribution of technology to productivity is limited. In a sample of fifteen machinery firms, this paper calculates...

Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates implementation problems. Ritchken and Sankarasubramanian have...