This study evaluates two one‐factor, two two‐factor, and two three‐factor implied volatility functions in the HJM class, with the use of eurodollar futures options across both strike prices and maturities. The primary contributions of this article are (a) to propose and test three implied...

This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer‐term...

The Illustrious House of Ramires is the story of a Portuguese nobleman, without an heir or funds to maintain his estate, but with the prospects of marriage, developing his estate or writing the history of his illustrious family or an alternative career, including politics. These alternatives are...

We provide an arbitrage-free valuation of exhaustible resource firms through extending the Gibson and Schwartz (1990) model and also the Jamshidian and Fein (1990) solution to valuing an entire petroleum firm based on quoted oil futures. Our solutions are compared to accounting, traditional...

We use a mean-reverting interest rate model and a lognormal house price diffusion model to evaluate British fixed rate repayment mortgage contracts with (embedded) default and prepayment options. The model also provides values for capped mortgage indemnity guarantees and the corresponding...