This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

In recent years, there has been an increasing public demand for firms, especially financial institutions, to disclose more information related to derivatives due to a series of high profile financial scandals. A number of countries have established accounting and reporting standards for...

In recent years, there has been an increasing public demand for firms, especially financial institutions, to disclose more information related to derivatives due to a series of high profile financial scandals. A number of countries have established accounting and reporting standards for...