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Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Real options and investment under uncertainty : …, (pp. 559-570). 2004

Persistent link: https://www.econbiz.de/10002362631

Options and portfolio insurance

Schwartz, Eduardo S. - In: Finanzmarkt und Portfolio-Management 1 (1986) 1, pp. 9-17

Persistent link: https://www.econbiz.de/10001218920

The stochastic behavior of commodity prices : implications for valuation and hedging

Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973

Persistent link: https://www.econbiz.de/10001225632

Financial markets and corporate finance : selected papers

Brennan, Michael J. - 1999

Persistent link: https://www.econbiz.de/10013550489

Option Payoffs, Disagreement and Returns

Brennan, Michael J.; Zhang, Yuzhao - 2022

We develop a measure of investor disagreement about the probability distribution of future returns on the market portfolio. The measure, which depends on the distribution across strike prices of open interest in index options, is derived by inverting the optimal portfolio decision of an investor...

Persistent link: https://www.econbiz.de/10013306181

Monte Carlo evaluation model of an undeveloped oil field

Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10001440011

Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - 1997

Persistent link: https://www.econbiz.de/10000972817

A simple approach to valuing risky fixed and floating rate debt

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 50 (1995) 3, pp. 789-819

Persistent link: https://www.econbiz.de/10001340027

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10001243206