Derivative Assets Analysis

Keywords

Derivative (finance), Futures contract, Portfolio, Index (typography), Equity (law)

References

• Calculating abandonment value using option pricing theoryStewart C. Myers, Saman Majd — 1983
• The valuation of options for alternative stochastic processesJohn C. Cox, Stephen A. Ross — 1976
• The relation between forward prices and futures pricesJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1981
• Valuation of Foreign Currency Options: Some Empirical TestsKuldeep Shastri, Kishore Tandon — 1986
• A Sequential Signalling Model of Convertible Debt Call PolicyMilton Harris, Artur Raviv — 1985
• Forward and Futures Prices: Evidence from the Foreign Exchange MarketsBradford Cornell, Marc R. Reinganum — 1981
• A note on the premium market of the paris stock exchangeGeorges Courtadon — 1982
• An empirical investigation of calls of non-convertible bondsJoseph Vu — 1986
• The Pricing of Options and Corporate LiabilitiesFischer Black, Myron S. Scholes — 1973
• Valuation of asset leasing contractsJohn J. McConnell, James S. Schallheim — 1983
• Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987James F. Gammill, Terry A. Marsh — 1988
• The Purchasing Power Fund: A New Kind of Financial IntermediaryNils H. Hakansson — 1976
• Option pricing: A simplified approach☆John C. Cox, Stephen A. Ross, Mark Rubinstein — 1979
• The Role of Securities in the Optimal Allocation of Risk-bearingK. J. Arrow — 1964
• A Sequential Signalling Model of Convertible Debt Call PolicyMilton Harris, Artur Raviv — 1985

Cited by

• Options and market information: a mean-variance portfolio approachDavid W. Bullock — 1989
• Vacant land options: A theoretical analysisGeoffrey K. Turnbull, C. F. Sirmans — 1990
• ARCH modeling in finance: A review of the theory and empirical evidenceTim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner — 1992
• Mispricing in Stock Index Futures: A Re‐Examination Using the SPITim Brailsford, Allan Hodgson — 1997
• Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invitedDavid G. McMillan, Numan Ülkü — 2009
• The Derivatives SourcebookTerence Lim, Andrew W. Lo, Robert C. Merton — 2006
• The Impact of Index Futures on Spot Market Volatility in ChinaShiqing Xie, Jiajun Huang — 2014
• The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time ApproachKlaus Sandmann — 1993
• The Modigliani-Miller Propositions After Thirty YearsMerton H. Miller — 1988
• Understanding Financial MarketsChristopher J. Green — 1990
• The theoretical source of autocorrelation in forward and futures price relationshipsMichael A. Polakoff, Fernando Diz — 1992
• Financial engineering, consumer credit, and the stability of effective demandChristopher Brown — 2007
• Is one price enough to value a state-contingent asset correctly? Evidence from a gambling marketMichael Cain, David R. Law, David Peel — 2002
• Arbitrage and interest rates on currency basketsMartin Klein — 1989
• Incomplete Markets and Commodity-Linked Finance in Developing CountriesRobert J. Myers — 1992
• Dynamic efficiency and price leadership in stock index cash and futures marketsThomas Schwarz, Francis E. Laatsch — 1991
• An option-pricing look at the introduction of private labelsIra Horowitz — 2000
• An analysis of intra‐market spreads in heating oil futuresPeter A. Abken — 1989
• Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987James F. Gammill, Terry A. Marsh — 1988
• Market Efficiency and the Favorite‐Longshot Bias: The Baseball Betting MarketLinda M. Woodland, Bill M. Woodland — 1994

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