Advances in Futures and Options Research: v. 7

Option replication with transaction costs - an exact solution for the pure jump process, A. Neuberger; Hedging option portfolios with transaction costs, T. Hoggard et al; Trading frequency and implied transaction costs of foreign exchange options, S. Hauaser et al; A probabilistic approach to the valuation of general floating-rate notes with an application to interest rate swamps, N. El-Karoui, H. Geman; The pricing of index options - a multivariable approach, R. Brooks et al; A re-examination of lattice procedures for interest-rate contingent claims, Y. Tian; Binomial approximations of American call option prices with stochastic volatilities, T.J. Finucane; The construction of a path-independent interest rate tree - the model of health, Jarrow and Morton, J. de Munnik; On the use of implied stock volatilities in the prediction os successful corporate takeovers, G. Barone-Adesi et al; Unbiased estimation of option prices, J. Buttler, B. Schachter; A re-examination of constant variance American call misprizing, L. Culmovic, R.L. Welch; Valuing takeover contingent foreign exchange calls, J.A.Schnabel, J. Wei; Components of the bid-ask spread of default-risky interest rata swaps, R. Brooks, D. Malhotra; Further information on the usefulness of CTA performance information in public commodity pool prospectus, S. Irwin; The mathematical foundations of barrier option pricing theory, D. Rich; An option-based approach to determining the optimal reinsurance stop-loss premium, C. Mishra, J. Urrutia.