While mainstream financial theories and applications assume that asset returns are normally
distributed, overwhelming empirical evidence shows otherwise. Yet many professionals …

We derive an expression for the critical stock price for the American put. We start by
expressing the put price as an integral involving first‐passage probabilities. This approach …

Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

Compound option valuation formulae give rise to the summation of a series of multinormal
distribution functions. This paper presents an identity on sums of nested multinormal …

The most comprehensive coverage of institutional investment management issues This
comprehensive handbook of investment management theories, concepts, and applications …

This book is intended as a contribution to the theory of contingent claim valuation based on
arbitrage considerations. It is concerned with preference-free valuations of contingent claims …

This paper is based on models presented in Kim and Verrecchia (1991a, 1991b) relating to
share price volatility and the quality of announcements. It investigates the differences in …

Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

Laplace transform methods are used to study the valuation of American call and put options
with constant dividend yield, and to derive integral equations giving the location of the …

The mission of the Research Foundation is to identify, fund, and publish research material
that: expands the body of relevant and useful knowledge avadable to practitioners; assists …