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Option Pricing: A Simplified Approach
 Journal of Financial Economics
, 1979
"... This paper presents a simple discretetime model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Blac ..."
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Cited by 1016 (10 self)
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This paper presents a simple discretetime model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated
Rules, discretion, and reputation in a model of monetary policy
 JOURNAL OF MONETARY ECONOMICS
, 1983
"... In a discretionary regime the monetary authority can print more money and create more inflation than people expect. But, although these inflation surprises can have some benefits, they cannot arise systematically in equilibrium when people understand the policymakor's incentives and form their ..."
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Cited by 812 (9 self)
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their expectations accordingly. Because the policymaker has the power to create inflation shocks ex post, the equilibrium growth rates of money and prices turn out to be higher than otherwise. Therefore, enforced commitments (rules) for monetary behavior can improve matters. Given the repeated interaction between
Pricing Discretely Monitored Barrier Options by a Markov Chain
 Journal of Derivatives
, 2003
"... We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and timevarying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework for ..."
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Cited by 13 (1 self)
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We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and timevarying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework
Pricing Discrete European Barrier Options Using Lattice Random Walks
, 2002
"... This paper designs a numerical procedure to price discrete European barrier options in BlackScholes model. The pricing problem is divided in a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a latti ..."
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Cited by 1 (1 self)
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This paper designs a numerical procedure to price discrete European barrier options in BlackScholes model. The pricing problem is divided in a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a
Pricing Discretely Sampled PathDependent Exotic Options Using Replication Methods
"... A semistatic replication method is introduced for pricing discretely sampled pathdependent options. It depends upon buying and selling options at the reset times of the option but does not involve trading at intervening times. The method is model independent in that it only depends upon the existe ..."
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A semistatic replication method is introduced for pricing discretely sampled pathdependent options. It depends upon buying and selling options at the reset times of the option but does not involve trading at intervening times. The method is model independent in that it only depends upon
ExDividend Day Behaviour in the Absence of Taxes and Price Discreteness
"... We examine the exdividend day behaviour in a unique setting where (1) there are neither taxes on dividends nor on capital gains, (2) stock prices have been decimalized, (3) dividends are distributed annually, and (4) we have data that enable us to examine bidask bounce effects. In this economy, an ..."
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, any price decline that is smaller than the dividends can not be attributed to taxes and price discreteness. Like previous studies, we find that the stock price drops by less than the amount of dividends and there is a significant positive exday return. By examining abnormal returns and abnormal
Doubleexponential fast Gauss transform algorithms for pricing discrete lookback options
, 2005
"... This paper presents fast and accurate algorithms for computing the prices of discretely sampled lookback options. Under the BlackScholes framework, the pricing of a discrete lookback option can be reduced to a series of convolutions of a function with the Gaussian distribution. Using this fact, an ..."
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Cited by 20 (0 self)
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This paper presents fast and accurate algorithms for computing the prices of discretely sampled lookback options. Under the BlackScholes framework, the pricing of a discrete lookback option can be reduced to a series of convolutions of a function with the Gaussian distribution. Using this fact
A Markov Model for the Term Structure of Credit Risk Spreads
 Review of Financial Studies
, 1997
"... This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data ..."
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Cited by 377 (12 self)
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This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable
Rationalizable Outcomes of Large Independent PrivateValue FirstPrice Discrete Auctions
, 2001
"... We consider discrete versions of firstprice auctions. We present a condition on beliefs about players' values such that, with any fixed finite set of possible bids and sufficiently many players, only bidding the bid closest from below to one's true value survives iterative deletion of bid ..."
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Cited by 6 (0 self)
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We consider discrete versions of firstprice auctions. We present a condition on beliefs about players' values such that, with any fixed finite set of possible bids and sufficiently many players, only bidding the bid closest from below to one's true value survives iterative deletion
An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
, 2009
"... CIRJE Discussion Papers can be downloaded without charge from: ..."
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