An Overview of Contingent Claims Pricing

Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration

Volumn 5, Issue 3, 1988, Pages 55-61

  Hull, John ^a   White, Alan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010074556     PISSN: 08250383     EISSN: 19364490     Source Type: Journal    
DOI: 10.1111/j.1936-4490.1988.tb00485.x     Document Type: Article

References (28)

1. The valuation of currency options
2. The pricing of commodity contracts
3. The pricing of options and corporate liabilities
4. Pricing complex options: Echo‐Bay Ltd. Gold Purchase Warrants
5. A continuous time approach to the pricing of bonds
6. An equilibrium model of bond pricing and a test of market efficiency
7. An intertemporal asset pricing model with stochastic consumption and investment opportunities
8. The valuation of options for alternative stochastic processes
9. An intertemporal general equilibrium model of asset prices
10. A theory of the term structure of interest rates
11. On the term structure of interest rates
12. Call options when the exercise price is uncertain, and the valuation of index bonds
13. Foreign currency option values
14. The pricing of call and put options on foreign exchange
15. Martingales and arbitrage in multiperiod securities markets
16. The pricing of options on assets with stochastic volatilities
17. Option pricing when the variance is changing
18. The value of an option to exchange one asset for another
19. The theory of rational option pricing
20. An arbitrage model of the term structure of interest rates
21. The Arbitrage theory of capital asset pricing
22. Options on the minimum or the maximum of two risky assets
23. An equilibrium characterization of the term structure