Options and expectations

Journal of Portfolio Management

Volumn , Issue SUPPL., 1996, Pages 43-51

  Leland, Hayne E ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030299786     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.043     Document Type: Article

References (9)

1. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), pp. 637-654.
2. Brennan, M. "The Pricing of Contingent Claims in Discrete Time Models." Journal of Finance, 34 (1979), pp. 53-68.
3. Cox, J., and H. Leland. "On Dynamic Investment Strategies." In Proceedings of Seminar on the Analysis of Security Prices, Center for Research in Security Prices (CRSP), Graduate School of Business, University of Chicago, 1982, pp. 139-173.
4. Cox, J., S. Ross, and M. Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economics, 7 (1979), pp. 239-264.
5. Cox, J., and M. Rubinstein. Options Markets. Englewood Cliffs, NJ: Prentice-Hall, 1985.
6. He, H., and H. Leland. "On Equilibrium Asset Price Processes." Review of Financial Studies, 6 (1993), pp. 593-617.
7. Leland, H. "Who Should Buy Portfolio Insurance?" Journal of Finance, 35 (1980), pp. 581-594.
8. Mossin, J. "Optimal Multi-Period Portfolio Policies." Journal of Business, 1968, pp. 215-229.
9. Shimko, D. "A Tail of Two Distributions." Risk Magazine, 7 (1994), pp. 123-130.