摘要:

ABSTRACTAn asset‐pricing model with an unobservable time‐varying risk premium is used to price forward foreign exchange contracts. Specifically, the term spectrum of forward foreign exchange contracts is examined in order to focus on country‐specific and maturity‐specific information. The testable restrictions imposed by the model are consistent with both cross‐country and cross‐maturity forward contracts except at the short end of the maturity spectrum for cross‐country forward exchange rates. This indicates that the intertemporal model is relatively robust in valuing forward contracts of different maturities and for different exchange rates but that it may fail when there are significant short‐term country

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02411.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThe introduction of shelf registration in 1982 is used to examine the extent of price‐taking behavior among investment banks. Changes in underwriting syndicates are compared with the concomitant adjustment in underwriting spreads and management fees. The evidence is consistent with higher organizing costs and/or market power in the underwriting syndicate. Evidence on the components of the spreads and syndicate composition during the introduction of shelf registration is also presente

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02412.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper derives a closed‐form solution for European options on pure discount bonds, assuming a mean‐reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European options on discount bond portfol

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02413.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi‐square distribution. This allows the application of well‐known approximation formulas and the derivation of a whole class of closed‐form solutions. In addition, a simple and efficient algorithm for computing this distribution is pres

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02414.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

Book reviewed in this article:Security Markets: Stochastic Models. By DARRELL DUFFIE.Options: Theory, Strategy, and Applications. By PETER RITCHKEN.Option Valuation. By STUART M. TURNBULL.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02415.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02416.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02417.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY