Category: Finance

The Journal of Derivatives, 2-4 Summer 1995, pp. 78-95 This paper presents a method for replicating or hedging a target stock option with a portfolio…

gs-volatility_smile RISK, 7-2 Feb.1994, pp. 139-145, pp. 32-39 The market implied volatilities of stock index options often have a skewed structure, commonly called “the volatility…

Outpereformance Options

This article describes a model of interest rates that can be used to value any interest-rate-sensitive security.  In explaining how it works, we concentrate on…