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Margin Adequacy and Standards: An Analysis of the Crude Oil Futures Market
16 references·0 citing·38 second hop
Margin Adequacy and Standards: An Analysis of the Crude Oil Futures Market (2004)Margin Adequacy and Standards: An Analysi…Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash (1999)Valuing the Futures Market Cl…Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem (1998)Very Fast Algorithms for Barr…Complex Barrier Options (1996)Complex Barrier OptionsPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…On Pricing Barrier Options (1995)On Pricing Barrier OptionsStochastic Volatility Option Pricing (1994)Stochastic Volatility Option …Prudential margin policy in a futures‐style settlement system (1993)Prudential margin policy in a…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Japanese Equity Warrants (1992)The Pricing of Japanese Equit…Extreme price movements and margin levels in futures markets (1988)Extreme price movements and m…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…A comparative analysis of futures contract margins (1986)A comparative analysis of fut…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Optimal margin level in futures markets: Extreme price movements (1999)Competition among Exchanges (2001)Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)A Theory of the Term Structure of Interest Rates (1985)The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)Valuing Options in Regime-Switching Models (1998)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)The Behavior of Stock-Market Prices (1965)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)A flexible binomial option pricing model (1999)The valuation of American barrier options using the decomposition technique (2000)A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)Using Hull-White Interest Rate Trees (1996)PDE methods for pricing barrier options (2000)Universal option valuation using quadrature methods (2003)Term Structure Dynamics in Theory and Reality (2003)Comparing possible proxies of corporate bond liquidity (2004)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,115 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,001 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
  • 1994Stochastic Volatility Option Pricing306 cited
  • 1995On Pricing Barrier Options201 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 1996Complex Barrier Options116 cited
  • 1986A comparative analysis of futures contract margins71 cited
  • 1993Prudential margin policy in a futures‐style settlement system70 cited
  • 1992The Pricing of Japanese Equity Warrants39 cited
  • 1988Extreme price movements and margin levels in futures markets34 cited
  • 1998Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem33 cited

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  • 1999Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash29 cited
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