The Futures and Options Bibliographies in The Journal of Futures Markets lists articles with new information in futures, options, and certain other derivatives. Each bibliography covers a separate topic area, such as interest rate futures, commodity futures, regulation, stock index futures, cash options, options on futures, etc. Within each topic area the articles are segregated by subtopics (four to 20, depending on the topic). Most of these articles are from academic journals, although books and important magazine articles are also listed.
Below you will find a recent bibliography that has not yet been published or has been recently published in The Journal of Futures Markets. A combined bibliography covering all topics and articles listed in JFM from the mid-1980's to 1994 can be obtained - send an E-mail to the address below or send a letter - to obtain information on cost.
Please inform me of any of your articles on derivatives published in journals that typically do not publish derivatives articles or working papers not yet published (a copy of the latter must be sent to the address below, stating if there is a cost for obtaining a copy of the paper). There typically is a delay before the bibliographies appear in JFM.
Dr. Robert T. Daigler, Department of Finance BA206, College of Business, Florida International University, Miami, Fla. 33199
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Last updated: format on 1/4/98
Send comments to: Dr. Robert T. Daigler mailto: daiglerr@fiu.edu
URL: http://www.fiu.edu/~daiglerr
DERIVATIVES AND FUTURES BIBLIOGRAPHY
edited by
Robert T. Daigler
OTC Derivatives, Swaps, and Interest Rate Options
1. Vipul Bansal, M.E. Ellis, and John Marshall, "The Pricing of Short-Dated and Forward Interest Rate Swaps," Financial Analyst's Journal, March-April 1993, pp. 82-87.
2. Vipul Bansal, John Marshall, and Robert Yuyuenyongwatana, "Hedging Business Cycle Risk with Macroeconomic Swaps: Some Preliminary Evidence," Journal of Derivatives, Spring 1994, pp. 50-58.
3. George Benston and Shehzad Mian, "Financial Reporting of Derivatives: An Analysis of the Issues, Evaluation of Proposals, and a Suggested Solution," Journal of Financial Engineering, September 1995, pp. 217-246.
4. Robin Brenner and Robert Jarrow, "A Simple Formula for Options on Discount Bonds," Advances in Futures and Options Research, Vol. 6, 1992, pp. 45-52.
5. Eric Briys, Michel Crouhy, and Rainer Schobel, "The Pricing of Default-Free Interest Rate Cap, Floor, and Collar Agreements," Journal of Finance, December 1991, pp. 1879-1892.
6. Robert Brooks, "A Lattice Approach to Interest Rate Spread Options," Journal of Financial Engineering, September 1995, pp. 281-298.
7. Robert Brooks and D. K. Malhotra, "Components of the Bid-Ask Spread of Default-Risk Interest Rate Swaps," Advances in Futures and Options Research, Vol. 7, 1994, pp. 237-249.
8. Don Chance, "The Pricing and Hedging of Limited Exercise Caps and Spreads," Journal of Financial Research, Winter 1994, pp. 561-584.
9. K. C. Chen and R. Stephen Sears, "Pricing the SPIN," Financial Management, Summer 1990, pp. 36-47.
10. Ren-Raw Chen, "Pricing Interest Rate Contingent Claims," dissertation, University of Illinois, 1990, 114 pp.
11. Ren-Raw Chen and Louis Scott, "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, Vol. 5 No. 4, 1992, pp. 613-636.
12. Oren Cheyette, "OAS Analysis for CMOs," Journal of Portfolio Management, Summer 1994, pp. 53-66.
13. Mustafa Chowdhury, Kenneth Kroner, and Jahangir Sultan, "Volatility Spillover from Interest Rate Swaps," Journal of Financial Engineering, June 1995, pp. 157-186.
14. Sanjiv Ranjan Das, "Credit Risk Derivatives," Journal of Derivatives, Spring 1995, pp. 7-23.
15. Paul Doust, "Relative Pricing Techniques in the Swaps and Options Markets," Journal of Financial Engineering, March 1995, pp. 11-46.
16. Ajay Dravid, Matthew Richardson, and Tong-sheng Sun, "Pricing Foreign Index Contingent Claims: An Application to Nikeei Index Warrants," Journal of Derivatives, Fall 1993, pp. 33-52.
17. Stefan Eckl, Nicholas Robinson, and Dylan Thomas, Financial Engineering: A Handbook of Derivative Products, Colchester, VT: Blackwell Publishers, 1991.
18. Franklin Edwards and Michael Canter, "The Collapse of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, or Just Bad Luck?" The Journal of Futures Markets, May 1995, pp. 211-264.
19. Nicole El-Karoui and Helyette Geman, "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps," Advances in Futures and Options Research, Vol. 7, 1994, pp. 47-64.
20. William Falloon, "How Appetites are Growing for OTC Equity Derivatives," Futures Magazine, January 1992, pp. 26-28.
21. Donna Fletcher and Jahangir Sultan, "The Impact of Regulatory News and Discount Rate Changes on the Time Varying Volatility of Interest Rate Swap Spreads," Journal of Financial Engineering, September/December 1994, pp. 229-252.
22. Ludger Hentschel and Clifford Smith Jr., "Controlling Risks in Derivatives Markets," Journal of Financial Engineering, June 1995, pp. 101-126.
23. Thomas Ho, "CMO Yield Attribution and Option Spreads," Journal of Portfolio Management, Spring 1993, pp. 57-68.
24. John Hull and Alan White, "Bond Option Pricing Based on a Model for the Evolution of Bond Prices," Advances in Futures and Options Research, Vol. 6, 1992, pp. 1-14.
25. John Hull and Alan White, "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Vol. 3 No. 4, 1990, pp. 573-592.
26. John Hull and Alan White, "The Pricing of Options on Interest-Rate Caps and Floors Using the Hull-White Model," Journal of Financial Engineering, September 1993, pp. 287-296.
27. Farshid Jamshidian and Yu Zhu, "Replication of an Option on a Bond Portfolio," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 84-100. "Discussion," by Theodore Day and Jay Feuerstein, pp. 101-107.
28. James Kau, Donald Keenan, Walter Muller III, and James Epperson, "Option Theory and Floating Rate Securities with a Comparison of Adjustable and Fixed-Rate Mortgages," Journal of Business, October 1993, pp. 595-618.
29. Sung-Hwa Kim and G. D. Kopenhaver, "An Empirical Analysis of Bank Interest Rate Swaps," Journal of Financial Services Research, February 1993, pp. 57-74.
30. Roland Lochoff, "The Contingent-Claims Arms Race," Journal of Portfolio Management, Fall 1993, pp. 88-92.
31. Francis Longstaff, "The Valuation of Options on Yields," Journal of Financial Economics, July 1990, pp. 97-121.
32. Ronald Marks, "Derivatives for the Squeamish: A Treasurer's Primer," Corporate Cashflow, December 1994, pp. 30-34.
33. John Marshall, "Derivatives and Risk Management," Journal of Financial Engineering, September 1995, pp. 307-314.
34. John Marshall, "Hedging Business Cycle Risk with Macro Swaps and Options," Continental Bank Journal of Applied Corporate Finance, Winter 1992, pp. 103-108.
35. John Marshall, Eric Sorensen, and Alan Tucker, "Equity Derivatives: The Plain Vanilla Equity Swap and Its Variants," Journal of Financial Engineering, September 1992, pp. 219-242.
36. John Marshall and J. Gregg Whittaker, "Pricing Nonamortizing Constant Maturity Swaps," Journal of Financial Engineering, March 1994, pp. 43-64.
37. Ann Monroe, "Derivatives!" CFO: The Magazine for Senior Financial Executives, July 1994, pp. 22-25.
38. J. Austin Murphy, "An Empirical Test of an Option Pricing Model of Mortgage-Based Securities Pricing," Journal of Economics and Business, February 1991, pp. 37-48.
39. Paul Nadler, "Derivatives: The New Scapegoat," Secured Lender, July-August 1994, pp. 50-52.
40. Sven Rady and Klaus Sandmann, "The Direct Approach to Debt Option Pricing," Review of Futures Markets, Vol. 13 No. 2, 1994, pp. 461-514. "Discussion," by Jeroen F. J. de Munnik, pp. 515-516.
41. Richard Rendleman Jr., "How Risks are Shared in Interest Rate Swaps," Journal of Financial Service Research, February 1993, pp. 5-34.
42. Don Rich, "A Note on the Valuation and Hedging of Equity Swaps," Journal of Financial Engineering, December 1995, pp. 323-334.
43. E. Ronn and R. Sias, "A Simple Time-Varying Binomial Model for the Valuation of Interest Rate-Contingent Claims," Advances in Futures and Options Research, Vol. 5, 1991, pp. 89-111.
44. Klaus Sandmann and Dieter Sondermann, "A Term Structure Model and the Pricing of Interest Rate Derivatives," Review of Futures Markets, Vol. 12 No. 2, 1993, pp. 391-424. "Discussion," by Lars Tyge Nielsen, pp. 425-430.
45. Eric Sorensen and Thierry Bollier, "Pricing Swap Default Risk," Financial Analyst's Journal, May-June 1994, pp. 23-33.
46. David Smith, "A Simple Method for Pricing Interest Rate Swaptions," Financial Analyst's Journal, May-June 1991, pp. 72-76.
47. R. C. Stapleton and M. G. Subrahmanyam, "The Analysis and Valuation of Interest Rate Options," Journal of Banking and Finance, December 1993, pp. 1079-1095.
48. Yisong Tian, "A Simplified Binomial Approach to the Pricing of Interest-Rate Contingent Claims," Journal of Financial Engineering, June 1992, pp. 14-37.
49. Stuart Turnbull, "Pricing and Hedging Diff Swaps," Journal of Financial Engineering, December 1993, pp. 297-334.
50. Martyn Turner, "Break-Even Analysis of Knock-Out Options," Corporate Finance, September 1993, pp. 43-45.
1. Warren Bailey and Edward Ng, "Default Premiums in Commodity Markets: Theory and Evidence," Journal of Finance, July 1991, pp. 1071-1093.
2. Bill Barden, Allan Hodgson, and John Okunev, "Arbitrage Bubbles and Gold Futures Trading," Review of Futures Markets, Vol. 11 No. 3, 1992, pp. 323-348. "Discussion," by A. D. Hall, pp. 349-354.
3. Abdur Chowdhury, "Futures Market Efficiency: Evidence from Cointegration Tests," The Journal of Futures Markets, October 1991, pp. 577-590.
4. Michael Ferguson and Leonard Schneck, "The Flight to Quality: Evidence from the Futures Markets," Review of Futures Markets, Vol. 12 No. 1, 1993, pp. 103-132. "Discussion," by Mark Castelino and Jay Feuerstein, pp. 133-142.
5. Philip Hans Franses and Paul Kofman, "An Empirical Test for Parities between Metal Prices at the LME," The Journal of Futures Markets, December 1991, pp. 729-736.
6. Patricia Fraser and Ronald MacDonald, "Spot and Forward Metals Prices: Efficiency and Time Series Behavior," Review of Futures Markets, Vol. 11 No. 1, 1992, pp. 24-34. "Discussion," by David Hsieh, pp. 35.
7. Tim Krehbiel and Lee Adkins, "Cointegration Tests of the Unbiased Expectations Hypothesis in Metals Markets," The Journal of Futures Markets, October 1993, pp. 753-764.
8. Gang Shyy and Bob Butcher, "Price Equilibrium and Transmission in a Controlled Economy: A Case Study of the Metal Exchange in China," The Journal of Futures Markets, December 1994, pp. 877-890.
9. Mahmoud Wahab, "Conditional Dynamics and Optimal Spreading in the Precious Metals Futures Markets," The Journal of Futures Markets, April 1995, pp. 131-166.
10. Mahmoud Wahab, Richard Cohn, and Malek Lashgari, "The Gold-Silver Spread: Integration, Cointegration, Predictability, and Ex-Ante Arbitrage," The Journal of Futures Markets, September 1994, pp. 709-756.
ENERGY FUTURES
1. Antonios Antoniou and Andrew Foster, "The Effect of Futures Trading on Spot Price Volatility: Evidence for Brent Crude Oil Using GARCH," Journal of Business Finance and Accounting, June 1992, pp. 473-484.
2. Sally Clubley, Trading in Oil Futures, 2d. ed., New York: Nichols Publishing Co., 1990, 129 pp.
3. William Crowder and Anas Hamed, "A Cointegration Test for Oil Futures Market Efficiency," The Journal of Futures Markets, December 1993, pp. 933-942.
4. Theodore Day and Craig Lewis, "Forecasting Futures Market Volatility," Journal of Derivatives, Winter 1993, pp. 33-50.
5. Richard Deaves and Itzhak Krinsky, "The Behavior of Oil Futures Returns around OPEC Conferences," The Journal of Futures Markets, October 1992, pp. 563-574.
6. Charles Duchock, "Evidence of Efficiency in United States Futures Oil Prices," dissertation, United States International University, 1990, 106 pp.
7. Michael Emerson, "The Effect of Seasonal Hedging on Energy Futures Spreads: A Test of Market Efficiency," dissertation, The University of Arizona, 1990, 343 pp.
8. Andrew Foster, "Volume-Volatility Relationships for Crude Oil Futures Markets," The Journal of Futures Markets, December 1995, pp. 929-952.
9. Kenneth Garbade, "A Two-Factor, Arbitrage-Free, Model of Fluctuations in Crude Oil Futures Prices," Journal of Derivatives, Fall 1993, pp. 86-97.
10. Rajna Gibson and Eduardo Schwartz, "The Pricing of Crude Oil Futures Options Contracts," Advances in Futures and Options Research, Vol. 6, 1992, pp. 291-312.
11. Roger Huang, Ronald Masulis, and Hans Stoll, "Energy Shocks and Financial Markets," The Journal of Futures Markets, February 1996, pp. 1-28.
12. Cindy Ma, "Energy Futures: An Overview and Empirical Study," dissertation, Columbia University, 1988, 220 pp.
13. Imad Moosa and Nabeel Al-Loughani, "The Effectiveness of Arbitrage and Speculation in the Crude Oil Futures Markets," The Journal of Futures Markets, April 1995, pp. 167-186.
14. Mary Graves Pfeffer and Glenn Vestrat, "NYMEX Natural Gas Futures and Options: A Study of Price Risk Management," Petroleum Accounting and Financial Management Journal, Fall-Winter 1993, pp. 82-88.
15. Gordon Phillips and Robert Weiner, "Implicit Options in Forward Contracts: Empirical Estimates from the Petroleum Market," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 1-14. "Discussion," by John Marsons and Jay Gottlieb, pp. 15-25.
16. Jing Quan, "A Time-Series Analysis of the Crude Oil Spot and Futures Market," dissertation, University of Florida, 1990, 155 pp.
17. Jing Quan, "Two-Step Testing Procedure for Price Discovery Role of Futures Prices," The Journal of Futures Markets, April 1992, pp. 139-150.
18. Thomas Schwarz and Andrew Szakmary, "Price Discovery in Petroleum Markets: Arbitrage, Cointegration, and the Time Interval of Analysis," The Journal of Futures Markets, April 1994, pp. 147-168.
19. Ivy Schmerken, "Three Ways to Hedge Oil Risk," Wall Street Computer Review, April 1991, pp. 50, 52, 54.
20. Apostolos Serletis and David Banack, "Market Efficiency and Cointegration: An Application to Petroleum Markets," Review of Futures Markets, Vol. 9 No. 2, 1990, pp. 372-380. "Discussion," by David Hsieh and James Hayes, pp. 381-385.
21. Robert Weiner, "Default, Market Microstructure, and Changing Trade Patterns in Forward Markets: A Case Study of North-Sea Oil," Journal of Banking and Finance, October 1994, pp. 955-977.
NEW MARKETS
1. Susan Abbott, "Cleaning the Air for Ground-Breaking Contracts," Futures Magazine, October 1991, pp. 42-44.
2. Susan Abbott, "Merc's Missing Link," Risk Magazine, June 1990, p. 11.
3. Michael Bond and Brenda Stevenson Marshall, "Offsetting Unexpected Healthcare Costs with Futures Contracts," Healthcare Financial Management, December 1994, pp. 54-58.
4. John Byrd and Tom Zwirlein, "Environmental Protection and Forward Contracts: Sulfur Dioxide Emission Allowances," Continental Bank Journal of Applied Corporate Finance, Fall 1993, pp. 109-110.
5. Karel Case Jr., Robert Shiller, and Alan Weis, "Index-Based Futures and Options Markets in Real Estate," Journal of Portfolio Management, Winter 1993, pp. 83-92.
6. Greg Condas, "Pricing Efficiency and Hedging Performance on the Baltic International Freight Futures Exchange," dissertation, 1990, 195 pp.
7. Samuel Cox and Robert Schwebach, "Insurance Futures and Hedging Insurance Price Risk," Journal of Risk and Insurance, December 1992, pp. 628-644.
8. Charles Cuny, "The Role of Liquidity in Futures Markets Innovations," Review of Financial Studies, Vol. 6 No. 1, 1993, pp. 57-78.
9. Stephen D'Arcy and Virginia France, "Catastrophe Futures: A Better Hedge for Insurers," Journal of Risk and Insurance, December 1992, pp. 575-600.
10. Michael Ehrhardt and Alan Tucker, "Pricing CRB Futures Contracts," Journal of Financial Research, Spring 1990, pp. 7-14.
11. Peggie Elgin, "New Futures, Options Let Self-Insurers Hedge Medical Costs," Corporate Cashflow, November 1992, p.14.
12. Edwin Elton and Martin Gruber, Japanese Capital Markets: Analysis and Characteristics of Equity, Debt, and Financial Futures Markets, New York: Harper and Row, 1990, 369 pp.
13. Marcello Esposito and Claudio Giraldi, "Preliminary Evidence on a New Market: The Futures on the Italian Treasury Bonds," The Journal of Futures Markets, April 1994, pp. 121-146.
14. Gregory Kane, Robert Brown, et. al., "Preparing for the Next Business Downturn: How Managers Can Hedge Against the Risks of Futures Recessions," Review of Business, Summer-Fall 1994, pp. 21-26.
15. T. Eric Kilcollin and Michael Frankel, "Futures and Options Markets: Their New Role in Eastern Europe," Journal of Banking and Finance, September 1993, pp. 869-881.
16. Peter Lee, "How to Exorcise your Derivatives Demons," Euromoney, September 1992, pp. 36-38, 40, 42, 44, 46-48.
17. Jonathan Lewis, "Insurance Futures: No Time Like the Present," Best's Review, June 1991, pp. 82, 84, 86.
18. Merton Miller, Financial Innovations and Market Volatility, Cambridge, MA: Basil Blackwell, 1991, 288 pp.
19. Merton Miller, "International Competitiveness of U.S. Futures Exchanges," Journal of Financial Services Research, December 1990, pp. 387-408. "Comments," by Hans Stoll, pp. 409-414, and Bruce Kooner, pp. 415-418.
20. Greg Niehaus and Stephen Mann, "The Trading of Underwriting Risk: An Analysis of Insurance Futures Contracts and Reinsurance," Journal of Risk and Insurance, December 1992, pp. 601-627.
21. Thierry Noyelle, ed. New York's Financial Markets: The Challenges of Globalization, Boulder, Co: Westview Press, 1989, 126 pp.
22. Russ Ray and Dianna Preece, "Insurance Futures: A Fast, Powerful Way to Protect Real Estate," Real Estate Finance, Spring 1994, pp. 30-38.
23. Elayne Sheridan, "The Growing Derivatives Market: Competition is Good for Business," Futures Industry, November-December 1992, pp. 10-11, 14.
24. Robert Shiller, "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Journal of Finance, July 1993, pp. 911-932.
25. Sidharth Sinha, "The 'Badla' Market and Futures and Options," Review of Futures Markets, Vol. 13 No. 4, 1994, pp. 1153-1170. "Discussion," by Jack S. K. Chang, pp. 1171-1172.
26. Peter Temple, "An Option on Future Prosperity," Accountancy, March 1992, pp. 102, 104.
ACCOUNTING ISSUES
1. Nicholas Apostolou and Thomas Wilson, "The Futures Market: What the Internal Auditor Needs to Know," Internal Auditing, Spring 1992, pp. 40-49.
2. Michael Bradbury, Alastair Marsden, et. al., "Accounting for Interest Rate Swaps Regarded as a General Hedge or Trade," Accountants' Journal, March 1993, pp. 61-64.
3. Michael Bradbury, Alastair Marsden, et. al., "Accounting for Interest Rate Swaps Regarded as a Specific Hedge," Accountants' Journal, December 1992, pp. 50-54.
4. James Doering, "The Impact of Hedging Transactions on Real Estate Investment Trusts," Journal of Real Estate Taxation, Winter 1994, pp. 133-152.
5. Financial Accounting Standards Board, Report on Deliberations, Including Tentative Conclusions on Certain Issues, Relating to Accounting for Hedging and Other Risk-Adjusting Activities, 1993, pp. 1-99.
6. Gunter Franke, "Uncertain Perception of Economic Exchange Risk and Financial Hedging," Managerial Finance, Vol. 18 No. 3-4, 1992, pp. 53-70.
7. Paul Herrera and Jeffrey Callender, "Financial Products and Services: Arkansas Best and Financial Products," International Tax Journal, Spring 1992, pp. 75-81.
8. Gary Herrman and Steven Malvey, "New Rules for Business Hedges Resolve Many Uncertainties of Arkansas Best," Journal of Taxation, March 1994, pp. 132-138.
9. Robert Herz, "Hedge Accounting, Derivatives, and Synthetics: The FASB Starts Rethinking the Rules," Journal of Corporate Accounting and Finance, Spring 1994, pp. 323-335.
10. Dennis Jennings, "Current Developments in Financial Accounting and Reporting," Petroleum Accounting and Financial Management Journal, Summer 1992, pp. 1-11.
11. L. Todd Johnson, Halsey Bullen, et. al., "Hedge Accounting: Is Deferral the Only Option?" Journal of Accountancy, January 1994, pp. 53-58.
12. L. Todd Johnson and Victoria Wall, "Might Synthetic Instrument Accounting be Substituted for Hedge Accounting for Some 'Hedging' Relationships?" Financial Accounting Standards Board Status Report No. 235, September 30, 1992, pp. 4-9.
13. John Malindretos, Edgar Norton, et. al., "Hedging Considerations under FAS R," Mid-Atlantic Journal of Business, June 1993, pp. 199-211.
14. Elizabeth McCarthy, "FASB: Stock Compensation, Hedging, and Other Matters," Journal of Corporate Accounting and Finance, Summer 1992, pp. 497-503.
15. David Morris, "Practical Problems in Hedge Accounting: Case Histories," Bank Accounting and Finance, Summer 1992, pp. 3-12.
16. Paul Munter, "What Constitutes a Hedge is Still Debatable," Journal of Corporate Accounting and Finance, Summer 1993, pp. 483-490.
17. David Nusbaum, "Surviving an NFA Audit," Futures, January 1993, pp. 50-52.
18. Jon O'Sullivan, "How to Avoid Pitfalls in Financial Restructure," Oil and Gas Journal, June 15, 1992, pp. 21-23.
19. David Rane, "Hedge or Not a Hedge? EITF 91-4 Tried to Answer the Question," Journal of Corporate Accounting and Finance, Spring 1992, pp. 279-284.
20. Derek Ross, "Hedge Accounting: The Treasurer's View," Certified Accountant, June 1992, pp. 38-39.
21. John Stewart, "Challenges of Hedge Accounting," Journal of Accountancy, November 1989, pp. 48-50, 52.
22. Linda Volkert, "EITF Update: Financial Accounting - Hedging Foreign Currency Risks," Journal of Accountancy, July 1992, pp. 115-116.
23. "Filling the Gaps in Hedge Accounting," Futures, March 1993, p. 41.
24. "Hedge Accounting: An Exploratory Study of Underlying Issues," (FASB Research Report) Cooperative Accountant, Spring 1992, pp. 62-63.
25. "Hedges, Mark-to-Market Rules," Taxation for Accountants, December 1993, p. 321.
OPTIONS BIBLIOGRAPHY
edited by
Robert T. Daigler
CASH AND EXOTIC OPTIONS
A. Introductory Articles and Books
1. Fischer Black, "The Holes in Black-Scholes," Risk Magazine, March 1988, pp. 30-32.
2. Fischer Black, "Living Up to the Model," Risk Magazine, March 1990, pp. 11-13.
3. Richard Bookstaber, Option Pricing and Investment Strategies, 3d Ed. Chicago: Probus Publishing, 1991, 300 pp.
4. David Caplan, The Options Advantage: Gaining a Trading Edge Over the Markets. Chicago: Probus Publishing, 1991, 222 pp.
5. John Hull, Options, Futures, and Other Derivative Securities, 2nd Ed. Englewood Cliffs, NJ: Prentice Hall, 1993, 339 pp.
6. John Hull and Alan White, "Modern Greek," Risk Magazine, December 1990-January 1991, pp. 65-67.
7. Carl Luft and Richard Sheiner, Understanding and Trading Listed Stock Options. Chicago: Probus Publishing, 1988, 235 pp.
8. Stuart McLean, ed., The European Options and Futures Markets. Chicago: Probus Publishing, 1991, 1086 pp.
9. Lawrence McMillan, Options as a Strategic Investment: A Comprehensive Analysis of Listed Option Strategies, 3rd Ed. New York: New York Institute of Finance, 1993, 882 pp.
10. Anthony Neuberger, "The Log Contract," Journal of Portfolio Management, Winter 1994, pp. 74-80.
11. Risk Magazine/FINEX, From Black-Scholes to Black Holes: New Frontiers in Options. London, England: Risk Magazine Ltd., 1992, 208 pp.
12. Robert Strong, "A Volatility Index: One Option for Portfolio Hedgers," Futures, February 1992, pp. 40-42.
13. Avner Wolf, "Dynamic Management," Risk Magazine, June 1990, pp. 13-15.
14. "A Marriage between Exchange-Traded and OTC Derivatives: The CBOE's FLEX Options," Journal of Derivatives, Fall 1993, pp. 105-107.
B. Pricing Issues for Cash Option Markets
1. Kaushik Amin and James Bodurtha Jr., "Discrete-Time Valuation of American Options with Stochastic Interest Rates," Review of Financial Studies, Spring 1995, pp. 193-234.
2. Kaushik Amin and Victor Ng, "Options Valuation with Systematic Stochastic Volatility," Journal of Finance, July 1993, pp. 881-910.
3. James Ang and Tsong-yue Lai, "Deriving Option-Pricing Models: A Synthesis," Advances in Investment Analysis and Portfolio Management, Vol. 1, 1991, pp. 91-106.
4. David Babbel and Laurence Eisenbery, "Generalized Put-Call Parity," Journal of Financial Engineering, December 1992, pp. 243-263.
5. David Babbel and Laurence Eisenbery, "Quality-Adjusting Options and Forward Contracts," Journal of Financial Engineering, June 1993, pp. 89-126.
6. Thomas Beck, "Black-Scholes Revisited: Some Important Details," Financial Review, February 1993, pp. 77-90.
7. Henk Berkman, "The Market Spread, Limit Orders, and Options," Journal of Financial Services Research, January 1993, pp. 399-416.
8. Fischer Black and Piotr Karasinski, "Bond and Option Pricing When Short Rates are Lognormal," Financial Analyst's Journal, July-August 1991, pp. 52-59.
9. Phelim Boyle and Tom Vorst, "Option Replication in Discrete Time with Transactions Costs," Journal of Finance, March 1992, pp. 271-294.
10. Robert Brooks, Jon Corson, and J. Donal Wales, "The Pricing of Index Options when the Underlying Assets All Follow a Lognormal Diffusion," Advances in Futures and Options Research, Vol. 7, 1994, pp. 65-85.
11. David Bunch and Herb Johnson, "A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach," Journal of Finance, June 1992, pp. 809-816.
12. Linda Canina, "The Pricing and Information Content of Derivative Securities," dissertation, New York University, 1990, 101 pp.
13. Kalok Chan, Y. Peter Chung, and Herb Johnson, "Why Option Prices Lag Stock Prices: A Trading-Based Explanation," Journal of Finance, December 1993, pp. 1957-1968.
14. David Chen and Robert Welch, "Empirical Option Price Bands on the CBOE and the Redundancy of Options," Advances in Quantitative Analysis of Finance and Accounting, Vol. 1 Part B, 1991, pp. 161-182.
15. David Chen and Robert Welch, "The Relative Mispricing of American Calls Under Alternative Dividend Models," Advances in Futures and Options Research, Vol. 6, 1992, pp. 15-44.
16. John Cotner and Nandkumar Nayar, "Seasonal Effects in S&P 100 Index Option Returns," The Journal of Futures Markets, August 1993, pp. 453-468.
17. Louis Culumovic and Robert Welch, "A Reexamination of Constant-Variance American Call Mispricing," Advances in Futures and Options Research, Vol. 7, 1994, pp. 177-221.
18. Paul Dawson, "Comparative Pricing of American and European Index Options: An Empirical Analysis," The Journal of Futures Markets, May 1994, pp. 363-378.
19. Fernando Diz and Thomas Finucane, "Do the Options Markets Really Overreact?" The Journal of Futures Markets, May 1993, pp. 299-312.
20. Bernard Dumas, Peter Jennergren, and Bertil Naslund, "Currency Option Pricing in Credible Target Zones," Review of Futures Markets, Vol. 12 No. 2, 1993, pp. 323-340. "Discussion," by William K. H. Fung, pp. 341-346.
21. F. Fabozzi, S. Hauser, and U. Yaari, "Early Exercise of Foreign Currency Options: Determinants of American Premium and the Critical Exchange Rate," Advances in Futures and Options Research, Vol. 4, 1990, pp. 219-236.
22. Stephen Figlewski and Steven Freund, "The Pricing of Convexity Risk and Time Decay in Options Markets," Journal of Banking and Finance, January 1994, pp. 73-92.
23. Stephen Figlewski and Gwendolyn Webb, "Options, Short Sales, and Market Completeness," Journal of Finance, June 1993, pp. 761-778.
24. Thomas Finucane, "Binomial Approximations of American Call Option Prices with Stochastic Volatilities," Advances in Futures and Options Research, Vol. 7, 1994, pp. 113-134.
25. Thomas Finucane, "Put-Call Parity and Expected Returns," Journal of Financial and Quantitative Analysis, December 1991, pp. 445-458.
26. Jeff Fleming and Robert Whaley, "The Value of Wildcard Options," Journal of Finance, March 1994, pp. 215-236.
27. George Frankfurter and Wai Leung, "Further Analysis of the Put-Call Parity Implied Risk-Free Interest Rate," Journal of Financial Research, Fall 1991, pp. 217-232.
28. Thomas George and Francis Longstaff, "Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market," Journal of Financial and Quantitative Analysis, September 1993, pp. 381-398.
29. Espen Gaarder Haug, "Opportunities and Perils of Using Option Sensitivities," Journal of Financial Engineering, September 1993, pp. 253-270.
30. Campbell Harvey and Robert Whaley, "Dividends and S&P 100 Index Option Valuation," The Journal of Futures Markets, April 1992, pp. 123-138.
31. David Heath, Robert Jarrow, and Andrew Morton, "Contingent Claim Valuation with a Random Evolution of Interest Rates," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 54-76. "Discussion," by John Hull and Gregory Habeeb, pp. 77-83.
32. Steven Heston, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Vol. 6 No. 2, 1993, pp. 327-343.
33. Steven Heston, "Invisible Parameters in Option Prices," Journal of Finance, July 1993, pp. 933-948.
34. Jimmy Hilliard, Jeff Madura, and Alan Tucker, "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates," Journal of Financial and Quantitative Analysis, June 1991, pp. 139-152.
35. Jimmy Hilliard and Alan Tucker, "Market-Determined Premia for American Currency Spot Options," Advances in Futures and Options Research, Vol. 5, 1991, pp. 227-240.
36. Jimmy Hilliard and Alan Tucker, "A Note on Weekday, Intraday, and Overnight Patterns in the Interbank Foreign Exchange and Listed Currency Options Markets," Journal of Banking and Finance, December 1992, pp. 1159-1171.
37. John Hull and Alan White, "Efficient Procedures for Valuing European and American Path-Dependent Options," Journal of Derivatives, Fall 1993, pp. 21-33.
38. Farshid Jamshidian, "An Analysis of American Options," Review of Futures Markets, Vol. 11 No. 1, 1992, pp. 72-80. "Discussion," by Thomas Stucki, pp. 81-83.
39. Taehoon Kang and B. Wade Brorsen, "Conditional Heteroskedasticity, Asymmetry, and Option Pricing," The Journal of Futures Markets, December 1995.
40. In Joon Kim and Suk Joon Kim, "Optimal Exercise Boundary in a Binomial Option Pricing Model," Journal of Financial Engineering, June 1994, pp. 137-158.
41. Myung-Jig Kim, Young-Ho Oh, and Robert Brooks, "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, December 1994, pp. 609-632.
42. Raman Kumar, Atulya Sarin, and Kaldeep Shastri, "The Behavior of Option Price Around Large Block Transactions in the Underlying Security," Journal of Finance, July 1992, pp. 879-890.
43. Raman Kumar and Kaldeep Shastri, "The Predictive Ability of Stock Prices Implied in Option Premia," Advances in Futures and Options Research, Vol. 4, 1990, pp. 165-176.
44. Haim Levy and Young Hoon Byun, "An Empirical Test of the Black-Scholes Options Pricing Model and the Implied Variance: A Confidence Interval Approach," Journal of Accounting, Auditing, and Finance, Fall 1987, pp. 355-369. "Professional Adaptation," p. 370-374.
45. H. Levy and A. Levy, "Option Valuation: An Extension of The Binomial Model," Advances in Futures and Options Research, Vol. 5, 1991, pp. 49-69.
46. James Wuh Lin, "Interest Rate Dynamics and the Black-Scholes Call Option Price," Advances in Quantitative Analysis of Finance and Accounting, Vol. 3 Part B, Winter 1994.
47. Andrew Lo and Jiang Wang, "Implementing Option Pricing Models When Asset Returns are Predictable," Journal of Finance, March 1995, pp. 87-130.
48. Teppos Martikainen, Jukka Perttunen, and Vesa Puttonen, "Finnish Turn-of-the-Month Effects: Returns, Volume, and Implied Volatility," The Journal of Futures Markets, September 1995.
49. Larry Merville and Dan Pieptea, "On the Stochastic Nature of the Stock Price Variance Rate and Strike Price Bias in Option Pricing," Advances in Quantitative Analysis of Finance and Accounting, Vol. 1 Part A, 1991, pp. 1-24.
50. Mary Nisbet, "Put-Call Parity Theory and an Empirical Test of the Efficiency of the London Traded Options Market," Journal of Banking and Finance, April 1992, pp. 381-403.
51. John Okunev and Mark Tippett, "A Multifactor Option Pricing Model," Advances in Futures and Options Research, Vol. 6, 1992, pp. 67-80.
52. F. Page Jr. and M. Rzepczynski, "Option Pricing and Asset Returns in Discrete Time," Advances in Futures and Options Research, Vol. 5, 1991, pp. 31-48.
53. Antton Pelsser and Ton Vorst, "The Binomial Model and the Greeks," Journal of Derivatives, Spring 1994, pp. 45-49.
54. David Peterson, "A Transaction Data Study of Day-of-the-Week and Intraday Patterns in Option Returns," Journal of Financial Research, Summer 1990, pp. 117-132.
55. Vesa Puttonen, "Boundary Conditions for Index options: Evidence from the Finnish Market," The Journal of Futures Markets, August 1993, pp. 545-562.
56. Robert Ritchey, "A Call Option Valuation for Discrete Normal Mixtures," Journal of Financial Research, Winter 1990, pp. 285-296.
57. Mark Rubinstein, "Implied Binomial Trees," Journal of Finance, July 1994, pp. 771-818.
58. Jacques Schnabel and Jason Wei, "Valuing Takeover-Contingent Foreign Exchange Call Options," Advances in Futures and Options Research, Vol. 7, 1994, pp. 223-236.
59. L. Scott, "Random-Variance Option Pricing: Empirical Tests of the Model and Delta-Sigma Hedging," Advances in Futures and Options Research, Vol. 5, 1991, pp. 113-135.
60. Aamir Sheikh, "Transactions Data Tests of S&P 100 Call Option Pricing," Journal of Financial and Quantitative Analysis, December 1991, pp. 459-476.
61. Thomas Stucki and Walter Wasserfallen, "Stock and Option Markets: The Swiss Evidence," Journal of Banking and Finance, October 1994, pp. 881-893.
62. H. J. Tan and Hohn Dickinson, "Tests of Options Market Efficiency: A Study of the European Options Exchange," Review of Futures Markets, Vol. 9 No. 3, 1990, pp. 552-570. "Discussion," by Elroy Dimson, pp. 571-575.
63. Yisong Tian, "A Modified Lattice Approach to Option Pricing," The Journal of Futures Markets, August 1993, pp. 563-578.
64. Robert Trippi, Edward Brill, and Richard Hariff, "Pricing Options on an Asset with Bernoulli Jump-Diffusion Returns," Financial Review, February 1992, pp. 59-79.
65. Nicholas Valerio III, "Valuation of Cash-Settlement Call Options Containing a Wild-Card Exercise Feature," Journal of Financial Engineering, December 1993, pp. 335-364.
66. Jason Wei, "Valuing American Equity Options with a Stochastic Interest Rate: A Note," Journal of Financial Engineering, June 1993, pp. 195-206.
C. Volatility and Implied Volatility for Cash Option Markets
1. Giovanni Barone-Adesi, Keith Brown, and W. Harlow, "On the Use of Implied Volatilities in the Prediction of Successful Corporate Takeovers," Advances in Futures and Options Research, Vol. 7, 1994, pp. 147-165.
2. K. Becker and A. Tucker, "Implied Index Volatilities and Intraweek Effects in the U.S. Equity Market," Advances in Futures and Options Research, Vol. 5, 1991, pp. 297-308.
3. Arjun Chatrath, Sanjay Remchander, and Frank Song, "Does Options Trading Lead to Greater Market Volatility?" The Journal of Futures Markets, October 1995.
4. Seungmook Choi and Mark Wohar, "Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets," Financial Review, November 1992, pp. 503-530.
5. Fernando Diz and Thomas Finucane, "The Time Series Properties of Implied Volatility of S&P 100 Index Options," Journal of Financial Engineering, June 1993, pp. 127-154.
6. Joao Duque and Dan Paxson, "Implied Volatility and Dynamic Hedging," Review of Futures Markets, Vol. 13 No. 2, 1994, pp. 381-422. "Discussion," by William K. H. Fung, pp. 423-428.
7. Robert Engle, Che-Hsuing Hong, Alex Kane, and Jaesun Noh, "Arbitrage Valuation of Variance Forecasts with Simulated Options," Advances in Futures and Options Research, Vol. 6, 1992, pp. 393-416.
8. Thomas Finucane, "A Simple Linear Weighting Scheme for Black-Scholes Implied Volatilities: A Note," Journal of Banking and Finance, May 1989, pp. 321-326.
9. Jeff Fleming, Barbara Ostdiek, and Robert Whaley, "Predicting Stock Market Volatility: A New Measure," The Journal of Futures Markets, May 1995, pp. 265-302.
10. Campbell Harvey and Robert Whaley, "Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market," Journal of Financial Economics, February 1992, pp. 43-73.
11. Campbell Harvey and Robert Whaley, "S&P 100 Index Options Volatility," Journal of Finance, September 1991, pp. 1551-1561.
12. Ronald Heynen, "An Empirical Investigation of Observed Smile Patterns," Review of Futures Markets, Vol. 13 No. 2, 1994, pp. 317-354.
13. Ronald Heynen and Harry Kat, "Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1), and EGARCH (1,1) Models," Journal of Derivatives, Winter 1994, pp. 50-65.
14. Ronald Heynen, Angelien Kemna, and Ton Vorst, "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, March 1994, pp. 31-56.
15. Benjamin Hunt, "A Forecasting Model of Option Pricing Volatility," Review of Futures Markets, Vol. 11 No. 3, 1992, pp. 355-366. "Discussion," by William K. H. Fung, pp. 367-368.
16. G. Andrew Karolyi, "A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation," Journal of Financial and Quantitative Analysis, December 1993, pp. 579-594.
17. In Joon Kim, Keun Chong Kim, and Ross Zisking, "On the Apparent Systematic Bias of Implied Volatility in the Black and Scholes Model," Advances in Investment Analysis and Portfolio Management, Vol. 2, 1994.
18. Tsong-Yue Lai, Cheng-few Lee, and Alan Tucker, "An Alternative Method for Obtaining the Implied Standard Deviation," Journal of Financial Engineering, December 1992, pp. 369-375.
19. Christopher Lamoureux and William Lastrapes, "Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities," Review of Financial Studies, Vol. 6 No. 2, 1993, pp. 293-326.
20. Joel Morse, "An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options," Financial Review, August 1991, pp. 319-341.
21. Vasanttilak Naik, "Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, December 1993, pp. 1969-1984.
22. W. Randolph, B. Rubin, and E. Cross, "The Response of Implied Standard Deviations to Changing Market Conditions," Advances in Futures and Options Research, Vol. 4, 1990, pp. 265-280.
23. Bruce Resnick, Aamir Sheikh, and Yo-Shin Song, "Time Varying Volatilities and Calculation of the Weighted Implied Standard Deviation," Journal of Financial and Quantitative Analysis, September 1993, pp. 417-430.
24. Stephen Taylor and Xinzhong Xu, "The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates," Review of Futures Markets, Vol. 13 No. 2, 1994, pp. 355-380.
25. Xinzhong Xu and Stephen Taylor, "The Term Structure of Volatility Implied by Foreign Exchange Options," Journal of Financial and Quantitative Analysis, March 1994, pp. 57-94.
D. Hedging and Other Issues for Cash Option Markets
1. Raj Aggarwal and Edward Gruca, "Intraday Trading Patterns in the Equity Options Market," Journal of Financial Research, Winter 1993, pp. 285-298.
2. Kerry Back, "Asymmetric Information and Options," Review of Financial Studies, Vol. 6 No. 3, 1993, pp. 435-472.
3. Scott Beighley, "Return Patterns for Equity Indexes Hedged with Options," Journal of Portfolio Management, Winter 1994, pp. 68-73.
4. Bruce Benet and Carl Luft, "Hedge Performance of SPX Index Options and S&P 500 Futures," The Journal of Futures Markets, September 1995.
5. Menachem Berg and Giora Moore, "Foreign Exchange Strategies: Spot, Forward and Options," Journal of Business Finance and Accounting, April 1991, pp. 449-457.
6. Bruno Biais and Pierre Hillion, "Insider and Liquidity Trading in Stock and Options Markets," Review of Financial Studies, Winter 1994, pp. 743-780.
7. R. Brooks and W. Lloyd, "Options on Stocks Versus Index Options: The Portfolio Effect," Advances in Futures and Options Research, Vol. 4, 1990, pp. 111-124.
8. J. S. Butler and Barry Schachter, "Unbiased Estimation of Option Prices: An Examination of the Return from Hedging Options Against Stocks," Advances in Futures and Options Research, Vol. 7, 1994, pp. 167-176.
9. Mitzi Carletti and Eric Weigel, "The Bond/Call Option Strategy," Journal of Portfolio Management, Fall 1992, pp. 76-83.
10. Don Chance, "Option Volume and Stock Market Performance," Journal of Portfolio Management, Summer 1990, pp. 42-51.
11. Don Chance, "Translating the Greek: The Real Meaning of Call Option Derivatives," Financial Analyst's Journal, July-August 1994, pp. 43-49.
12. Michel Crouhy and Dan Galai, "Hedging with a Volatility Term Structure," Journal of Derivatives, Spring 1995, pp. 45-52.
13. Paul Dawson and Gordon Gemmill, "Returns to Market-Making on the London Traded Options Market," Review of Futures Markets, Vol. 9 No. 3, 1990, pp. 666-680. "Discussion," by Steward Hodges, pp. 681-683.
14. J. David Diltz and Steve Swidler, "A Comparison of Actual and Theoretical Transaction Cost Estimates for CBOE-Listed Options," Advances in Futures and Options Research, Vol. 6, 1992, pp. 355-366.
15. Fernando Diz and Thomas Finucane, "The Rationality of Early Exercise Decisions: Evidence from the S&P 100 Index Options Market," Review of Financial Studies, Vol. 6 No. 4, Winter 1993, pp. 765-798.
16. Robert Ferguson, "Some Formulas for Evaluating Two Popular Option Strategies," Financial Analyst's Journal, September-October 1993, pp. 71-76.
17. S. Ferris, D. Chance, and G. Wolfe, "Transaction Data Study of Stock Returns and Trading Activity During Option Expiration Periods," Advances in Futures and Options Research, Vol. 5, 1991, pp. 149-174.
18. Stephen Figlewski, N. K. Chidambaran, and Scott Kaplan, "Evaluating the Performance of the Protective Put Strategy," Financial Analyst's Journal, July-August 1993, pp. 46-56.
19. Philip Fink and Hohn McCrudden, "Covered Calls can Provide Tax and Financial Advantages," Journal of Taxation and Investments, Summer 1993, pp. 291-299.
20. Dan French and Edwin Maberly, "Early Exercise of American Index Options," Journal of Financial Research, Summer 1992, pp. 127-138.
21. Steven Freund, P. Douglas McCann, and Gwendollyn Webb, "A Regression Analysis of the Effects of Option Introduction on Stock Variances," Journal of Derivatives, Spring 1994, pp. 25-38.
21. John Gilster Jr., "The Systematic Risk of Discretely Rebalanced Option Hedges," Journal of Financial and Quantitative Analysis, December 1990, pp. 507-516.
22. Oystein Gjerde and Frode Saettem, "Option Initiation and Underlying Market Behavior: Evidence from Norway," The Journal of Futures Markets, December 1995.
23. Mahmoud Haddad and Frank Voorheis, "Initial Option Trading and Security Risk and Return," Journal of Business Fiance and Accounting, November 1991, pp. 903-914.
24. Shmuel Hauser, Azriel Levy and Uzi Yaari, "Trading Frequency and Implied Transaction Costs of Foreign Exchange Options," Advances in Futures and Options Research, Vol. 7, 1994, pp. 37-45.
25. Joanne Hill and Hardy Hodges, "S&P 500 Hedging Costs: A Look Over Time and Market Environments," Financial Analyst's Journal, July-August 1994, pp. 69-75.
26. Jimmy Hilliard, "Finite Horizon Hedge Ratios for American Options: A Minimum Variance Solution," Journal of Financial Engineering, March 1994, pp. 1-18.
27. T. Hoggard, A. E. Whalley, and P. Wilmott, "Hedging Option Portfolios in the Presence of Transaction Costs," Advances in Futures and Options Research, Vol. 7, 1994, pp. 21-35.
28. Riaz Hussain, "Long-Term Synthetic Puts," Financial Review, February 1993, pp. 25-44.
29. Mel Jameson and William Wilhelm, "Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancings," Journal of Finance, June 1992, pp. 765-780.
30. Robert Klemkosky and Bruce Resnick, "A Note on the No Premature Exercise Condition of Dividend Payout Unprotected American Call Options: A Clarification," Journal of Banking and Finance, April 1992, pp. 373-379.
31. Haim Levy and James Yoder, "Trading Losses from Using a Sample Estimate of the Variance in the Black-Scholes Model: A Simulation Analysis," Advances in Quantitative Analysis of Finance and Accounting, Vol. 3 Part B, Winter 1994.
32. Harry Marmer and F. K. Louis Ng, "Mean-Semivariance Analysis of Option-Based Strategies: A Total Asset Mix Perspective," Financial Analyst's Journal, May-June 1993, pp. 47-54.
33. Joseph Mezrich, "When Is a Tree a Hedge?" Financial Analyst's Journal, November-December 1994, pp. 75-81.
34. Chandrasekhar Mishra and Jorge Urrutia, "An Option-Based Approach to Determining the Optimal Reinsurance Stop-Loss Premium," Advances in Futures and Options Research, Vol. 7, 1994, pp. 313-321.
35. Anthony Neuberger, "Option Replication with Transaction Costs: An Exact Solution for the Pure Jump Process," Advances in Futures and Options Research, Vol. 7, 1994, pp. 1-20.
36. Jaesun Noh, Robert Engle, and Alex Kane, "Forecasting Volatility and Option Prices of the S&P 500 Index," Journal of Derivatives, Fall 1994, pp. 17-30.
37. James Overdahl and Peter Martin, "The Exercise of Equity Options: Theory and Empirical Tests," Journal of Derivatives, Fall 1994, pp. 38-50.
38. Percy Poon, "An Empirical Examination of the Return Volatility-Volume Relation in Related Markets: The Case of Stock and Options," Financial Review, November 1994, pp. 473-496.
39. Peter Pope and Pradeep Yadav, "The Impact of Option Expiration on Underlying Stocks: The UK Evidence," Journal of Business Finance and Accounting, April 1992, pp. 329-344.
40. Richard Rendleman Jr. and Thomas O'Brien, "The Effects of Volatility Misestimation on Option-Replication Portfolio Insurance," Financial Analyst's Journal, May-June 1990, pp. 61-70.
41. Aamir Sheikh, "The Behavior of Volatility Expectations and Their Effects on Expected Returns," Journal of Business, January 1993, pp. 93-116.
42. Aamir Sheikh and Ehud Ronn, "A Characterization of the Daily and Intraday Behavior of Returns on Options," Journal of Finance, June 1994, pp. 557-580.
43. Robert Strong and Amy Dickinson, "Forecasting Better Hedge Ratios," Financial Analyst's Journal, January-February 1994, pp. 70-72.
44. Steve Swidler, Lisa Schwartz, and Roger Kristiansen, "Option Expiration Day Effects in Small Markets: Evidence from the Oslo Stock Exchange," Journal of Financial Engineering, June 1994, pp. 177-196.
45. Anand Vijh, "Liquidity of the CBOE Equity Options," Journal of Finance, July 1990, pp. 1157-1180.
46. Robert Welch and Louis Culumovic, "A Profitable Call Spreading Strategy on the CBOE," Journal of Derivatives, Spring 1995, pp. 24-44.
47. Joseph Williams, "Equilibrium and Options on Real Assets," Review of Financial Studies, Vol. 6 No. 4, Winter 1991, pp. 825-850.
48. Rudy Yaksick, "Expected Optimal Exercise Time of a Perpetual American Option: A Closed-form Solution," Journal of Financial Engineering, March 1995, pp. 55-74.
49. Terry Zivney, "The Value of Early Exercise in Option Prices: An Empirical Investigation," Journal of Financial and Quantitative Analysis, March 1991, pp. 129-138.
E. Exotic-Over the Counter Options
1. G. Blazenko, P. Boyle, and K. Newport, "Valuation of Tandem Options," Advances in Futures and Options Research, Vol. 4, 1990, pp. 39-49.
2. Laurent Bouaziz, Eric Briys, and Michael Crouhy, "The Pricing of Forward-Starting Asian Options," Journal of Banking and Finance, October 1994, pp. 823-839.
3. Phelim Boyle, "New Life Forms on the Option Landscape," Journal of Financial Engineering, September 1993, pp. 217-252.
4. Phelim Boyle and Sok Hoon Lau, "Bumping Up Against the Barrier with the Binomial Method," Journal of Derivatives, Summer 1994, pp. 6-14.
5. Phelim Boyle and Inmoo Lee, "Deposit Insurance with Changing Volatility: An Application of Exotic Options," Journal of Financial Engineering, September/December 1994, pp. 205-228.
6. Lillian Chew, "Lookback Meets Average-Rate," Risk Magazine, March 1989, p.2.
7. O. Cheyette, "Pricing Options on Multiple Assets," Advances in Futures and Options Research, Vol. 4, 1990, pp. 68-91.
8. Antoine Conze and Viswanathan, "Path Dependent Options: The Case of Lookback Options," Journal of Finance, December 1991, pp. 1893-1907.
9. Darrell Duffie, "The Risk-Neutral Value of the Early Arbitrage Option: A Note," Advances in Futures and Options Research, Vol. 4, 1990, pp. 107-110.
10. Gary Gastineau, "An Introduction to Special-Purpose Derivatives: Options with a Payout Depending on More than One Variable," Journal of Derivatives, Fall 1993, pp. 98-104.
11. Gary Gastineau, "An Introduction to Special-Purpose Derivatives: Path-Dependent Options," Journal of Derivatives, Winter 1993, pp. 78-86.
12. Gary Gastineau, "An Introduction to Special-Purpose Derivatives: Roll Up Puts, Roll Down Calls,and Contingent Premium Options," Journal of Derivatives, Summer 1994, pp. 40-43.
13. Joseph Haykov, "A Better Control Variate for Pricing Standard Asian Options," Journal of Financial Engineering, September 1993, pp. 207-216.
14. B. A. Heenk, A. G. Z. Kemna, and A. C. F. Vorst, "Asian Options on Oil Spreads," Review of Futures Markets, Vol. 9 No. 3, 1990, pp. 510-528. "Discussion," by William K. H. Fung, pp. 529-531.
15. Ronald Heynen and Harry Kat, "Partial Barrier Options," Journal of Financial Engineering, September/December 1994, pp. 253-274.
16. Harry Kat, "Contingent Premium Options," Journal of Derivatives, Summer 1994, pp. 44-55.
17. Nelson Lacey and Donald Chambers, "Option Wagering in Point Spread Betting Markets," Journal of Derivatives, Fall 1994, pp. 31-37.
18. William Margrabe, "Triangular Equilibrium and Arbitrage in the Market for Options to Exchange Two Assets," Journal of Derivatives, Fall 1993, pp. 60-70.
19. Don Rich, "The Mathematical Foundations of Barrier Option-Pricing Theory," Advances in Futures and Options Research, Vol. 7, 1994, pp. 267-311.
20. Don Rich and Don Chance, "An Alternative Approach to the Pricing of Options on Multiple Assets," Journal of Financial Engineering, September 1993, pp. 271-286.
21. Peter Ritchken, L. Sankarasubramanian, and Anand Vijh, "Averaging Options for Capping Total Costs," Financial Management, Autumn 1990, pp. 35-41.
22. Mark Rubinstein, "Double Trouble," Risk Magazine, December 1991-January 1992, p.73.
23. Mark Rubinstein, "One for Another," Risk Magazine", July-August 1991, pp. 30-32.
24. Mark Rubinstein, "Options for the Undecided," Risk Magazine, April 1991, p. 43.
25. Mark Rubinstein, "Pay Now, Choose Later," Risk Magazine, February 1991, p.13.
26. Mark Rubinstein, "Somewhere Over the Rainbow," Risk Magazine, November 1991, pp. 63-66.
27. Mark Rubinstein, "Two into One," Risk Magazine, May 1991, p. 49.
28. Mark Rubinstein and Eric Reiner, "Breaking Down the Barriers," Risk Magazine, September 1991, pp. 28-35.
29. Barry Schachter, "Breaking Up Is Hard to Do: The Risks in the Financial Engineering of Customized Options," Journal of Financial Engineering, September 1992, pp. 133-149.
30. Robert Trippi and Don Chance, "Quick Valuation of the "Bermuda" Capped Option," Journal of Portfolio Management, Fall 1993, pp. 93-99.
31. Stuart Turnbull and Lee Macdonald Wakeman, "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, September 1991, pp. 377-390.
32. Clayton Von Jaeger, "Use of Average Rate Options to Hedge Translational Exposure," Risk Magazine, December 1989-January 1990, p. 33.
33. G. George Yu, "Financial Instruments to Lock in Payoffs," Journal of Derivatives, Spring 1994, pp. 77-86.
34. Peter Zhang, "Correlation Digital Options," Journal of Financial Options, March 1995, pp. 75-96.
35. Peter Zhang, "Flexible Arithmetic Asian Options," Journal of Derivatives, Spring 1995, pp. 53-63.
36. Peter Zhang, "Flexible Asian Options," Journal of Financial Engineering, March 1994, pp. 65-84.
A. Introductory Articles and Books
1. Theodore Barnhill and William Seale, "Financing with Hybrid Securities Having Commodity Option and Forward-Contract Characteristics," Advances in Futures and Options Research, Vol. 4, 1990, pp. 137-151.
2. Christopher Bobin, Agricultural Options: Trading, Risk Management, and Hedging. New York: John Wiley and Sons, 1990, 253 pp.
3. Keith Schap, "Enhancing Cash Yield with Treasury Bond Options," Futures, September 1990, pp. 40-42.
B. Pricing
1. R. Bahr, "Interest Rate Futures Options: An Empirical Test of the Ho and Lee Model in the Australian Context," Review of Futures Markets, Vol. 12 No. 3, 1993, pp. 661-684. "Discussion," by Malick Sy, pp. 685-686.
2. David Bates, "The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, July 1991, pp. 1009-1044.
3. Menachem Brenner, Georges Coutadon, and Marti Subrahmanyam, "Options on Stock Indices and Options on Futures," Journal of Banking and Finance, September 1989, pp. 773-782.
4. Nusret Cakici, Sris Chatterjee, and Avner Wolf, "Empirical Tests of Valuation Models for Options on T-Note and T-Bond Futures," The Journal of Futures Markets, February 1993, pp. 1-14.
5. M. M. Chaudhury, "Some Easy-to-Implement Methods of Calculating American Futures Option Prices," The Journal of Futures Markets, May 1995, pp. 303-344.
6. Mohammed Chaudhury and Jason Wei, "Upper Bounds for American Futures Options: A Note," The Journal of Futures Markets, February 1994, pp. 111-116.
7. Ren-Raw Chen, "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds," Journal of Financial and Quantitative Analysis, March 1992, pp. 97-108.
8. Raymond Chiang and Hohn Okunev, "An Alternative Formulation on the Pricing of Foreign Currency Options," The Journal of Futures Markets, December 1993, pp. 903-908.
9. Kevin Davis, "The Pricing of Options on Australian Bank Bill Futures: A Test of the Black Model Using Transactions Data," Review of Futures Markets, Vol. 10 No. 3, 1991, pp. 460-476. "Discussion," by K. R. Sawyer, pp. 477-479.
10. David Feldman, "European Options on Bond Futures: A Closed Form Solution," The Journal of Futures Markets, May 1993, pp. 325-334.
11. Joseph Ghalbouni, Lawrence Kryzanowski, and Minh Chau To, "Transaction Costs and Option-Pricing Biases: Some Evidence for Options on Foreign Exchange Futures," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 26-48. "Discussion," by Margaret Monroe and Francis Russell, pp. 49-53.
12. Mike Girou, A. Scott McIllwain, and Dix Pettey, "Options Market Implied Consensus Views," Review of Futures Markets, Vol. 13 No. 3, 1994, pp. 943-978. "Discussion," by Paul Fackler and Sheldon Natenberg, pp. 979-996.
13. Mark Harrision, Toan Pham, and Ah Boon Sim, "The Market for Options on Ten-Year Treasury Bond Futures in Australia: Some Empirical Evidence Using the Black Model," Review of Futures Markets, Vol. 11 No. 3, 1992, pp. 369-410. "Discussion," by Jayaram Muthuswamy, pp. 411-413.
14. Thomas Ho and Sang Bin Lee, "Interest Rate Futures Options and Interest Rate Options," Financial Review, August 1990, pp. 345-370.
15. James Hutchinson, Andrew Lo, and Tomaso Poggio, "A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, July 1994, pp. 851-890.
16. Farshid Jamshidian, "Commodity Option Evaluation in the Gaussian Futures Term Structure Model," Review of Futures Markets, Vol. 10 No. 2, 1991, pp. 324-346. "Discussion," by Andrew Morton and Alfred Kanzler, pp. 347-349.
17. Ira Kawaller, Paul Koch, and Hohn Peterson, "Assessing the Intraday Relationship between Implied and Historical Volatility," The Journal of Futures Markets, May 1994, pp. 323-346.
18. In Joon Kim, "Analytic Approximation of the Optimal Exercise Boundaries for American Futures Options," The Journal of Futures Markets, February 1994, pp. 1-24.
19. Joon Kim, "The Analytic Valuation of American Options," Review of Financial Studies, Vol. 3 No. 4, 1990, pp. 547-572.
20. Cheng-kun Kuo, "The Valuation of Futures-Style Options," Review of Futures Markets, Vol. 10 No. 3, 1991, pp. 480-487. "Discussion," by Malick Sy, pp. 488-489.
21. Patrick Marchand, "Relative Futures-Option Pricing and Options on S&P 500 Index Futures: A Test of Market Efficiency," dissertation, The University of Alabama, 1990, 171 pp.
22. Patrick Marchand, James Lindley, and Richard Followill, "Further Evidence on Parity Relationships in Options on S&P 500 Index Futures," The Journal of Futures Markets, September 1994, pp. 757-772.
23. Mario Miranda and Joseph Glauber, "The Effects of Price Supports on the Valuation of Options on Agricultural Futures Contracts," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 108-125. "Discussion," by Paul Fackler and David Parker, pp. 126-133.
24. N. Moore and S. Pruitt, "Arbitrage Opportunities and the Design of Call and Put Price Schedules of a Bond," Advances in Futures and Options Research, Vol. 5, 1991, pp. 289-295.
25. Joseph Ogden, Alan Tucker, and Timothy Vines, "Arbitraging American Gold Spot and Futures Options," Financial Review, November 1990, pp. 577-592.
26. James Overdahl and Andrew Chen, "The Exercise of Options on Agricultural Commodity Futures," Review of Futures Markets, Vol. 10 No. 2, 1991, pp. 296-317. "Discussion," by Bruce Sherrick and James Bittman, pp. 318-323.
27. Ehud Ronn and Robert Bliss Jr., "A Nonstationary Trinomial Model for the Valuation of Options on Treasury Bond Futures Contracts," The Journal of Futures Markets, August 1994, pp. 597-618.
28. Elvira Maria de Sousa Silva and Kandice Kahl, "Reliability of Soybean and Corn Option-Based Probability Assessments," The Journal of Futures Markets, October 1993, pp. 765-780.
29. Joel Sternberg, "A Reexamination of Put-Call Parity on Index Futures," The Journal of Futures Markets, February 1994, pp. 79-102.
30. Steve Swidler and J. David Diltz, "Implied Volatilities and Transaction Costs," Journal of Financial and Quantitative Analysis, September 1992, pp. 437-448.
31. Malick Sy, "Pricing of Options on Futures in Thin Markets: Empirical Evidence from the Singapore International Monetary Exchange," Review of Futures Markets, Vol. 9, Supplement, 1990, pp. 228-250. "Discussion," by W. K. H. Fung, pp. 251-257.
32. Stuart Turnbull and Frank Milne, "A Simple Approach to Interest-Rate Option Pricing," Review of Financial Studies, Vol. 4 No. 1, 1991, pp. 87-120.
33. William W. Wilson and Hung-Gay Fung, "Put-Call Parity and Arbitrage Bounds for Options on Grain Futures," American Journal of Agricultural Economics, February 1991, pp. 55-65.
C. Hedging
1. David Bullock and Dermot Hayes, "Speculation and Hedging in Commodity Options: A Modification of Wolf's Portfolio Model," Journal of Economics and Business, August 1992, pp. 201-222.
2. Ira Kawaller, "A Novel Approach to Transactions-Based Currency Exposure Management," Financial Analyst's Journal, November-December 1992, pp. 79-80.
3. George Ladd and Steven Hanson, "Price-Risk Management with Options: Optimal Market Positions and Institutional Value," The Journal of Futures Markets, December 1991, pp. 737-750.
4. Li-Fen Lei, Donald Liu, and Arne Hallam, "Solving for Optimal Futures and Options Positions Using a Simulation-Optimization Technique," The Journal of Futures Markets, August 1995.
5. Bruce Love and Milton Boyd, "The Effectiveness of Commodity Options for Stabilizing Grain Revenues," Review of Futures Markets, Vol. 13 No. 1, 1994, pp. 155-180. "Discussion," by Mario Miranda and Christopher Bobin, pp. 181-186.
6. David Shimko, "Options on Futures Spreads: Hedging, Speculation, and Valuation," The Journal of Futures Markets, April 1994, pp. 183-214.
D. Regulation, Legal Issues, and Other Topics
1. Gary Gastineau, "Option Position and Exercise Limits: Time for a Radical Change," Journal of Portfolio Management, Fall 1992, pp. 92-96.
2. Margaret Monroe, "The Profitability of Volatility Spreads Around Information Releases," The Journal of Futures Markets, February 1992, pp. 1-10.
3. Sheldon Natenberg, Scott Irwin, James Meisner, and Phelim Boyle, "Panel: Research Directions in Commodity Options - Academic and Practitioner Views," Review of Futures Markets, Vol. 9 No. 1, 1990, pp. 134-155. "Discussion," pp. 156-157.
4. J. Overdahl and J. Choi, "Option Exercises: Evidence from the Treasury Bond Futures Option Market," Advances in Futures and Options Research, Vol. 5, 1991, pp. 217-240.
5. Avner Wolf and Jack Clark Francis, "Optimal Portfolio Choices of Commodity Options in Incomplete Markets: A Simulation Analysis," Advances in Quantitative Analysis of Finance and Accounting, Vol. 1 Part A, 1991, pp. 165-196.
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