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-
Milton Abramowiz and Irene A Stegun.
- Handbook of Mathematical Functions.
National Bureau of Standards, 1964.
-
Giovanni Barone-Adesi and Robert E Whaley.
- Efficient analytic approximation of American option values.
Journal of Finance, 42(2):-20, June
1987.
-
Per Berck and Knut Sydsæter.
- Matematisk Formelsamling for økonomer.
Universitetsforlaget, 2 edition, 1995.
-
Fisher Black.
- The pricing of commodity contracts.
Journal of Financial Economics, 3:-79, 1976.
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Fisher Black and M S Scholes.
- The pricing of options and corporate liabilities.
Journal of Political Economy, 7:-54, 1973.
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Robert R Bliss.
- Fitting term structures to bond prices.
Working paper, University of Chicago, January 1989.
-
Phelim P Boyle.
- Options: A Monte Carlo approach.
Journal of Financial Economics, 4:-38, 1977.
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Richard A Brealey and Stewart C Myers.
- Principles of Corporate Finance.
McGraw-Hill, fourth edition, 1996.
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Michael Brennan and Eduardo Schwartz.
- Finite difference methods and jump processes arising in the pricing
of contingent claims: A synthesis.
Journal of Financial and Quantitative Analysis, 13:-74, 1978.
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Stephen J Brown and Philip H Dybvig.
- The empirical implications of the Cox, Ingersoll, Ross theory
of the term structure of interest rates.
Journal of Finance, 41:-32, 1986.
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J Cox, S Ross, and M Rubinstein.
- Option pricing: A simplified approach.
Journal of Financial Economics, 7:-263, 1979.
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John Cox and Mark Rubinstein.
- Options markets.
Prentice-Hall, 1985.
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John C Cox, Jonathan E Ingersoll, and Stephen A Ross.
- A theory of the term structure of interest rates.
Econometrica, 53:-408, 1985.
-
M B Garman and S W Kohlhagen.
- Foreign currency option values.
Journal of International Money and Finance, 2:-37, 1983.
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Robert Geske.
- The valuation of compound options.
Journal of Financial Economics, 7:-81, March 1979.
-
Robert Geske and H E Johnson.
- The american put valued analytically.
Journal of Finance, XXXIX(5), December 1984.
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M Barry Goldman, Howard B Sosin, and Mary Ann Gatto.
- Path-dependent options: Buy at the low, sell at the high.
Journal of Finance, 34, December 1979.
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J O Grabbe.
- The pricing of call and put options on foreign exchange.
Journal of International Money and Finance, 2:-53, 1983.
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Chi-fu Huang and Robert H. Litzenberger.
- Foundations for financial economics.
North-Holland, 1988.
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John Hull.
- Options, Futures and other Derivative Securities.
Prentice-Hall, second edition, 1993.
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John Hull.
- Options, Futures and other Derivatives.
Prentice-Hall, third edition, 1997.
-
F Jamshidan.
- An exact bond option pricing formula.
Journal of Finance, 44:-9, March 1989.
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Stanley B Lippman.
- C++ primer.
Addison-Wesley, 2 edition, 1992.
-
Robert H. Litzenberger and Jaques Rolfo.
- An international study of tax effects on government bonds.
Journal of Finance, 39:-22, 1984.
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J Houston McCulloch.
- Measuring the term structure of interest rates.
Journal of Business, 44:-31, 1971.
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J Houston McCulloch.
- The tax adjusted yield curve.
Journal of Finance, 30:-829, 1975.
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Robert C Merton.
- The theory of rational option pricing.
Bell Journal, 4:-183, 1973.
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David R Musser and Atul Saini.
- STL Tutorial and Reference Guide: C++ programming with the
standard template library.
Addison-Wesley, 1996.
-
Charles R Nelson and Andrew F Siegel.
- Parsimonious modelling of yield curves.
Journal of Business, 60(4):-89, 1987.
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Carl J Norstrom.
- A sufficient conditions for a unique nonnegative internal rate of
return.
Journal of Financial and Quantitative Analysis, 7(3):-39, 1972.
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William Press, Saul A Teukolsky, William T Vetterling, and Brian P Flannery.
- Numerical Recipes in C.
Cambridge University Press, second edition, 1992.
-
Richard J Rendleman and Brit J Bartter.
- Two-state option pricing.
Journal of Finance, 34(5):-1110,
December 1979.
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Richard J Rendleman and Brit J Bartter.
- The pricing of options on debt securities.
Journal of Financial and Quantitative Analysis, 15(1):-24, March 1980.
-
Richard Roll.
- An analytical formula for unprotected American call options on
stocks with known dividends.
Journal of Financial Economics, 5:-58, 1977.
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Stephen A Ross, Randolph Westerfield, and Jeffrey F Jaffe.
- Corporate Finance.
Irwin, fourth edition, 1996.
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Mark Rubinstein.
- Exotic options.
University of California, Berkeley, working paper, 1993.
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William F Sharpe and Gordon J Alexander.
- Investments.
Prentice-Hall, 4 edition, 1990.
-
Bjarne Stroustrup.
- The C++ Programming language.
Addison-Wesley, 2 edition, 1991.
-
O Vasicek.
- An equilibrium characterization of the term structure.
Journal of Financial Economics, 5:-88, 1977.
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Robert E Whaley.
- On the valuation of American call options on stocks with known
dividends.
Journal of Financial Economics, 9:-1, 1981.
-
Paul Wilmott, Jeff Dewynne, and Sam Howison.
- Option Pricing, Mathematical models and computation.
Oxford Financial Press, 1994.
ISBN 0 9522082 02.
Up: Financial Numerical Recipes.
Previous: Index
  Contents
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Bernt Arne Odegaard
1999-09-09