Bibliography

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): 301-20, 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: 167-79, 1976.

Fisher Black and Myron S Scholes.
The pricing of options and corporate liabilities.
Journal of Political Economy, 7: 637-54, 1973.

Peter L Bossaerts and Bernt Arne Ødegaard.
Lectures on Corporate Finance.
World Scientific Press, Singapore, 2001.

Phelim P Boyle.
Options: A Monte Carlo approach.
Journal of Financial Economics, 4: 323-38, 1977.

Richard A Brealey and Stewart C Myers.
Principles of Corporate Finance.
McGraw-Hill, fifth edition, 1996.

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: 461-74, 1978.

John Cox and Mark Rubinstein.
Options markets.
Prentice-Hall, 1985.

John C Cox, Jonathan E Ingersoll, and Stephen A Ross.
A theory of the term structure of interest rates.
Econometrica, 53: 385-408, 1985.

John C Cox, Stephen A Ross, and Mark Rubinstein.
Option pricing: A simplified approach.
Journal of Financial Economics, 7: 229-263, 1979.

M B Garman and S W Kohlhagen.
Foreign currency option values.
Journal of International Money and Finance, 2: 231-37, 1983.

Robert Geske.
The valuation of compound options.
Journal of Financial Economics, 7: 63-81, March 1979.

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.

J O Grabbe.
The pricing of call and put options on foreign exchange.
Journal of International Money and Finance, 2: 239-53, 1983.

Chi-fu Huang and Robert H. Litzenberger.
Foundations for financial economics.
North-Holland, 1988.

John Hull.
Options, Futures and other Derivative Securities.
Prentice-Hall, second edition, 1993.

John Hull.
Options, Futures and other Derivatives.
Prentice-Hall, Fifth edition, 2003.

F Jamshidan.
An exact bond option pricing formula.
Journal of Finance, 44: 205-9, March 1989.

A Kemna and A Vorst.
A pricing method for options based on average asset values.
Journal of Banking and Finance, 14: 113-29, March 1990.

Donald E Knuth.
The Art of Computer Programming Volume 2, Seminumerical Algotithms.
Addison-Wesley, third edition, 1997.

Stanley B Lippman and Jos'ee Lajoie.
C++ primer.
Addison-Wesley, third edition, 1998.

Harry Markowitz.
Portfolio selection.
Journal of Finance, 7: 77-91, 1952.

J Houston McCulloch.
Measuring the term structure of interest rates.
Journal of Business, 44: 19-31, 1971.

Robert McDonald and Daniel Siegel.
The value of waiting to invest.
Quarterly Journal of Economics, pages 707-727, November 1986.

Robert L McDonald.
Derivatives Markets.
Addison Wesley, 2002.

Robert C Merton.
The theory of rational option pricing.
Bell Journal, 4: 141-183, 1973.

Franco Modigliani and Merton M Miller.
The cost of capital, corporation finance and the theory of investment.
American Economic Review, 48: 261-97, 1958.

Charles R Nelson and Andrew F Siegel.
Parsimonious modelling of yield curves.
Journal of Business, 60 (4): 473-89, 1987.

Carl J Norstrom.
A sufficient conditions for a unique nonnegative internal rate of return.
Journal of Financial and Quantitative Analysis, 7 (3): 1835-39, 1972.

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): 1093-1110, December 1979.

Richard J Rendleman and Brit J Bartter.
The pricing of options on debt securities.
Journal of Financial and Quantitative Analysis, 15 (1): 11-24, March 1980.

Richard Roll.
An analytical formula for unprotected American call options on stocks with known dividends.
Journal of Financial Economics, 5: 251-58, 1977.

Stephen A Ross, Randolph Westerfield, and Jeffrey F Jaffe.
Corporate Finance.
Irwin, fourth edition, 1996.

Mark Rubinstein.
The valuation of uncertain income streams and the valuation of options.
Bell Journal, 7: 407-25, 1976.

Mark Rubinstein.
Exotic options.
University of California, Berkeley, working paper, 1993.

Robert J. Shiller.
The term structure of interest rates.
In B M Friedman and F H Hahn, editors, Handbook of Monetary Economics, volume 2, chapter 13, pages 627-722. Elsevier, 1990.

Bjarne Stroustrup.
The C++ Programming language.
Addison-Wesley, third edition, 1997.

Suresh Sundaresan.
Fixed Income Markets and their Derivatives.
South-Western, 2 edition, 2001.

Y L Tong.
The Multivariate Normal Distribution.
Springer, 1990.

O Vasicek.
An equilibrium characterization of the term structure.
Journal of Financial Economics, 5: 177-88, 1977.

Robert E Whaley.
On the valuation of American call options on stocks with known dividends.
Journal of Financial Economics, 9: 207-1, 1981.

Paul Wilmott, Jeff Dewynne, and Sam Howison.
Option Pricing, Mathematical models and computation.
Oxford Financial Press, 1994.
ISBN 0 9522082 02.

2003-10-22