[BOOK][B] The entropy pricing theory
BL Gulko - 1998 - search.proquest.com
The thesis introduces the Entropy Pricing Theory (EPT). The EPT formalizes the Efficient
Market Hypothesis by focusing on market beliefs rather than on market prices--the prices are …
Market Hypothesis by focusing on market beliefs rather than on market prices--the prices are …
A test of the beta model on Eurodollar futures options
L Gulko - Quantitative Finance, 2007 - Taylor & Francis
The paper reports empirical tests of the beta model for pricing fixed-income options. The
beta model resembles the Black–Scholes model with the lognormal probability distribution …
beta model resembles the Black–Scholes model with the lognormal probability distribution …
[PDF][PDF] Cox-Ingersoll-Ross general equilibrium term structure theories
J Korpela - 1994 - aaltodoc.aalto.fi
Results A detailed derivation of the Cox-Ingersoll-Ross general equilibrium model is given.
Generalization to a non-linear two factor Cobb-Douglas production function specification is …
Generalization to a non-linear two factor Cobb-Douglas production function specification is …
[CITATION][C] Empirical tests of the beta model for bond option pricing
L Gulko - Journal of Portfolio Management, 2002