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Please inform me of any of your articles on derivatives published in journals that typically do not publish derivatives articles or working papers not yet published (a copy of the latter must be sent to the address below, stating if there is a cost for obtaining a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

GO HERE TO FIND OUT ABOUT Web-based courses in OPTIONS AND FUTURES

- OTC DERIVATIVES, SWAPS, AND INTEREST RATE OPTIONS
- METALS
- ENERGY FUTURES
- NEW MARKETS
- ACCOUNTING ISSUES
- CASH AND EXOTIC OPTIONS
- OPTIONS ON FUTURES

**Go to FIU's Finance Department's
Home Page**

*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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