Items where Author is "Huang, J"

Hara, C and Huang, J and Kuzmics, C (2007) Representative consumer’s risk aversion and efficient risk-sharing rules. Journal of Economic Theory, 137 (1). pp. 652-672. ISSN 0022-0531

Huang, J and Franke, G and Stapleton, R C (2007) Two-dimensional risk neutral valuation relationships for the pricing of options. Review of Derivatives Research, 9. pp. 213-237. ISSN 1380-6645

Zhang, Z and Huang, J (2006) Extremal financial risk models and portfolio evaluation. Computational Statistics and Data Analysis, 51 (4). pp. 2313-2338. ISSN 0167-9473

Huang, J (2004) Cautiousness and tendency to buy options. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2004) DARA and DRRA option bounds from concurrently expiring options. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2004) Option bounds and second order arbitrage opportunities. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2004) Option bounds from concurrently expiring options when relative risk aversion is bounded. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2004) Option pricing bounds and the elasticity of the pricing kernel. Review of Derivatives Research, 7 (1). pp. 25-51. ISSN 1380-6645

Huang, J (2004) Risk neutral probabilities and option bounds: a geometric approach. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2004) Stochastic dominance option bounds and Nth order arbitrage opportunities. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2003) Impact on option prices of divergent consumer confidence. Review of Derivatives Research, 6 (3). pp. 165-177. ISSN 1380-6645

Huang, J (2002) Existence of an optimal portfolio for every investor in an Arrow-Bebreu economy. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2002) Impact on option prices of divergent consumer confidence. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2002) Linear sharing rules. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2002) Option pricing bounds and the elasticity of the pricing kernel. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2002) The role of options in an economy with background risk: a note. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2000) Deriving preference-free asset prices in a general equilibrium framework. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2000) Relationships between risk aversion, prudence, and cautiousness. Working Paper. The Department of Accounting and Finance, Lancaster University.

Huang, J (2000) Who buys options from whom? The role of options in an economy with heterogeneous. Working Paper. The Department of Accounting and Finance, Lancaster University.