[...]... aaron.lai@bankofamerica.com R Wan InfoAtlas Inc 1441 Franklin Street, Suite 204 Oakland , CA 94612, USA FM June 28, 2007 8: 15 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 This page intentionally left blank FM June 27, 2007 1:24 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 Chapter 1 The Least Cost Superreplicating Portfolio for Short Puts and Calls in. .. 28, 2007 8: 15 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 List of Contributors xv Chapter 12 Rajeeva Sinha Odette School of Business University of Windsor 401 Sunset Ave Windsor, Ontario, Canada N9B 3P4 Tel.: 151 9- 253 -3000 Ext 3124 Fax: 151 9-973-7073 Email: rsinha@uwindsor.ca Vijay Jog Carleton University 1127 Colonel by Drive Ottawa, Canada K1S 5B6 Tel.: 1613 -52 0-2600... Analysis of Finance and Accounting: Vol .5 List of Contributors xi Chapter 4 Wei Zhang School of Business University at Alabany 1400 Washington Avenue Alabany, NY 12222 USA Steven F Cahan University of Auckland Business School Private Bag 92019 Auckland, New Zealand Tel.: (649) 373- 759 9 Ext 871 75 Email: s.cahan@auckland.ac.nz Chapter 5 Dave Jackson Department of Finance College of Business University of Texas-Pan... USA and Hong Kong Energy Studies Centre Hong Kong Baptist University Kowloon Tong, Hong Kong I Horowitz Decision and Information Sciences Warrington College of Business Administration University of Florida, Gainesville, FL 32611-7169, USA and School of Accounting and Finance Hong Kong Polytechnic University Hung Hom, Hong Kong FM June 28, 2007 8: 15 spi-b483 Advances in Quantitative Analysis of Finance. .. Let [αu , βu ] be the smallest closed interval containing all solutions of f u ( u ) = 0 and also uu and ud Similarly, let [αd , βd ] be the smallest closed interval containing all solutions of f d ( d ) = 0 and also ud and dd June 27, 2007 1:24 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 8 Guan-Yu Chen et al be the rectangle in the ( Let u, = {( d) u, d )-plane :... 50 1 West Durango Blvd San Antonio, Texas 78207, USA Tel.: 210- 458 - 250 3 Fax: 210- 458 - 251 5 Email: yiuman.tse@utsa.edu Chapter 7 Le(Emily) Xu Whittmore School of Business and Economics University of New Hampshire Durham, NH 03824, USA Tel.: (603) 862-3318 Fax: (603) 862-3383 Email: emily.xu@unh.edu FM June 28, 2007 8: 15 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 List of. .. signs of au and ad , the one-period claim ch01 June 27, 2007 1:24 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 16 Guan-Yu Chen et al ˜ {( uu , Buu /R), ( d , bd ( d )/R)} is in Case 4 for d in (δ, ∞) and in Case 5 ˜], where we take c = γ if R(1 + λ) < u(1 − µ) and c = uu if for d in (c, δ R(1+λ) = u(1−µ) We also note that f d ( d ) < 0 in (γ , ∞) and f d ( d ) > 0 in (... spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 The Least Cost Superreplicating Portfolio 3 two-period contingent claim In Section 4, we show that for a special class of claims including short call and put options there are just four possibilities so that the least cost superreplicating portfolios can be easily calculated for such positions In Section 5, we show that, in general,... a contingent claim and no superreplicating portfolio costs less than the replicating portfolio Clearly long positions in calls and puts satisfy these conditions in Theorem 2 However, short positions in calls and puts do not satisfy these conditions ch01 June 27, 2007 1:24 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 ch01 The Least Cost Superreplicating Portfolio 5 Consider... kumarp@unbc.ca Chapter 9 Bradley T Ewing Rawls College of Business Texas Tech University Lubbock, TX 79409-2101, USA Tel.: (806)742-3939 Email: bewing@ba.ttu.edu Jamie Brown Kruse Department of Economics East Carolina University Greenville, NC 27 858 , USA Tel.: ( 252 ) 328-41 65 FM June 28, 2007 8: 15 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 xiv List of Contributors Chapter 10 Charmen . 9HE Printed in Singapore. ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING Advances in Quantitative Analysis of Finance and Accounting — Vol. 5 June. 8: 15 spi-b483 Advances in Quantitative Analysis of Finance and Accounting: Vol .5 FM Preface Advances in Quantitative Analysis of Finance and Accounting