Peter Ritchken
Affiliations: | Case Western Reserve University, Cleveland Heights, OH, United States |
Area:
Operations Research, FinanceGoogle:
"Peter Ritchken"Children
Sign in to add trainee| Viswanath Cvsa | grad student | 2000 | Case Western |
| Junze Lin | grad student | 2001 | Case Western |
| Volodymyr O. Babich | grad student | 2003 | Case Western |
| Danko Turcic | grad student | 2008 | Case Western |
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Publications
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| Lin J, Ritchken P. (2006) On Pricing Derivatives in the Presence of Auxiliary State Variables Journal of Derivatives. 14: 29-46 |
| Hsieh KC, Ritchken P. (2006) An empirical comparison of GARCH option pricing models Review of Derivatives Research. 8: 129-150 |
| Burnetas A, Ritchken P. (2005) Option Pricing with Downward-Sloping Demand Curves: The Case of Supply Chain Options Management Science. 51: 566-580 |
| Duan J, Popova I, Ritchken P. (2002) Option pricing under regime switching Quantitative Finance. 2: 116-132 |
| Cvsa V, Ritchken P. (2001) Pricing Claims Under GARCH-Level Dependent Interest Rate Processes Management Science. 47: 1693-1711 |
| Ritchken P, Trevor R. (1999) Pricing Options under Generalized GARCH and Stochastic Volatility Processes Journal of Finance. 54: 377-402 |
| Mathur K, Ritchken P. (1999) Minimum option prices under decreasing absolute risk aversion Review of Derivatives Research. 3: 135-156 |
| Popova I, Ritchken P. (1998) On Bounding Option Prices in Paretian Stable Markets Journal of Derivatives. 5: 32-43 |
| Ritchken P, Sankarasubramanian L. (1996) Bond Price Representations and the Volatility of Spot Interest Rates Review of Quantitative Finance and Accounting. 7: 279-288 |
| Ritchken P, Sankarasubramanian L. (1995) A Multifactor Model of the Quality Option in Treasury Futures Contracts Journal of Financial Research. 18: 261-279 |