The pricing of options and corporate liabilities

Cited by (1,009)

Items 301–400 of 1,009

1. Role of Managerial Incentives and Discretion in Hedge Fund Performance
   AGARWAL, VIKAS, DANIEL, NAVEEN D., NAIK, NARAYAN Y. · 2009 · The Journal of Finance
2. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
   Peter Carr, Robert A. Jarrow, Ravi Myneni · 1992 · Mathematical Finance
3. The quality of market volatility forecasts implied by S&P 100 index option prices
   Jeff Fleming · 1998 · Journal of Empirical Finance
4. Incentives, Learning, and Compensation: A Theoretical and Empirical Investigation of Managerial Labor Contracts
   Kevin J. Murphy · 1986 · The RAND Journal of Economics
5. Gain, Loss, and Asset Pricing
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6. Director Reputation, CEO-Board Power, and the Dynamics of Board Interlocks
   Edward J. Zajac, James D. Westphal · 1996 · Administrative Science Quarterly
7. Recent developments in consumer credit risk assessment
   Jonathan N Crook, David B. Edelman, Lyn C. Thomas · 2007 · European Journal of Operational Research
8. Is Economics Performative? Option Theory and the Construction of Derivatives Markets
   Donald A. MacKenzie · 2006 · Journal of the History of Economic Thought
9. CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION
   Michael John Brennan, E. S. Schwartz · 1977 · The Journal of Finance
10. European Option Pricing with Transaction Costs
    Mark H. Davis, Vassilios Gerassimos Panas, Thaleia Zariphopoulou · 1993 · SIAM Journal on Control and Optimization
11. Option pricing
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12. Quantum Generative Adversarial Networks for learning and loading random distributions
    Zoufal, Christa, Lucchi, Aurélien, Woerner, Stefan · 2019 · npj Quantum Information
13. Capital Market Equilibrium with Personal Tax
    George M. Constantinides · 1983 · Econometrica
14. Two-State Option Pricing
    Richard J. Rendleman, Brit Jeffrey Bartter · 1979 · The Journal of Finance
15. Pricing the risks of default
    Dilip B. Madan, Haluk Ünal · 1998 · Review of Derivatives Research
16. Valuing Operational Flexibility Under Exchange Rate Risk
    Arnd Huchzermeier, Morris A. Cohen · 1996 · Operations Research
17. Quality Awards and the Market Value of the Firm: An Empirical Investigation
    Kevin B. Hendricks, Vinod R. Singhal · 1996 · Management Science
18. Options, Short Sales, and Market Completeness
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19. CEOs' Outside Employment Opportunities and the Lack of Relative Performance Evaluation in Compensation Contracts
    Shivaram Rajgopal, Terry J. Shevlin, Valentina L. Zamora · 2006 · The Journal of Finance
20. Valuing Corporate Securities: Some Effects of Bond Indenture Provisions
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21. Contagion and Bank Failures During the Great Depression: The June 1932 Chicago Banking Panic
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22. Motivated to Acquire? The Impact of CEO Regulatory Focus on Firm Acquisitions
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23. Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
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24. Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables
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25. Financial statement comparability and expected crash risk
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26. Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure
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27. CEO TENURE AS A DETERMINANT OF CEO PAY.
    Charles W. L. Hill, Phillip Phan · 1991 · Academy of Management Journal
28. Seeking safety: The relation between CEO inside debt holdings and the riskiness of firm investment and financial policies
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29. New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
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30. The Efficiency of Equity-Linked Compensation: Understanding the Full Cost of Awarding Executive Stock Options
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31. On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
    Long Chen, Pierre Collin‐Dufresne, Robert S. Goldstein · 2008 · Review of Financial Studies
32. An Empirical Examination of the Black-Scholes Call Option Pricing Model
    James D. MacBeth, Larry J. Merville · 1979 · The Journal of Finance
33. Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
    Jens A. Stephan, Robert E. Whaley · 1990 · The Journal of Finance
34. Executive Compensation and the Maturity Structure of Corporate Debt
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35. Fractional market dynamics
    Nick Laskin · 2000 · Physica A Statistical Mechanics and its Applications
36. The exercise and valuation of executive stock options
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37. Dynamics of implied volatility surfaces
    Rama Cont A, José Da Fonseca · 2002 · Quantitative Finance
38. Relationships Between Implied Volatility Indexes and Stock Index Returns
    Pierre Giot · 2005 · The Journal of Portfolio Management
39. Does Idiosyncratic Risk Really Matter?
    Turan G. Bali, Nusret Cakici, Xuemin Sterling Yan, Zhe Zhang · 2005 · The Journal of Finance
40. Investor Reaction to Salient News in Closed‐End Country Funds
    Peter Klibanoff, Owen A Lamont, Thierry A. Wizman · 1998 · The Journal of Finance
41. Corporate Governance, Takeovers, and Top-Management Compensation: Theory and Evidence
    R. Cyert, Sok-Hyon Kang, Praveen Kumar · 2002 · Management Sciences
42. Efficient Financing Under Asymmetric Information
    Michael John Brennan, Alan Kraus · 1987 · The Journal of Finance
43. Investment opportunities and the structure of executive compensation
    William R. Baber, Surya N. Janakiraman, Sok‐Hyon Kang · 1996 · Journal of Accounting and Economics
44. Multifractal analysis of financial markets: a review
    Zhi-qiang Jiang A, Wen-Jie Xie, Wei‐Xing Zhou, Didier Sornette · 2019 · Reports on Progress in Physics
45. Variational inequalities and the pricing of American options
    Patrick Jaillet, Damien Lamberton, Bernard Lapeyre · 1990 · Acta Applicandae Mathematicae
46. Direct observation of the full transition from ballistic to diffusive Brownian motion in a liquid
    Rongxin Huang, Isaac Chavez, Katja M. Taute, Branimir Lukić, Sylvia Jeney, Mark G. Raizen, Ernst‐Ludwig Florin · 2011 · Nature Physics
47. Trading costs and the relative rates of price discovery in stock, futures, and option markets
    Jeff Fleming, Barbara Ostdiek, Robert E. Whaley · 1996 · Journal of Futures Markets
48. The Price of Correlation Risk: Evidence from Equity Options
    Joost Driessen, Pascal J. Maenhout, Grigory Vilkov · 2009 · The Journal of Finance
49. Risk-Neutral Skewness: Evidence from Stock Options
    Patrick J. Dennis, Stewart Mayhew · 2002 · Journal of Financial and Quantitative Analysis
50. Option pricing and Esscher transform under regime switching
    Robert James Elliott, Leunglung Chan, Tak Kuen Siu · 2005 · Annals of Finance
51. Resolving the Agency Problems of External Capital through Options
    Robert A. Haugen, Lemma W. Senbet · 1981 · The Journal of Finance
52. Does Enterprise Risk Management Increase Firm Value?
    Michael K. McShane, Anil Nair, Elzotbek Rustambekov · 2011 · Journal of Accounting Auditing & Finance
53. Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets
    John H. Cochrane, Jesús Saá-Requejo · 2000 · Journal of Political Economy
54. A framework for the unification of the behavioral sciences
    H. Gintis, G. Ainslie, Larry Arnhart, R. Bentley, R. Brown, Stephanie L. Brown, R. L. Burgess, P. Molenaar, S. Clarke, A. Colman et al. · 2007 · Behavioral and Brain Sciences
55. Cross-section of option returns and volatility☆
    Amit Goyal, Alessio Saretto B · 2009 · Journal of Financial Economics
56. The Credit Crisis as a Problem in the Sociology of Knowledge
    Donald A. MacKenzie · 2011 · American Journal of Sociology
57. Measuring Default Risk Premia from Default Swap Rates and EDFs
    Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson, David Schranz · 2007 · SSRN Electronic Journal
58. The Endogeneity of Managerial Compensation in Firm Valuation: A Solution
    Darius N. Palia · 2001 · Review of Financial Studies
59. Economic Catastrophe Bonds
    Joshua D. Coval, Jakub W. Jurek, Erik Stafford · 2008 · American Economic Review
60. Financial Rogue Waves
    Zhen-Ya Yan · 2010 · Communications in Theoretical Physics
61. Option Prices as Predictors of Equilibrium Stock Prices
    Steven Manaster, Richard J. Rendleman · 1982 · The Journal of Finance
62. Corporate pension funding policy
    William F. Sharpe · 1976 · Journal of Financial Economics
63. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
    Michael John Brennan, Eduardo S. Schwartz · 1978 · Journal of Financial and Quantitative Analysis
64. How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
    Pavel G. Savor, Mungo Ivor Wilson · 2013 · Journal of Financial and Quantitative Analysis
65. The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
    Daniel O. Cajueiro, Benjamin Miranda Tabak · 2004 · Physica A Statistical Mechanics and its Applications
66. Option Pricing With V. G. Martingale Components1
    Dilip B. Madan, Frank Milne · 1991 · Mathematical Finance
67. CEO Stock‐Based Compensation: An Empirical Analysis of Incentive‐Intensity, Relative Mix, and Economic Determinants
    Stephen H. Bryan, Lee‐Seok Hwang, Steven B. Lilien · 2000 · The Journal of Business
68. The impact of derivatives on firm risk: An empirical examination of new derivative users
    Wayne R. Guay · 1999 · Journal of Accounting and Economics
69. On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
    Clifford A. Ball, Walter N. Torous · 1985 · The Journal of Finance
70. Quantum Computing for Finance: State-of-the-Art and Future Prospects
    Daniel J. Egger, Claudio Gambella, Jakub Marecek, Scott McFaddin, Martin Mevissen, Rudy Raymond, Andrea Simonetto, Stefan Woerner, Elena Yndurain · 2020 · IEEE Transactions on Quantum Engineering
71. Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
    George M. Constantinides · 1983 · National Bureau of Economic Research
72. Volatility Spreads and Expected Stock Returns
    Turan G. Bali, Armen Hovakimian · 2009 · Management Science
73. Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model
    In Joon Kim, Krishna A Ramaswamy, Suresh M. Sundaresan · 1993 · Financial Management
74. Board vigilance, director experience, and corporate outcomes
    Mark J. Kroll, Bruce Alan Walters, Peter Wright · 2008 · Strategic Management Journal
75. Options on the Maximum or the Minimum of Several Assets
    Herb Johnson · 1987 · Journal of Financial and Quantitative Analysis
76. Randomization and the American Put
    Peter Carr · 1998 · Review of Financial Studies
77. Weather Forecasting for Weather Derivatives
    Sean D. Campbell, Francis X. Diebold · 2005 · Journal of the American Statistical Association
78. Predicting corporate bankruptcy: where we stand?
    Muhammad A. Aziz, Humayon A. Dar · 2006 · Corporate Governance
79. An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
    Bernard Dumas, Elisa Luciano · 1991 · The Journal of Finance
80. Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
    Joseph S. Chen, Harrison G. Hong, Jeremy C. Stein · 2000 · SSRN Electronic Journal
81. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
    Anders Grosen, Peter Løchte Jørgensen · 2000 · Insurance Mathematics and Economics
82. The concept of comonotonicity in actuarial science and finance: applications
    Jan Dhaene, Michel M. Denuit, Marc J. Goovaerts, Rob Kaas, David Vyncke · 2002 · Insurance Mathematics and Economics
83. Discounting the distant future: how much do uncertain rates increase valuations?
    Richard G. Newell, William A. Pizer · 2003 · Journal of Environmental Economics and Management
84. On the Cost of Deposit Insurance When There Are Surveillance Costs
    Robert C. Merton · 1978 · The Journal of Business
85. Stockholder-bondholder conflict and dividend constraints
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86. The importance of the loss function in option valuation
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87. Adverse selection and the rights offer paradox
    B. Espen Eckbo, Ronald W. Masulis · 1992 · Journal of Financial Economics
88. General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
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89. The Executive Turnover Risk Premium
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90. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
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91. Who Should Buy Portfolio Insurance?
    Hayne E. Leland · 1980 · The Journal of Finance
92. MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
    Jin‐Chuan Duan · 1994 · Mathematical Finance
93. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
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94. Cash Holdings and Credit Risk
    Viral V. Acharya, SERGEI A. DAVYDENKO, Ilya A. Strebulaev · 2012 · Review of Financial Studies
95. How Are the Mighty Fallen: Rejected Classic Articles by Leading Economists
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96. Mixed Fractional Brownian Motion
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97. Explicit Solution of a General Consumption/Investment Problem
    Ioannis Karatzas, John P. Lehoczky, SURESH P. SETHI, Steven E. Shreve · 1986 · Mathematics of Operations Research
98. The Persistence of Volatility and Stock Market Fluctuations
    James M. Poterba, Lawrence H. Summers · 1984 · National Bureau of Economic Research
99. Investor Sentiment and Option Prices
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100. Defections from the Inner Circle: Social Exchange, Reciprocity, and the Diffusion of Board Independence in U.S. Corporations
     James D. Westphal, Edward J. Zajac · 1997 · Administrative Science Quarterly