The Pricing of Options and Corporate Liabilities

Cited by (1,009)

Items 501–600 of 1,009

1. Bankruptcy Law and Entrepreneurship Development: A Real Options Perspective
   Seung‐Hyun Lee, Mike W. Peng, Jay Bryan Barney · 2007 · Academy of Management Review
2. The effect of own-firm and other-firm experience on foreign direct investment survival in the United States, 1987-92
   J. Myles Shaver, Will Mitchell, Bernard Yin Yeung · 1997 · Strategic Management Journal
3. Valuation of GNMA Mortgage-Backed Securities
   Kenneth B. Dunn, John J. McConnell · 1981 · The Journal of Finance
4. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
   Pedro Santa-clara B, Shu Yan · 2010 · The Review of Economics and Statistics
5. Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes
   Jing-Zhi Jay Huang, Liuren Wu · 2004 · The Journal of Finance
6. Jump Diffusion Option Valuation in Discrete Time
   Kaushik I. Amin · 1993 · The Journal of Finance
7. Optimal Portfolio Choice and the Valuation of Illiquid Securities
   Francis A. Longstaff · 2001 · Review of Financial Studies
8. Crash-neutral currency carry trades
   Jakub W. Jurek · 2014 · Journal of Financial Economics
9. Valuation of American call options on dividend-paying stocks
   Robert E. Whaley · 1982 · Journal of Financial Economics
10. Risk Management, Real Options, Corporate Social Responsibility
    Bryan W. Husted · 2005 · Journal of Business Ethics
11. HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
    Jakša Cvitanić, Ioannis Karatzas · 1996 · Mathematical Finance
12. SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
    Charles J. Corrado, Tie Su · 1996 · The Journal of Financial Research
13. Justifying Investments in New Information Technologies
    Brian L. Dos Santos · 1991 · Journal of Management Information Systems
14. Quantifying Credit Risk I: Default Prediction
    Stephen Kealhofer · 2003 · Financial Analysts Journal
15. How much of the diversification discount can be explained by poor corporate governance?
    Daniel Hoechle, Markus Schmid, Ingo Walter, David Yermack · 2011 · Journal of Financial Economics
16. Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets
    Robin J. Brenner, Kenneth F. Kroner · 1995 · Journal of Financial and Quantitative Analysis
17. An Equation and its Worlds
    Donald A. MacKenzie · 2003 · Social Studies of Science
18. Executive Compensation and Business Policy Choices at U.S. Commercial Banks
    Robert E. DeYoung, Emma Yan Peng, Meng Yan · 2013 · Journal of Financial and Quantitative Analysis
19. An Analysis of Default Correlations and Multiple Defaults
    Chunsheng Zhou · 2001 · Review of Financial Studies
20. Investment risks under uncertain climate change policy
    William Blyth, Richard A. Bradley, Derek W. Bunn, Charlie Clarke, Tom Wilson, Ming Yang · 2007 · Energy Policy
21. Taxation and Corporate Financial Policy
    Doug Bernheim, John Graham, Jim Hines, Vesa Kanniainen, Hans-werner Sinn, Alan J. Auerbach, Alan J. Auerbach · 2001
22. Dynamic derivative strategies
    Jun Liu, Jun Pan · 2003 · Journal of Financial Economics
23. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
    Peter Christoffersen, Kris Jacobs, Karim Mimouni · 2010 · Review of Financial Studies
24. Options Analysis of Software Platform Decisions: A Case Study1
    Alfred Taudes, Markus Feurstein, Andreas Mild · 2000 · MIS Quarterly
25. Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
    Yongmiao Hong, Haitao Li · 2004 · Review of Financial Studies
26. Corporate bond default risk: A 150-year perspective
    Kay Giesecke, Francis A. Longstaff, Stephen M. Schaefer, Ilya A. Strebulaev · 2011 · Journal of Financial Economics
27. Risk measures and comonotonicity
    Jan Dhaene · 2006 · VUBIR (Vrije Universiteit Brussel)
28. Price versus Non-Price Performance Measures in Optimal CEO Compensation Contracts
    John E. Core, Wayne R. Guay, Robert E. Verrecchia · 2003 · The Accounting Review
29. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
    Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen · 2010 · Journal of Econometrics
30. Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
    Peter Christoffersen, Steven L. Heston, Kris Jacobs · 2013 · Review of Financial Studies
31. Further Results on the Constant Elasticity of Variance Call Option Pricing Model
    David C. Emanuel, James D. MacBeth · 1982 · Journal of Financial and Quantitative Analysis
32. Managerial Ownership and Agency Conflicts: A Nonlinear Simultaneous Equation Analysis of Managerial Ownership, Risk Taking, Debt Policy, and Dividend Policy
    Carl R. Chen, Thomas L. Steiner · 1999 · Financial Review
33. Optimal stock trading with personal taxes
    George M. Constantinides · 1984 · Journal of Financial Economics
34. Accounting as simulacrum and hyperreality: perspectives on income and capital
    Norman B. Macintosh, Teri L. Shearer, Daniel B. Thornton, Michael Welker · 2000 · Accounting Organizations and Society
35. Incorporating Second-Order Functional Knowledge for Better Option Pricing
    Charles Dugas, Yoshua Bengio, François Bélisle, Claude Nadeau, René García · 2000 · neural information processing systems
36. Option valuation with long-run and short-run volatility components☆
    Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, Y WANG · 2008 · Journal of Financial Economics
37. The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables
    Robert G. Bowman · 1979 · The Journal of Finance
38. Long-Term Capital Management and the sociology of arbitrage
    Donald A. MacKenzie · 2003 · Economy and Society
39. A Theory of Debt Maturity: The Long and Short of Debt Overhang
    Douglas W. Diamond, Zhiguo He · 2013 · The Journal of Finance
40. An empirical examination of the role of the CEO and the compensation committee in structuring executive pay
    Ronald C. Anderson, John M. Bizjak · 2003 · Journal of Banking & Finance
41. Climate‐related risks in financial assets
    Emanuele Campiglio, Louis Daumas, Pierre Monnin, Adrian von Jagow · 2022 · Journal of Economic Surveys
42. Toward uncertain finance theory
    Baoding Liu · 2013 · Journal of Uncertainty Analysis and Applications
43. Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension
    Baruch Itamar Lev, James A. Ohlson · 1982 · Journal of Accounting Research
44. Measuring the Agency Cost of Debt
    António S. Mello, John E. Parsons · 1992 · The Journal of Finance
45. Valuing Risky Fixed Rate Debt: An Extension
    Éric Briys, François de Varenne · 1997 · Journal of Financial and Quantitative Analysis
46. Are U.S. CEOs Paid More? New International Evidence
    Fernandes, Nuno, Ferreira, Miguel A., Matos, Pedro, Murphy, Kevin J. · 2013 · Review of Financial Studies
47. Pricing and hedging in incomplete markets
    Peter Carr, Hélyette Geman, Dilip B. Madan · 2001 · Journal of Financial Economics
48. Credit spread interdependencies of European states and banks during the financial crisis
    Adrian Alter, Yves Stephan Schüler · 2012 · Journal of Banking & Finance
49. Agency Theory Revisited: CEO Return and Shareholder Interest Alignment
    Anthony J. Nyberg, Ingrid Smithey Fulmer, Barry A. Gerhart, Mason A. Carpenter · 2010 · Academy of Management Journal
50. Price discovery in the German equity index derivatives markets
    G. Geoffrey Booth, Raymond W. So, Yiuman Tse · 1999 · Journal of Futures Markets
51. Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
    Mark Podolskij, Mathias Vetter · 2009 · Bernoulli
52. Quantum risk analysis
    Stefan Woerner, Daniel J. Egger · 2019 · npj Quantum Information
53. Market volatility prediction and the efficiency of the S & P 100 index option market
    Campbell R. Harvey, Robert E. Whaley · 1992 · Journal of Financial Economics
54. Bank Capital and Portfolio Management: The 1930s “Capital Crunch” and the Scramble to Shed Risk
    Charles W. Calomiris, Berry Wilson · 2004 · The Journal of Business
55. What Type of Process Underlies Options? A Simple Robust Test
    Peter Carr, Liuren Wu · 2003 · The Journal of Finance
56. Quant GANs: deep generation of financial time series
    Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer · 2020 · Quantitative Finance
57. Knowledge Management in the Learning Society
    OECD · 2000 · OECD eBooks
58. Weather Derivatives for Specific Event Risks in Agriculture
    Calum Greig Turvey · 2001 · Review of Agricultural Economics
59. Vice or Virtue? The Impact of Corporate Social Responsibility on Executive Compensation
    Ye Cai, Hoje Jo, Carrie H. Pan · 2011 · Journal of Business Ethics
60. Pricing and Hedging American Options: A Recursive Integration Method
    Jing-Zhi Jay Huang, Marti G. Subrahmanyam, Guo-Xiang Yu · 1996 · Review of Financial Studies
61. Optimal Asset Allocation and Risk Shifting in Money Management
    Suleyman Basak, Anna Pavlova, Alex Shapiro · 2007 · Review of Financial Studies
62. Two Pillars of Asset Pricing
    Eugene F. Fama · 2014 · American Economic Review
63. Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage
    Jeong‐Bon Kim, Louise Yi Lu, Yangxin Yu · 2018 · The Accounting Review
64. The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
    Stephen J. Brown, Philip H. Dybvig · 1986 · The Journal of Finance
65. The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics
    Donald Mackenzie · 2004 · Economy and Society
66. Penalty methods for American options with stochastic volatility
    R. Zvan, Peter Forsyth, K.R. Vetzal · 1998 · Journal of Computational and Applied Mathematics
67. Which GARCH Model for Option Valuation?
    Peter Christoffersen, Kris Jacobs · 2004 · Management Science
68. A barrier option framework for corporate security valuation
    Paul Brockman, Harry J. Turtle · 2003 · Journal of Financial Economics
69. Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model
    Marc Chesney, Louis O. Scott · 1989 · Journal of Financial and Quantitative Analysis
70. On the theory of option pricing
    Alain Bensoussan · 1984 · Acta Applicandae Mathematicae
71. Is There an Intertemporal Relation between Downside Risk and Expected Returns?
    Turan G. Bali, K. Özgür Demirtaş, Haim Levy · 2009 · Journal of Financial and Quantitative Analysis
72. Static Hedging of Exotic Options
    Peter Carr, Katrina Ellis, Vishal Gupta · 1998 · The Journal of Finance
73. There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs
    Halil Mete Soner, Steven E. Shreve, Jakša Cvitanić · 1995 · The Annals of Applied Probability
74. The Leverage Ratchet Effect
    Anat R. Admati, Peter M. DeMarzo, Martin Hellwig, Paul Pfleiderer · 2017 · The Journal of Finance
75. Do CEO Stock Options Prevent or Promote Fraudulent Financial Reporting?
    Joseph Paul O'Connor, Richard L. Priem, Joseph E. Coombs, K. Matthew Gilley · 2006 · Academy of Management Journal
76. Spectral GMM estimation of continuous-time processes
    George Chacko, Luis M. Viceira · 2003 · Journal of Econometrics
77. Optimization Problems in the Theory of Continuous Trading
    Ioannis Karatzas · 1989 · SIAM Journal on Control and Optimization
78. Forecasting oil price realized volatility using information channels from other asset classes
    Stavros Antonios Degiannakis, George N. Filis · 2017 · Journal of International Money and Finance
79. Multinomial Approximating Models for Options with k State Variables
    Bardia Kamrad, Peter H. Ritchken · 1991 · Management Science
80. Complete Models with Stochastic Volatility
    David G. Hobson, L. C. G. Rogers · 1998 · Mathematical Finance
81. The Valuation of Uncertain Income Streams and the Pricing of Options
    Mark Rubinstein · 2010 · Springer eBooks
82. The Economic Crisis is a Crisis for Economic Theory
    Alan P Kirman · 2010 · CESifo Economic Studies
83. Physics and financial economics (1776–2014): puzzles, Ising and agent-based models
    Didier Sornette · 2014 · Reports on Progress in Physics
84. Option valuation with conditional skewness
    Peter Christoffersen, Steve Heston, Kris Jacobs · 2005 · Journal of Econometrics
85. Towards a Property Rights Foundation for a Stakeholder Theory of the Firm
    Cheryl Carleton, James M. Mahoney, Joseph T. Mahoney · 2005 · Journal of Management & Governance
86. Path Dependent Options: The Case of Lookback Options
    Antoine Conze, Venkatraman Viswanathan · 1991 · The Journal of Finance
87. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
    Ernst Eberlein, Karsten Prause · 2002 · Springer finance
88. The Constant Elasticity of Variance Model and Its Implications For Option Pricing
    Stan Beckers · 1980 · The Journal of Finance
89. A Simplified Jump Process for Common Stock Returns
    Clifford A. Ball, Walter N. Torous · 1983 · Journal of Financial and Quantitative Analysis
90. Optimal Capital Structure and Industry Dynamics
    Jianjun Miao · 2005 · The Journal of Finance
91. Real Options as Engines of Choice and Heterogeneity
    Rita Gunther McGrath, Walter J. Ferrier, Aubrey L. Mendelow · 2004 · Academy of Management Review
92. Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)
    Hayne E. Leland · 1999 · Financial Analysts Journal
93. Default Risk, Shareholder Advantage, and Stock Returns
    Lorenzo Garlappi, Tao Shu, Hong Yan · 2006 · Review of Financial Studies
94. Option Pricing Formulas Based on a Non-Gaussian Stock Price Model
    Lisa Borland · 2002 · Physical Review Letters
95. The pricing of call and put options on foreign exchange
    J. Orlin Grabbe · 1983 · Journal of International Money and Finance
96. THE CASE FOR CONVERTIBLES*
    Michael John Brennan, Eduardo S. Schwartz · 1988 · Journal of applied corporate finance
97. Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
    Michael W. Brandt, Pedro Santa-clara B · 2002 · Journal of Financial Economics
98. Option Pricing using Quantum Computers
    Nikitas Stamatopoulos, Daniel J. Egger, Yue Sun, Christa Zoufal, Raban Iten, Ning Shen, Stefan Woerner · 2020 · Quantum
99. Pricing default swaps: Empirical evidence
    Patrick Houweling, Ton Vorst · 2005 · Journal of International Money and Finance
100. Stock Options as Lotteries
     Brian H. Boyer, Keith Vorkink · 2014 · The Journal of Finance