The pricing of options and corporate liabilities

Cited by (1,009)

Items 601–700 of 1,009

1. A GARCH Option Pricing Model with Filtered Historical Simulation
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2. An introduction to numerical methods for stochastic differential equations
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3. Information and option pricings
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4. 13 Financial applications of stable distributions
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5. Nonparametric Risk Management and Implied Risk Aversion
   Yacine Aı̈t-Sahalia, Andrew W. Lo · 2000 · National Bureau of Economic Research
6. Pricing Black-Scholes options with correlated credit risk
   Peter G. Klein · 1996 · Journal of Banking & Finance
7. Overreactions in the Options Market
   Jeremy C. Stein · 1989 · The Journal of Finance
8. Investment guarantees : modeling and risk management for equity-linked life insurance
   Mary R. Hardy · 2003 · Thammasat University Digital Collections
9. The Valuation of Sequential Exchange Opportunities
   Peter Carr · 1988 · The Journal of Finance
10. 20 Testing option pricing models
    David S. Bates · 1995 · Handbook of statistics
11. Approximation pricing and the variance-optimal martingale measure
    Martin Schweizer · 1996 · The Annals of Probability
12. Pricing Options With Curved Boundaries 1
    Naoto Kunitomo, Masayuki Ikeda · 1992 · Mathematical Finance
13. On the valuation of American call options on stocks with known dividends
    Robert E. Whaley · 1981 · Journal of Financial Economics
14. Quantum computational finance: Monte Carlo pricing of financial derivatives
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15. Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
    Robert C. Merton, Paul Anthony Samuelson · 1974 · Journal of Financial Economics
16. On the pricing of contingent claims and the Modigliani-Miller theorem
    Robert C. Merton · 1977 · Journal of Financial Economics
17. Optimal bond trading with personal taxes
    George M. Constantinides, Jonathan E. Ingersoll · 1984 · Journal of Financial Economics
18. Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution
    Moshe A. Milevsky, Steven Eli Posner · 1998 · Journal of Financial and Quantitative Analysis
19. That’s Relevant! Different Forms of Practical Relevance in Management Science
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20. Dynamic Models and Structural Estimation in Corporate Finance
    Ilya A. Strebulaev, Toni M. Whited · 2012 · Foundations and Trends® in Finance
21. OWNERSHIP, CONTROL, FINANCIAL STRUCTURE AND THE PERFORMANCE OF FIRMS
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22. On the Integration of Production and Financial Hedging Decisions in Global Markets
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23. The intertemporal capital asset pricing model with dynamic conditional correlations
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24. Credit Risk Assessment Using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications
    J. Galindo, Pablo Tamayo · 2000 · Computational Economics
25. Some Empirical Estimates of the Risk Structure of Interest Rates
    Oded H. Sarig, Arthur Warga · 1989 · The Journal of Finance
26. Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
    Elisa Nicolato, Emmanouil Venardos · 2003 · Mathematical Finance
27. A Universal Framework for Pricing Financial and Insurance Risks
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28. Functional Itô calculus
    Bruno Dupire · 2019 · Quantitative Finance
29. Mean-Variance Theory in Complete Markets
    Philip H. Dybvig, Jonathan E. Ingersoll · 1982 · The Journal of Business
30. Sharing the wealth: social comparisons and pay dispersion in the CEO's top team
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31. Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
    Emanuel Derman, Iraj Kani · 1998 · International Journal of Theoretical and Applied Finance
32. Ceos On the Edge: Earnings Manipulation and Stock-Based Incentive Misalignment
    Xiaomeng Zhang, Kathryn M. Bartol, Ken G. Smith, Michael D. Pfarrer, Dmitry Mikhail Khanin · 2008 · Academy of Management Journal
33. Brownian Excursions and Parisian Barrier Options
    Marc Chesney, Monique Jeanblanc, Marc Yor · 1997 · Advances in Applied Probability
34. The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices
    James M. Patell, Mark A. Wolfson · 1981 · Journal of Accounting Research
35. Macroprudential capital requirements and systemic risk
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36. Accounting Scholarship that Advances Professional Knowledge and Practice
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37. Getting Them to Think Outside the Circle: Corporate Governance, Ceos' External Advice Networks, and Firm Performance
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38. On History of Mathematical Economics: Application of Fractional Calculus
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39. Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*
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40. The valuation of warrants: Implementing a new approach
    Eduardo S. Schwartz · 1977 · Journal of Financial Economics
41. AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES
    Jonathan E. Ingersoll · 1977 · The Journal of Finance
42. Equilibrium Prices of Guarantees under Equity-Linked Contracts
    Phelim P. Boyle, Eduardo S. Schwartz · 1977 · Journal of Risk & Insurance
43. Exotic electricity options and the valuation of electricity generation and transmission assets
    Shi-Jie Deng, Blake E. Johnson, Aram Sogomonian · 2001 · Decision Support Systems
44. Wealth redistributions or changes in firm value
    George Handjinicolaou, Avner Kalay · 1984 · Journal of Financial Economics
45. The Bond Market's q *
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46. Far Field Boundary Conditions for Black--Scholes Equations
    Raul Kangro, R. A. Nicolaides · 2000 · SIAM Journal on Numerical Analysis
47. Financial valuation of guaranteed minimum withdrawal benefits
    Moshe A. Milevsky, Thomas S. Salisbury · 2005 · Insurance Mathematics and Economics
48. Integrating Long- and Short-Term Contracting via Business-to-Business Exchanges for Capital-Intensive Industries
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49. Evaluating Software Architectures
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50. Inventory, Risk Shifting, and Trade Credit
    Jiri Chod · 2016 · Management Science
51. Market valuation of employee stock options
    David Aboody · 1996 · Journal of Accounting and Economics
52. Corporate Governance and Firm Diversification
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53. On the Heston Model with Stochastic Interest Rates
    Lech Aleksander Grzelak, Cornelis W. Oosterlee · 2011 · SIAM Journal on Financial Mathematics
54. Scaling and memory in volatility return intervals in financial markets
    Kazuko Yamasaki E, Lev Muchnik, Shlomo Havlin, Armin Bunde A, Eugene Stanley · 2005 · Proceedings of the National Academy of Sciences
55. Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates
    Kristian Risgaard Miltersen, Eduardo S. Schwartz · 1998 · Journal of Financial and Quantitative Analysis
56. Using Binomial Decision Trees to Solve Real-Option Valuation Problems
    Luiz Eduardo Teixeira Brandão, James S. Dyer, Warren J. Hahn · 2005 · Decision Analysis
57. Displaced Diffusion Option Pricing
    MARK RUBINSTEIN · 1983 · The Journal of Finance
58. Determinants of corporate dividend policy in emerging markets: Evidence from MENA stock markets
    Imad Jabbouri · 2016 · Research in International Business and Finance
59. Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt
    Sheridan D. Titman, Walter N. Torous · 1989 · The Journal of Finance
60. Structural versus Reduced‐Form Models: A New Information‐Based Perspective
    Robert A. Jarrow, Philip E. Protter · 2012
61. Incentives, downsizing, and value creation at general dynamics,
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62. Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market
    Phil Dybvig · 1988 · Review of Financial Studies
63. The Relationship between Family Firms and Corporate Governance*
    Simon Bartholomeusz, George Tanewski · 2006 · Journal of Small Business Management
64. Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
    James E. Smith, Kevin F. McCardle · 1999 · Operations Research
65. Option-Implied Risk-Neutral Distributions and Implied Binomial Trees
    Jens Carsten Jackwerth · 1999 · The Journal of Derivatives
66. Incentives, Targeting, and Firm Performance: An Analysis of Non-executive Stock Options
    Yael V. Hochberg, Laura Anne Lindsey · 2010 · Review of Financial Studies
67. Option Market Activity
    Josef Lakonishok, Inmoo Lee, Neil D. Pearson, Allen M. Poteshman · 2006 · Review of Financial Studies
68. Determinants and consequences of financial distress: review of the empirical literature
    Ahsan Habib, Mabel D. Costa, Hedy Jiaying Huang, Md. Borhan Uddin Bhuiyan, Li Sun · 2018 · Accounting and Finance
69. Why do CEOs reciprocally sit on each other's boards?
    Eliezer M. Fich, Lawrence J. White · 2003 · Journal of Corporate Finance
70. Prices for State-Contingent Claims: Some Estimates and Applications
    Rolf W. Banz, Merton H. Miller · 1978 · The Journal of Business
71. Term premiums and default premiums in money markets
    Eugene F. Fama · 1986 · Journal of Financial Economics
72. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
    Kenneth A. Froot, Jeremy C. Stein · 1996 · National Bureau of Economic Research
73. Performance Pay and Top Management Incentives
    Kevin J. Murphy, Michael C. Jensen (Deceased) · 2001 · SSRN Electronic Journal
74. Realized range-based estimation of integrated variance
    Kim Christensen, Mark Podolskij · 2006 · Journal of Econometrics
75. Do investors in Green Bond market pay a premium? Global evidence
    Madurika Nanayakkara, Sisira R. N. Colombage · 2019 · Applied Economics
76. Does option trading convey stock price information?
    Jianfeng Hu · 2013 · Journal of Financial Economics
77. Pricing and hedging long-term options
    Gurdip Bakshi, Charles Cao, Zhiwu Chen · 2000 · Journal of Econometrics
78. Resource relatedness, redeployability, and firm value
    Arkadiy V. Sakhartov, Timothy Brian Folta · 2013 · Strategic Management Journal
79. Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns
    Vasanttilak Naik · 1993 · The Journal of Finance
80. Flexible contracts to cope with uncertainty in public–private partnerships
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81. Implications for GAAP from an analysis of positive research in accounting
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82. The use of real options approach in energy sector investments
    Bartolomeu Fernandes, Jorge Cunha, Paula Ferreira · 2011 · Renewable and Sustainable Energy Reviews
83. Size, leverage, and risk-taking of financial institutions
    Sanjai Bhagat, Brian Bolton, Lu Jun · 2015 · Journal of Banking & Finance
84. Option Pricing and the Martingale Restriction
    Francis A. Longstaff · 1995 · Review of Financial Studies
85. Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function
    Nengjiu Ju · 1998 · Review of Financial Studies
86. Options and the Bubble
    Robert H. Battalio, Paul Harvey Schultz · 2006 · The Journal of Finance
87. Bank funds management in an efficient market
    Fischer Black · 1975 · Journal of Financial Economics
88. OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
    Éric Renault, Nizar Touzi · 1996 · Mathematical Finance
89. Stock and bond market interaction: Does momentum spill over?
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90. Is there a dark side to incentive compensation?
    David J. Denis, Paul E. Hanouna, Atulya Sarin A · 2005 · Journal of Corporate Finance
91. Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches
    James E. Smith, Kevin F. McCardle · 1998 · Operations Research
92. The Pricing of Options on Default-Free Bonds
    Georges Courtadon · 1982 · Journal of Financial and Quantitative Analysis
93. A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
    JAMES H. HUTCHINSON, Andrew W. Lo, Tomaso Poggio · 1994 · National Bureau of Economic Research
94. The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
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95. The Economics of the European Patent System
    Dominique Guellec, Bruno van Pottelsberghe de la Potterie · 2007
96. A note on an analytical valuation formula for unprotected American call options on stocks with known dividends
    Robert L. Geske · 1979 · Journal of Financial Economics
97. A Price is a Social Thing: Towards a Material Sociology of Arbitrage
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98. The liquidity risk of liquid hedge funds
    Melvyn Teo · 2010 · Journal of Financial Economics
99. A fuzzy approach to real option valuation
    Christer P. O. Carlsson, Robert C. Fuller · 2003 · Fuzzy Sets and Systems
100. An exact and explicit solution for the valuation of American put options
     Song‐Ping Zhu · 2006 · Quantitative Finance