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Partial Exercise Of Loan Commitments Under Adaptive Pricing

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  • Stuart I. Greenbaum
  • Itzhak Venezia

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  • Stuart I. Greenbaum & Itzhak Venezia, 1985. "Partial Exercise Of Loan Commitments Under Adaptive Pricing," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 251-263, December.
    • Handle: RePEc:bla:jfnres:v:8:y:1985:i:4:p:251-263
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1985.tb00410.x
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    References listed on IDEAS

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    1. Itzhak Venezia & Haim Levy, 1980. "Optimal Claims in Automobile Insurance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(3), pages 539-549.
    2. Itzahk Venezia & Haim Levy, "undated". "Optimal Claims in Automobile Insurance," Rodney L. White Center for Financial Research Working Papers 05-80, Wharton School Rodney L. White Center for Financial Research.
    3. James, Christopher, 1982. "An Analysis of Bank Loan Rate Indexation," Journal of Finance, American Finance Association, vol. 37(3), pages 809-825, June.
    4. Myers, Stewart C & Turnbull, Stuart M, 1977. "Capital Budgeting and the Capital Asset Pricing Model: Good News and Bad News," Journal of Finance, American Finance Association, vol. 32(2), pages 321-333, May.
    5. Donald R. Hodgman, 1960. "Credit Risk and Credit Rationing," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 74(2), pages 258-278.
    6. Smith, Vernon L, 1972. "A Theory and Test of Credit Rationing: Some Generalizations," American Economic Review, American Economic Association, vol. 62(3), pages 477-483, June.
    7. Fama, Eugene F., 1977. "Risk-adjusted discount rates and capital budgeting under uncertainty," Journal of Financial Economics, Elsevier, vol. 5(1), pages 3-24, August.
    8. Brennan, Michael J, 1973. "An Approach to the Valuation of Uncertain Income Streams," Journal of Finance, American Finance Association, vol. 28(3), pages 661-674, June.
    9. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    10. Albert M. Wojnilower, 1980. "The Central Role of Credit Crunches in Recent Financial History," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(2), pages 277-340.
    11. Ho, Thomas S. Y. & Saunders, Anthony, 1983. "Fixed Rate Loan Commitments, Take-Down Risk, and the Dynamics of Hedging with Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(4), pages 499-516, December.
    12. Bogue, Marcus C & Roll, Richard, 1974. "Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital," Journal of Finance, American Finance Association, vol. 29(2), pages 601-613, May.
    13. Itzahk Venezia & Haim Levy, "undated". "Optimal Claims in Automobile Insurance," Rodney L. White Center for Financial Research Working Papers 5-80, Wharton School Rodney L. White Center for Financial Research.
    14. Venezia, Itzhak, 1984. "Optimal investments in market research," European Journal of Operational Research, Elsevier, vol. 18(2), pages 198-207, November.
    15. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
    16. Campbell, Tim S, 1978. "A Model of the Market for Lines of Credit," Journal of Finance, American Finance Association, vol. 33(1), pages 231-244, March.
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    Cited by:

    1. O. Emre Ergungor, 2000. "Relationship loans and information exploitability in a competitive market: loan commitments vs. spot loans," Working Papers (Old Series) 0013, Federal Reserve Bank of Cleveland.
    2. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
    3. Martin, J. Spencer & Santomero, Anthony M., 1997. "Investment opportunities and corporate demand for lines of credit," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1331-1350, October.
    4. Sumit Agarwal & Souphala Chomsisengphet & John C. Driscoll, 2004. "Loan commitments and private firms," Finance and Economics Discussion Series 2004-27, Board of Governors of the Federal Reserve System (U.S.).
    5. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
    6. Stanhouse, Bryan & Schwarzkopf, Al & Ingram, Matt, 2011. "A computational approach to pricing a bank credit line," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1341-1351, June.
    7. Xavier Freixas & Curzio Giannini & Glenn Hoggarth & Farouk Soussa, 2000. "Lender of Last Resort: What Have We Learned Since Bagehot?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(1), pages 63-84, October.
    8. Chateau, J. -P. & Dufresne, D., 2002. "The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 159-181.

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