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Citations for "The Value of an Option to Exchange One Asset for Another"

by Margrabe, William

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Fernández, Pablo, 2002. "Valuing real options: frequently made errors," IESE Research Papers D/455, IESE Business School. [Downloadable!]
  2. Claessens, Stijn & van Wijnbergen, Sweder, 1990. "Pricing average price options for the 1990 Mexican and Venezuelan recapture clauses," Policy Research Working Paper Series 541, The World Bank. [Downloadable!]
  3. Han T.J. Smit & Ward A. van den Berg & Wouter De Maeseneire, 2004. "Acquisitions as a Real Options Bidding Game," Tinbergen Institute Discussion Papers 04-084/2, Tinbergen Institute, revised 23 Feb 2005. [Downloadable!]
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  4. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
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  5. Jenter, Dirk, 2004. "Executive Compensation, Incentives, and Risk," Working papers 4466-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  6. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA. [Downloadable!]
  7. Didier Cossin & Benoît Leleux & Entela Saliasi, 2002. "Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts," Swiss Finance Institute Research Paper Series rp63, Swiss Finance Institute. [Downloadable!]
  8. Lindset, Snorre & Persson, Svein-Arne, 2008. "Continuous Monitoring: Look before You Leap," Discussion Papers 2008/8, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  9. Rachel A. Campbell & Roman Kräussl, 2006. "Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector," CFS Working Paper Series 2006/32, Center for Financial Studies. [Downloadable!]
  10. Andre Santos & Jorge A. Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications," IMF Working Papers 06/269, International Monetary Fund. [Downloadable!]
  11. Eymen Errais & Jeffrey Sadowsky, 2005. "Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach," Computing in Economics and Finance 2005 73, Society for Computational Economics. [Downloadable!]
  12. Claessens, Stijn & van Wijnbergen, Sweder, 1990. "An option - pricing approach to secondary market debt : applied to Mexico," Policy Research Working Paper Series 333, The World Bank. [Downloadable!]
  13. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research. [Downloadable!]
  14. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  15. Axel F. A. Adam-Müller & Kit Pong Wong, 2002. "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Paper 02-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  16. Xiaodong Du & David A. Hennessy, 2008. "Planting Real Option in Cash Rent Valuation, The," Center for Agricultural and Rural Development (CARD) Publications 08-wp463, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
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  17. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-12, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
  18. Jamshidian, Farshid, 2007. "Exchange Options," MPRA Paper 4471, University Library of Munich, Germany, revised 17 Aug 2007. [Downloadable!]
  19. Lint, O., 2000. "Retrospective insights from real options in R&D," ECIS Working Papers 00.09, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
  20. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  21. van Wijnbergen, Sweder, 1990. "Mexico's external debt restructuring in 1989-90," Policy Research Working Paper Series 424, The World Bank. [Downloadable!]
  22. Jérôme B. Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO. [Downloadable!]
  23. CHESNEY, Marc & LOUBERGE, Henri & VILLENEUVE, Stéphane, 2001. "Long-term risk management of nuclear waste : a real options approach," Les Cahiers de Recherche 767, Groupe HEC. [Downloadable!]
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  24. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 69-85, June. [Downloadable!] (restricted)
  25. Fred Benth & Jurate Saltyte-Benth, 2006. "Analytical Approximation for the Price Dynamics of Spark Spread Options," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3), pages 1355-1355. [Downloadable!] (restricted)
  26. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
  27. L. Sereno, 2006. "Valuing R & D Investments With A Jump-Diffusion Process," Working Papers 569, Dipartimento Scienze Economiche, Università di Bologna. [Downloadable!]
  28. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, EconWPA. [Downloadable!]
  29. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany. [Downloadable!]
  30. Raymond Ross, 1998. "Good point methods for computing prices and sensitivities of multi-asset European style options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(2), pages 83-106, June. [Downloadable!] (restricted)
  31. Tak Kuen Siu, Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 211-228, September. [Downloadable!] (restricted)
  32. Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers flwp_71, Finance Lab, Ibmec São Paulo. [Downloadable!]
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  33. Li, Minqiang & Deng, Shijie & Zhou, Jieyun, 2008. "Multi-asset Spread Option Pricing and Hedging," MPRA Paper 8259, University Library of Munich, Germany. [Downloadable!]
  34. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
  35. Gregory L. Adams & James C. Brau & Andrew Holmes, 2007. "REIT Stock Repurchases: Completion Rates, Long - Run Returns, and the Straddle Hypothesis," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 115-136. [Downloadable!]
  36. Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society. [Downloadable!]
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  37. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  38. Alejandro balbas & Susana Reichardt, 2006. "On The Future Contract Quality Option: A New Look," Business Economics Working Papers wb063711, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  39. Dudenhausen, Antje, Erik Schloegl and Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
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  40. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department. [Downloadable!]
  41. Brian J. Hall, 1998. "The Pay to Performance Incentives of Executive Stock Options," NBER Working Papers 6674, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  42. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," Working Paper Series in Economics and Finance 484, Stockholm School of Economics. [Downloadable!]
  43. Marie-Eve Lachance & Olivia S. Mitchell, 2002. "Guaranteeing Defined Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise," NBER Working Papers 8731, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  44. Catherine Chambers & Paul Chambers & John Whitehead, 1997. "Historical resources, uncertainty and preservation values: An application of option and optimal stopping models," Journal of Economics and Finance, Springer, vol. 21(2), pages 51-61, June. [Downloadable!] (restricted)
  45. Didier Cossin & Daniel Aunon-Nerin & Fernando Gonzales, 2003. "A framework for collateral risk control determination," Working Paper Series 209, European Central Bank. [Downloadable!]
  46. Onno Lint & Enrico Pennings, 2002. "The option value of developing two product standards simultaneously when the final standard is uncertain," Vlerick Leuven Gent Management School Working Paper Series 2002-10, Vlerick Leuven Gent Management School. [Downloadable!]
  47. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA. [Downloadable!]
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This page was last updated on 2008-11-26.

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