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

by Margrabe, William

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  1. Qiang Fu, 1996. "On the valuation of an option to exchange one interest rate for another," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 645-653, May.
  2. Godfrey Charles-Cadogan & John A. Cole, 2013. "Bankruptcy Risk Induced by Career Concerns of Regulators," Papers 1312.7346, arXiv.org.
  3. Makhankov, V. G. & Aguero-Granados, M. A., 2010. "Quantifying Flexibility Real Options Calculus," MPRA Paper 24419, University Library of Munich, Germany.
  4. Xun Li & Zhenyu Wu, 2006. "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, vol. 2(2), pages 179-205, March.
  5. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
  6. repec:hal:journl:halshs-00188248 is not listed on IDEAS
  7. repec:hal:journl:halshs-00286054 is not listed on IDEAS
  8. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  9. Dylan Thomas & Gordon Gemmill, 2002. "Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds," Working Papers, Warwick Business School, Finance Group wp02-09, Warwick Business School, Finance Group.
  10. Tunaru, Radu & Clark, Ephraim & Viney, Howard, 2005. "An option pricing framework for valuation of football players," Review of Financial Economics, Elsevier, Elsevier, vol. 14(3-4), pages 281-295.
  11. Fernández, Pablo, 2002. "Valuing real options: frequently made errors," IESE Research Papers D/455, IESE Business School.
  12. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  13. Morellec, Erwan & Zhdanov, Alexei, 2005. "The dynamics of mergers and acquisitions," Journal of Financial Economics, Elsevier, Elsevier, vol. 77(3), pages 649-672, September.
  14. Brian J. Hall, 1998. "The Pay to Performance Incentives of Executive Stock Options," NBER Working Papers 6674, National Bureau of Economic Research, Inc.
  15. Keswani, Aneel & Shackleton, Mark B., 2006. "How real option disinvestment flexibility augments project NPV," European Journal of Operational Research, Elsevier, Elsevier, vol. 168(1), pages 240-252, January.
  16. Byström, Hans, 2000. "Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts," Working Papers 2000:17, Lund University, Department of Economics.
  17. repec:hal:journl:halshs-00368336 is not listed on IDEAS
  18. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188248, HAL.
  19. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, Elsevier, vol. 77(1), pages 171-218, July.
  20. Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 310-329, December.
  21. Hackbarth, Dirk & Miao, Jianjun, 2012. "The dynamics of mergers and acquisitions in oligopolistic industries," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(4), pages 585-609.
  22. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," 1999 Annual meeting, August 8-11, Nashville, TN 21677, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  23. Jérôme B. Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
  24. Maxwell, Christian & Davison, Matt, 2014. "Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities," Energy Economics, Elsevier, vol. 42(C), pages 140-151.
  25. Dirk Hackbarth & Jianjun Miao, . "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-022, Boston University - Department of Economics.
  26. Rosenberg, Joshua V., 1998. "Pricing multivariate contingent claims using estimated risk-neutral density functions," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(2), pages 229-247, April.
  27. Constantinos Kardaras, 2012. "Valuation and parity formulas for exchange options," Papers 1206.3220, arXiv.org.
  28. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  29. Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González, 2002. "A Framework for Collateral Risk Control Determination," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp61, International Center for Financial Asset Management and Engineering.
  30. Dudenhausen, Antje & Erik Schloegl & 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.
  31. Carlos Veiga & Uwe Wystup & Manuel Esquível, 2012. "Unifying exotic option closed formulas," Review of Derivatives Research, Springer, vol. 15(2), pages 99-128, July.
  32. Andre Santos & Jorge A. Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk," IMF Working Papers 06/269, International Monetary Fund.
  33. Cossin, Didier & Huang, Zhijiang & Auron-Nerin, Daniel & González, Fernando, 2003. "A framework for collateral risk control determination," Working Paper Series 0209, European Central Bank.
  34. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
  35. Andrea Gamba, 2002. "Real options Valuation: A Monte Carol Approach," Working Papers, Warwick Business School, Finance Group wpn02-02, Warwick Business School, Finance Group.
  36. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
  37. Chen, Andrew H. & Kensinger, John W. & Conover, James A., 1998. "Valuing Flexible Manufacturing Facilities as Options," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 38(3, Part 2), pages 651-674.
  38. Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
  39. H. T.J. Smit & W. A. Van Den Berg & W. De Maeseneire, 2005. "Acquisitions as a real options bidding game," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 05/289, Ghent University, Faculty of Economics and Business Administration.
  40. Lautier, Delphine, 2003. "Les options réelles : une idée séduisante, un concept utile et multiforme, un instrument facile à créer mais difficile à valoriser," Economics Papers from University Paris Dauphine 123456789/1046, Paris Dauphine University.
  41. Pennings, Enrico & Lint, Onno, 2000. "Market entry, phased rollout or abandonment? A real option approach," European Journal of Operational Research, Elsevier, Elsevier, vol. 124(1), pages 125-138, July.
  42. Bellalah, Mondher, 2000. "Le choix des investissements et les options réelles : une revue de la littérature," Economics Papers from University Paris Dauphine 123456789/9845, Paris Dauphine University.
  43. Lint, O., 2000. "Retrospective insights from real options in R&D," Eindhoven Center for Innovation Studies (ECIS) working paper series 00.09, Eindhoven Center for Innovation Studies (ECIS).
  44. Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society.
  45. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
  46. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
  47. Nagy, Tamás, 2013. "A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével
    [Modelling of the carbon dioxide emissions of a power plant, using real options]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 318-341.
  48. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance, EconWPA 0401005, EconWPA.
  49. Nicolas Mougeot, . "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp14, International Center for Financial Asset Management and Engineering.
  50. Christian Ullrich, 2013. "Valuation of IT Investments Using Real Options Theory," Business & Information Systems Engineering, Springer, vol. 5(5), pages 331-341, October.
  51. 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.
  52. Alejandro balbas & Susana Reichardt, 2006. "On The Future Contract Quality Option: A New Look," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb063711, Universidad Carlos III, Departamento de Economía de la Empresa.
  53. 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, American Real Estate Society, vol. 29(2), pages 115-136.
  54. Kumar, Ram L., 1995. "An options view of investments in expansion-flexible manufacturing systems," International Journal of Production Economics, Elsevier, Elsevier, vol. 38(2-3), pages 281-291, March.
  55. Roger Walder, 2002. "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp64, International Center for Financial Asset Management and Engineering.
  56. Miller, Luke & Bertus, Mark, 2005. "License valuation in the aerospace industry: A real options approach," Review of Financial Economics, Elsevier, Elsevier, vol. 14(3-4), pages 225-239.
  57. de La Bruslerie, Hubert & Deffains-Crapsky, Catherine, 2005. "Takeover bids, unconditional offer price and investor protection," Review of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 103-126.
  58. Julien Reynaud, 2007. "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 87(1), pages 241-246.
  59. Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2008. "Long term spread option valuation and hedging," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2530-2540, December.
  60. Andrea Gamba & Alberto Micalizzi, 2007. "Product Development and Market Expansion: A Real Options Model," Financial Management, Financial Management Association International, Financial Management Association International, vol. 36(1), pages 91-112, 03.
  61. Winsen, Joseph K., 1996. "Project NPV as a portfolio of derivative securities A discrete time analysis," Resources Policy, Elsevier, Elsevier, vol. 22(3), pages 161-171, September.
  62. Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-70, June.
  63. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
  64. Alnoor Bhimani & Kjell Hausken & Mthuli Ncube, 2010. "Agent takeover risk of principal in outsourcing relationships," Global Business and Economics Review, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 12(4), pages 329-340.
  65. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
  66. Erwan Morellec & Alexei Zdhanov, 2004. "The Dynamics of Mergers and Acquisitions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp126, International Center for Financial Asset Management and Engineering.
  67. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 600, Board of Governors of the Federal Reserve System (U.S.).
  68. Pablo Olivares & Matthew Cane, 2014. "Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models," Papers 1409.1175, arXiv.org.
  69. Lukas, Elmar & Reuer, Jeffrey J. & Welling, Andreas, 2012. "Earnouts in mergers and acquisitions: A game-theoretic option pricing approach," European Journal of Operational Research, Elsevier, Elsevier, vol. 223(1), pages 256-263.
  70. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.
  71. Wu, Ming-Cheng, 2011. "Antecedents of patent value using exchange option models: Evidence from a panel data analysis," Journal of Business Research, Elsevier, vol. 64(1), pages 81-86, January.
  72. Campbell, Rachel A. & Kräussl, Roman, 2006. "Does patience pay? Empirical testing of the option to delay accepting a tender offer in the US banking sector," CFS Working Paper Series 2006/32, Center for Financial Studies (CFS).
  73. 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, Swiss Finance Institute rp63, Swiss Finance Institute.
  74. Grenadier, Steven R. & Weiss, Allen M., 1997. "Investment in technological innovations: An option pricing approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 44(3), pages 397-416, June.
  75. Zhang, J. & Guégan, D., 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1095-1103, June.
  76. Nadine Gatzert & Hato Schmeiser, 2011. "On the risk situation of financial conglomerates: does diversification matter?," Financial Markets and Portfolio Management, Springer, vol. 25(1), pages 3-26, March.
  77. Marie-Eve Lachance & Olivia S. Mitchell & Kent Smetters, 2003. "Guaranteeing Defined Contribution Pensions: The Option to Buy Back a Defined Benefit Promise," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(1), pages 1-16.
  78. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
  79. Axarloglou, Kostas & Visvikis, Ilias & Zarkos, Stefanos, 2013. "The time dimension and value of flexibility in resource allocation: The case of the maritime industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 35-48.
  80. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(5), pages 714-729, May.
  81. Elisa Alòs & Jorge A. León, 2013. "On the closed-form approximation of short-time random strike options," Economics Working Papers 1347, Department of Economics and Business, Universitat Pompeu Fabra.
  82. Blenman, Lloyd P. & Clark, Steven P., 2005. "Power exchange options," Finance Research Letters, Elsevier, Elsevier, vol. 2(2), pages 97-106, June.
  83. Ren-Raw Chen & Shih-Kuo Yeh, 2012. "Analytical bounds for Treasury bond futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 209-239, August.
  84. Olaf Korn & Clemens Paschke & Marliese Uhrig-Homburg, 2012. "Robust stock option plans," Review of Quantitative Finance and Accounting, Springer, vol. 39(1), pages 77-103, July.
  85. Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael & Schnabl, Alexander, 2005. "Real options and the value of generation capacity in the German electricity market," Review of Financial Economics, Elsevier, Elsevier, vol. 14(3-4), pages 297-310.
  86. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
  87. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," Working Papers 14740, Cornell University, Department of Applied Economics and Management.
  88. Julia Kraus & Philippe Bertrand & Rudi Zagst, 2013. "Theory of Performance Participation Strategies," Papers 1302.5339, arXiv.org.
  89. Louberge, Henri & Villeneuve, Stephane & Chesney, Marc, 2002. "Long-term risk management of nuclear waste: a real options approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(1), pages 157-180, November.
  90. Armada, Manuel Rocha & Kryzanowski, Lawrence & Pereira, Paulo Jorge, 2007. "A modified finite-lived American exchange option methodology applied to real options valuation," Global Finance Journal, Elsevier, vol. 17(3), pages 419-438, March.
  91. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 14(4), pages 432-465, October.
  92. Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(6), pages 637-648.
  93. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance, EconWPA 0207013, EconWPA.
  94. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  95. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(2), pages 378-386.
  96. Hemantha Herath & Pranesh Kumar & Amin Amershi, 2013. "Crack spread option pricing with copulas," Journal of Economics and Finance, Springer, vol. 37(1), pages 100-121, January.
  97. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 38(3, Part 2), pages 537-567.
  98. Tepla, Lucie, 2001. "Optimal investment with minimum performance constraints," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(10), pages 1629-1645, October.
  99. João Adelino Ribeiro & Paulo Jorge Pereira & Elísio Brandão, 2013. "Volume Uncertainty in Construction Projects: a Real Options Approach," CEF.UP Working Papers 1309, Universidade do Porto, Faculdade de Economia do Porto.
  100. Jenter, Dirk, 2004. "Executive Compensation, Incentives, and Risk," Working papers 4466-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  101. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
  102. Lindset, Snorre & Persson, Svein-Arne, 2008. "Continuous Monitoring: Look before You Leap," Discussion Papers 2008/8, Department of Business and Management Science, Norwegian School of Economics.
  103. Bailey, Warren & Chung, Y. Peter & Kag, Jun-koo, 1996. "Investment restrictions and the pricing of Korean convertible Eurobonds," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 4(1), pages 93-111, May.
  104. Peter-Jan Engelen, 2004. "Criminal Behavior: A Real Option Approach With an Application to Restricting Illegal Insider Trading," European Journal of Law and Economics, Springer, vol. 17(3), pages 329-352, May.
  105. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December.
  106. Garner, Jacqueline L. & Nam, Jouahn & Ottoo, Richard E., 2002. "Determinants of corporate growth opportunities of emerging firms," Journal of Economics and Business, Elsevier, Elsevier, vol. 54(1), pages 73-93.
  107. Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
  108. 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.
  109. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers, Netherlands Central Bank, Research Department 082, Netherlands Central Bank, Research Department.
  110. Yepes Rodri­guez, Ramón, 2008. "Real option valuation of free destination in long-term liquefied natural gas supplies," Energy Economics, Elsevier, vol. 30(4), pages 1909-1932, July.
  111. Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013. "Liability Investment with Downside Risk," NBER Working Papers 19030, National Bureau of Economic Research, Inc.
  112. Fengler, Matthias R. & Schwendner, Peter, 2003. "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers 2003,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  113. Thijssen, Jacco J.J., 2008. "Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(5), pages 1701-1720, May.
  114. Minqiang Li & Jieyun Zhou & Shi-Jie Deng, 2010. "Multi-asset spread option pricing and hedging," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 305-324.
  115. T. R. Hurd & Zhuowei Zhou, 2009. "A Fourier transform method for spread option pricing," Papers 0902.3643, arXiv.org.
  116. Ottoo, Richard E., 1998. "Valuation of Internal Growth Opportunities: The Case of a Biotechnology Company," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 38(3, Part 2), pages 615-633.
  117. 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.
  118. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance, EconWPA 0207011, EconWPA.
  119. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  120. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany.
  121. 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.
  122. Blenman, Lloyd P. & Ayadi, O. Felix, 1997. "Cross currency option pricing," Global Finance Journal, Elsevier, vol. 8(1), pages 159-166.
  123. Jaime Casassus & Eduardo Walker, 2013. "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 434, Instituto de Economia. Pontificia Universidad Católica de Chile..
  124. Erik Ekstr\"om & Johan Tysk, 2005. "A boundary point lemma for Black-Scholes type operators," Papers math/0509231, arXiv.org.
  125. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2013. "Pricing exotic options using the Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 139-150.
  126. Bacinello, Anna Rita, 2000. "Valuation of contingent-claims characterising particular pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 177-188, October.
  127. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
  128. Lorenz Schneider & Bertrand Tavin, 2014. "From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options," Papers 1401.7913, arXiv.org, revised Sep 2014.
  129. Schlütter, Sebastian, 2011. "Capital requirements or pricing constraints? An economic analysis of measures for insurance regulation," ICIR Working Paper Series 03/11, International Center for Insurance Regulation (ICIR), Goethe University Frankfurt.
  130. Caldana, Ruggero & Fusai, Gianluca, 2013. "A general closed-form spread option pricing formula," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4893-4906.
  131. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  132. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, Oxford University Press, edition 3, number 9780199574742, October.
  133. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 59-65.
  134. Bengtsson, Jens & Olhager, Jan, 2002. "Valuation of product-mix flexibility using real options," International Journal of Production Economics, Elsevier, Elsevier, vol. 78(1), pages 13-28, July.
  135. François-Heude, Alain & Yousfi, Ouidad, 2013. "A Generalization of Gray and Whaley's Option," MPRA Paper 47908, University Library of Munich, Germany, revised 30 Jun 2013.
  136. Makhankov, V. G. & Aguero-Granados, M. A., 2010. "Quantifying Flexibility Real Options Calculus," MPRA Paper 29795, University Library of Munich, Germany, revised 22 Mar 2011.
  137. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(2), pages 69-85.
  138. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 05-2002, ICER - International Centre for Economic Research.
  139. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
  140. Yukihiro Tsuzuki, 2012. "On the Optimal Super- and Sub-Hedging Strategies," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-300, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2013.
  141. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer, Springer, vol. 32(2), pages 113-128, December.
  142. Olfa Bouasker & Jean-Luc Prigent, 2014. "Corporate Investment Choice and Exchange Option between Production Functions," Working Papers 2014-511, Department of Research, Ipag Business School.
  143. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
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