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Citations for "On the pricing of contingent claims and the Modigliani-Miller theorem"

by Merton, Robert C.

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  1. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
  2. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank, Research Centre.
  3. Olsen, Trond E. & Stensland, Gunnar, 1996. "On optimal control of income generating activities, and the value of flexible production design," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 349-361.
  4. Fernandez, Pablo & Ariño, Miguel A., 1996. "Derivados exóticos," IESE Research Papers D/308, IESE Business School.
  5. Alex Kane & Alan J. Marcus & Robert L. McDonald, 1984. "Debt Policy and the Rate of Return Premium to Leverage," NBER Working Papers 1439, National Bureau of Economic Research, Inc.
  6. Saman Majd & Robert S. Pindyck, 1989. "The Learning Curve and Optimal Production under Uncertainty," RAND Journal of Economics, The RAND Corporation, vol. 20(3), pages 331-343, Autumn.
  7. Robert S. Pindyck, 1986. "Irreversible Investment, Capacity Choice, and the Value of the Firm," NBER Working Papers 1980, National Bureau of Economic Research, Inc.
  8. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  9. Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
  10. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-65.
  11. Kraeussl, Roman & Wiehenkamp, Christian, 2010. "A call on Art investments," CFS Working Paper Series 2010/03, Center for Financial Studies (CFS).
  12. Robert S. Pindyck, 1990. "Irreversibility, Uncertainty, and Investment," NBER Working Papers 3307, National Bureau of Economic Research, Inc.
  13. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
  14. repec:fip:fedcwp:13-12 is not listed on IDEAS
  15. Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Distinguin, Isabelle & Hasan, Iftekhar & Tarazi , Amine, 2012. "Predicting rating changes for banks: How accurate are accounting and stock market indicators?," Research Discussion Papers 15/2012, Bank of Finland.
  17. Ephraim Clark & Geeta Lakshmi, 2003. "Controlling the risk: a case study of the Indian liquidity crisis 1990-92," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(3), pages 285-298.
  18. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  19. Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257, CPB Netherlands Bureau for Economic Policy Analysis.
  20. Clark, Ephraim & Lakshmi, Geeta, 2004. "Sovereign debt and the cost of migration: India 1990-1992," Journal of Asian Economics, Elsevier, vol. 15(1), pages 111-134, February.
  21. Mark Flood & Jonathan Katz & Stephen J Ong & Adam Smith, 2013. "Cryptography and the economics of supervisory information: balancing transparency and confidentiality," Working Paper 1312, Federal Reserve Bank of Cleveland.
  22. Zvi Wiener & Dan Galai, 2009. "Credit Risk Spreads in Local and Foreign Currencies," IMF Working Papers 09/110, International Monetary Fund.
  23. José Pablo Dapena, 2006. "Volatility of GDP, macro applications and policy implications of real options for structure of capital Markets," CEMA Working Papers: Serie Documentos de Trabajo. 320, Universidad del CEMA.
  24. Tarun Sabarwal, 2004. "The Non-Neutrality of Debt in Investment Timing: A New NPV Rule," Finance 0410004, EconWPA, revised 20 May 2005.
  25. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does competition affect bank systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 1-26.
  26. Laetitia Lepetit & Emmanuelle Nys & Philippe Rous & Amine Tarazi, 2006. "The Provision of Services, Interest Margins and Loan Pricing in European Banking," Working Papers hal-00918533, HAL.
  27. Sandra Peterson & Richard Stapleton, 2002. "The pricing of Bermudan-style options on correlated assets," Review of Derivatives Research, Springer, vol. 5(2), pages 127-151, May.
  28. He, Hua. & Pindyck, Robert S., 1989. "Investments in flexible production capacity," Working papers 2102-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  29. Maria Giuli & Dean Fantazzini & Mario Maggi, 2008. "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models," Computational Economics, Society for Computational Economics, vol. 31(2), pages 161-180, March.
  30. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2012. "How does deposit insurance affect bank risk ? evidence from the recent crisis," Policy Research Working Paper Series 6289, The World Bank.
  31. Rob Aalbers, 2009. "Discounting investments in mitigation and adaptation: a dynamic stochastic general equilibrium approach of climate change," CPB Discussion Paper 126, CPB Netherlands Bureau for Economic Policy Analysis.
  32. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series 1997-15, Board of Governors of the Federal Reserve System (U.S.).
  33. Laetitia Lepetit & Emmanuelle Nys & Philippe Rous & Amine Tarazi, 2005. "Product Diversification in the European Banking Industry: Risk and Loan Pricing Implications," Working Papers hal-00918399, HAL.
  34. Karel Janda & Jakub Rojcek, 2012. "Bankruptcy Triggering Asset Value - Continuous Time Finance Approach," ANU Working Papers in Economics and Econometrics 2012-581, Australian National University, College of Business and Economics, School of Economics.
  35. Conrad, Jon M. & Lopez, Andres, 2000. "Stochastic Water Quality: The Timing and Option Value of Treatment," Working Papers 127675, Cornell University, Department of Applied Economics and Management.
  36. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
  37. Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  38. Gürtler, Marc & Heithecker, Dirk, 2005. "Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model," Working Papers FW19V2, Technische Universität Braunschweig, Institute of Finance.
  39. Fernandez, Pablo, 1996. "Valoración de opciones por simulación," IESE Research Papers D/309, IESE Business School.
  40. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
  41. 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.
  42. Jeffrey MacKie-Mason, 1988. "Nonlinear Taxation of Risky Assets and Investment, With Application to Mining," NBER Working Papers 2631, National Bureau of Economic Research, Inc.
  43. Lutz Hahnenstein & Klaus Röder, 2007. "Who hedges more when leverage is endogenous? A testable theory of corporate risk management under general distributional conditions," Review of Quantitative Finance and Accounting, Springer, vol. 28(4), pages 353-391, May.
  44. Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," University of Regensburg Working Papers in Business, Economics and Management Information Systems 409, University of Regensburg, Department of Economics.