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The Pricing of Options and Corporate Liabilities

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  1. The Alluring Potential of the Unknown Known
    by Miraj Patel in Miraj Patel on 2012-06-19 11:13:50

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Cited by:

  1. Ben Abdallah, Skander & Lasserre, Pierre, 2016. "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
  2. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
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  4. Zhao, Yingxue & Yang, Liu & Cheng, T.C.E. & Ma, Lijun & Shao, Xinjian, 2013. "A value-based approach to option pricing: The case of supply chain options," International Journal of Production Economics, Elsevier, vol. 143(1), pages 171-177.
  5. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
  6. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
  7. Edward P. C. Kao & Weiwei Xie, 2017. "Pricing spread options by generalized bivariate edgeworth expansion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-30, June.
  8. d’Amato, Maurizio & Zrobek, Sabina & Renigier Bilozor, Malgorzata & Walacik, Marek & Mercadante, Giuseppe, 2019. "Valuing the effect of the change of zoning on underdeveloped land using fuzzy real option approach," Land Use Policy, Elsevier, vol. 86(C), pages 365-374.
  9. 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.
  10. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
  11. L. Ingber, 2018. "Quantum path integral for financial options," Lester Ingber Papers 18qp, Lester Ingber.
  12. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  13. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  14. Inder K. Khurana & Changjiang Wang, 2015. "Debt Maturity Structure and Accounting Conservatism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 167-203, January.
  15. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  16. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
  17. Hartmann, Marcus & Hassan, Ali, 2006. "Application of real options analysis for pharmaceutical R&D project valuation--Empirical results from a survey," Research Policy, Elsevier, vol. 35(3), pages 343-354, April.
  18. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
  19. William R. Morgan, 2023. "Finance Must Be Defended: Cybernetics, Neoliberalism and Environmental, Social, and Governance (ESG)," Sustainability, MDPI, vol. 15(4), pages 1-21, February.
  20. Martin Gremm, 2016. "Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate," Papers 1605.03551, arXiv.org.
  21. Ali Dardour, 2008. "Les déterminants de la rémunération des dirigeants des sociétés cotées en France," Post-Print halshs-00522506, HAL.
  22. Qi Zhang & Qi Wang & Ping Zuo & Hongbo Du & Fangfang Wu, 2023. "Projection and Contraction Method for Pricing American Bond Options," Mathematics, MDPI, vol. 11(22), pages 1-13, November.
  23. Alexander Gross & Charles Link, 2017. "Does Option Theory Hold For Major League Baseball Contracts?," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 425-433, January.
  24. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  25. Filipe Fontanela & Antoine Jacquier & Mugad Oumgari, 2019. "A Quantum algorithm for linear PDEs arising in Finance," Papers 1912.02753, arXiv.org, revised Feb 2021.
  26. Pascal Damel & Hoai An Le Thi & Nadège Peltre, 2016. "The challenge in managing new financial risks: adopting an heuristic or theoretical approach," Annals of Operations Research, Springer, vol. 247(2), pages 581-598, December.
  27. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
  28. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
  29. Arismendi, Juan & Genaro, Alan De, 2016. "A Monte Carlo multi-asset option pricing approximation for general stochastic processes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 75-99.
  30. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
  31. Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
  32. Dafydd Mali & Hyoung-Joo Lim, 2022. "Does relative (absolute) efficiency affect capital costs?," Annals of Operations Research, Springer, vol. 315(2), pages 1037-1060, August.
  33. Kabir, Md. Nurul & Worthington, Andrew C., 2017. "The ‘competition–stability/fragility’ nexus: A comparative analysis of Islamic and conventional banks," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 111-128.
  34. Leluc, Rémi & Portier, François & Zhuman, Aigerim & Segers, Johan, 2023. "Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence," LIDAM Discussion Papers ISBA 2023019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  35. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
  36. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
  37. Loncarski, I. & Ter Horst, J.R. & Veld, C.H., 2006. "Why do Companies issue Convertible Bond Loans? An Empirical Analysis for the Canadian Market," Discussion Paper 2006-65, Tilburg University, Center for Economic Research.
  38. Karmann, Alexander & Maltritz, Dominik, 2003. "Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default," Dresden Discussion Paper Series in Economics 07/03, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  39. Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
  40. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
  41. Boyle, Glenn & Clyne, Stefan & Roberts, Helen, 2005. "Valuing Employee Stock Options: Implications for the Implementation of NZ IFRS 2," Working Paper Series 18949, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  42. Gordian Rättich & Kim Clark & Evi Hartmann, 2011. "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
  43. Batra, Luckshay & Taneja, H.C., 2020. "Evaluating volatile stock markets using information theoretic measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  44. Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.
  45. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Martingalized Historical approach for Option Pricing," PSE-Ecole d'économie de Paris (Postprint) halshs-00437927, HAL.
  46. Romaniuk, Katarzyna & Vranceanu, Radu, 2008. "Asset Prices and Assymetries in the Fed's Interest Rate Rule : a Financial Approach," ESSEC Working Papers DR 08006, ESSEC Research Center, ESSEC Business School.
  47. An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
  48. Saqib Aziz & Michael Dowling & Jean-Jacques Lilti, 2016. "Bank Acquisitiveness and Financial Crisis Vulnerability," Post-Print halshs-01360952, HAL.
  49. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  50. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
  51. Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
  52. Im, Hyun Joong & Kang, Ya & Shon, Janghoon, 2020. "How does uncertainty influence target capital structure?," Journal of Corporate Finance, Elsevier, vol. 64(C).
  53. Neto, Cícero Augusto Vieira & Pereira, Pedro L. Valls, 2001. "Review of major results of Martingale theory applied to the valuation of contingent claims," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.
  54. John Geanakoplos, 1989. "An Introduction to General Equilibrium with Incomplete Asset Markets," Cowles Foundation Discussion Papers 919, Cowles Foundation for Research in Economics, Yale University.
  55. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 381-393, June.
  56. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  57. Nusret Cakici & Sris Chatterjee & Ren-Raw Chen, 2019. "Default Risk and Cross Section of Returns," JRFM, MDPI, vol. 12(2), pages 1-15, June.
  58. Scott P. Mason, 1986. "Valuing Financial Flexibility," NBER Chapters, in: Financing Corporate Capital Formation, pages 91-106, National Bureau of Economic Research, Inc.
  59. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
  60. THOMASSEN, Liesbeth & VAN CASTEREN, Jan & VAN WOUWE, Martine, 2002. "Decomposition of the n-fold compound option," Working Papers 2002040, University of Antwerp, Faculty of Business and Economics.
  61. Espinoza, R. David & Rojo, Javier, 2017. "Towards sustainable mining (Part I): Valuing investment opportunities in the mining sector," Resources Policy, Elsevier, vol. 52(C), pages 7-18.
  62. Christopher S Armstrong & Antonio Davila & George Foster & John RM Hand, 2011. "Market-to-revenue multiples in public and private capital markets," Australian Journal of Management, Australian School of Business, vol. 36(1), pages 15-57, April.
  63. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
  64. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  69. Alex Garivaltis, 2019. "The Laws of Motion of the Broker Call Rate in the United States," IJFS, MDPI, vol. 7(4), pages 1-23, October.
  70. Wang, Yuanyuan & Shang, Pengjian, 2018. "A new measurement of financial time irreversibility based on information measures method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 221-230.
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  72. David Maude & William Perraudin, 1995. "Pricing Deposit Insurance in the United Kingdom," Bank of England working papers 29, Bank of England.
  73. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
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  75. Salas-Molina, Francisco & Martin, Francisco J. & Rodríguez-Aguilar, Juan A. & Serrà, Joan & Arcos, Josep Ll., 2017. "Empowering cash managers to achieve cost savings by improving predictive accuracy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 403-415.
  76. Maltritz, Dominik, 2010. "A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3025-3036, December.
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