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The Valuation of Corporate Liabilities as Compound Options: A Correction

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  • Geske, Robert
  • Johnson, H. E.

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  • Geske, Robert & Johnson, H. E., 1984. "The Valuation of Corporate Liabilities as Compound Options: A Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(02), pages 231-232, June.
  • Handle: RePEc:cup:jfinqa:v:19:y:1984:i:02:p:231-232_01
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    Cited by:

    1. Chen, Ren-Raw & Chidambaran, N.K. & Imerman, Michael B. & Sopranzetti, Ben J., 2014. "Liquidity, leverage, and Lehman: A structural analysis of financial institutions in crisis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 117-139.
    2. Jorge A Chan-Lau & Andre O Santos, 2010. "Public Debt Sustainability and Management in a Compound Option Framework," IMF Working Papers 10/2, International Monetary Fund.
    3. repec:gam:jrisks:v:5:y:2017:i:4:p:56-:d:115997 is not listed on IDEAS
    4. Lee, Meng-Yu & Yeh, Fang-Bo & Chen, An-Pin, 2008. "The generalized sequential compound options pricing and sensitivity analysis," Mathematical Social Sciences, Elsevier, vol. 55(1), pages 38-54, January.
    5. repec:eee:jbfina:v:82:y:2017:i:c:p:191-202 is not listed on IDEAS
    6. Chen, Andrew H. & Hung, Mao-Wei & Mazumdar, Sumon C., 1995. "Loan covenants and corporate debt policy under bank regulations," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1419-1436, November.
    7. Elettra, Agliardi & Rossella, Agliardi, 2003. "A generalization of the Geske formula for compound options," Mathematical Social Sciences, Elsevier, vol. 45(1), pages 75-82, February.
    8. Yeh, Chung-Ying & Yeh, Shih-Kuo & Chen, Ren-Raw, 2014. "Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 297-309.
    9. Hann-Shing Ju & Ren-Raw Chen & Shih-Kuo Yeh & Tung-Hsiao Yang, 2015. "Evaluation of conducting capital structure arbitrage using the multi-period extended Geske–Johnson model," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 89-111, January.
    10. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
    11. Peter J. Zeitsch, 2017. "Capital Structure Arbitrage under a Risk-Neutral Calibration," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-23, January.
    12. Gunter Löffler, 2013. "Can rating agencies look through the cycle?," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 623-646, May.
    13. Fernández, Pablo, 1996. "Convertible bonds in Spain: A different security," IESE Research Papers D/311, IESE Business School.
    14. repec:eee:ecofin:v:43:y:2018:i:c:p:30-53 is not listed on IDEAS

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