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Tax liens: a novel application of asset pricing theory


  • Robert Jarrow


  • Vikrant Tyagi



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Suggested Citation

  • Robert Jarrow & Vikrant Tyagi, 2007. "Tax liens: a novel application of asset pricing theory," Review of Derivatives Research, Springer, vol. 10(2), pages 181-204, May.
  • Handle: RePEc:kap:revdev:v:10:y:2007:i:2:p:181-204
    DOI: 10.1007/s11147-008-9019-9

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    References listed on IDEAS

    1. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 15, pages 327-347 World Scientific Publishing Co. Pte. Ltd..
    2. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
    3. Robert A. Jarrow & David Lando & Fan Yu, 2008. "Default Risk And Diversification: Theory And Empirical Implications," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480 World Scientific Publishing Co. Pte. Ltd..
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    Option pricing; Tax liens;


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