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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. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00286054, HAL.
  2. Tunaru, Radu & Clark, Ephraim & Viney, Howard, 2005. "An option pricing framework for valuation of football players," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 281-295.
  3. François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
  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. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee.
  6. Ottoo, Richard E., 1998. "Valuation of Internal Growth Opportunities: The Case of a Biotechnology Company," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 615-633.
  7. Bystrom, Hans N. E., 2002. "Using simulated currency rainbow options to evaluate covariance matrix forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 216-230, July.
  8. Chen, Andrew H. & Kensinger, John W. & Conover, James A., 1998. "Valuing Flexible Manufacturing Facilities as Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 651-674.
  9. 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, vol. 29(2), pages 115-136.
  10. 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.
  11. Raymond Ross, 1998. "Good point methods for computing prices and sensitivities of multi-asset European style options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 83-106.
  12. Bjerksund, Petter & Stensland, Gunnar & Vagstad, Frank, 2008. "Gas Storage Valuation: Price Modelling v. Optimization Methods," Discussion Papers 2008/20, Department of Business and Management Science, Norwegian School of Economics.
  13. Carlos Veiga & Uwe Wystup & Manuel Esquível, 2012. "Unifying exotic option closed formulas," Review of Derivatives Research, Springer, vol. 15(2), pages 99-128, July.
  14. Mahringer, Steffen & Prokopczuk, Marcel, 2015. "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, vol. 51(C), pages 177-187.
  15. Frey, Rüdiger & Daniel Sommer, 1995. "A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk," Discussion Paper Serie B 306, University of Bonn, Germany, revised Jun 1996.
  16. Bailey, Warren & Chung, Y. Peter & Kag, Jun-koo, 1996. "Investment restrictions and the pricing of Korean convertible Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 93-111, May.
  17. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
  18. Brian J. Hall, 1998. "The Pay to Performance Incentives of Executive Stock Options," NBER Working Papers 6674, National Bureau of Economic Research, Inc.
  19. Li, Minqiang & Deng, Shijie & Zhou, Jieyun, 2008. "Multi-asset Spread Option Pricing and Hedging," MPRA Paper 8259, University Library of Munich, Germany.
  20. 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.
  21. repec:hal:journl:halshs-00368336 is not listed on IDEAS
  22. Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers flwp_71, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  23. Garner, Jacqueline L. & Nam, Jouahn & Ottoo, Richard E., 2002. "Determinants of corporate growth opportunities of emerging firms," Journal of Economics and Business, Elsevier, vol. 54(1), pages 73-93.
  24. Mauricio Contreras & Alejandro Llanquihu\'en & Marcelo Villena, 2015. "On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry," Papers 1510.02768, arXiv.org.
  25. Joshua Rosenberg, 1996. "Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-36, New York University, Leonard N. Stern School of Business-.
  26. Sebehela, Tumellano, 2015. "Rationally financing an acquisition," Journal of Economics and Business, Elsevier, vol. 81(C), pages 1-20.
  27. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, 09.
  28. Alexander Kushpel, 2014. "Pricing of basket options I," Papers 1401.1856, arXiv.org.
  29. Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1607-1617, July.
  30. repec:kap:iaecre:v:5:y:1999:i:4:p:478-488 is not listed on IDEAS
  31. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
  32. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  33. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
  34. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 714-729, May.
  35. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
  36. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  37. Andrea Gamba & Alberto Micalizzi, 2007. "Product Development and Market Expansion: A Real Options Model," Financial Management, Financial Management Association International, vol. 36(1), pages 91-112, 03.
  38. 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.
  39. Décamps, Jean-Paul & Faure-Grimaud, Antoine, 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," IDEI Working Papers 99, Institut d'Économie Industrielle (IDEI), Toulouse.
  40. 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.
  41. Roger Walder, 2002. "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series rp64, International Center for Financial Asset Management and Engineering.
  42. Kang, Sang Baum & Létourneau, Pascal, 2016. "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, vol. 54(C), pages 96-107.
  43. Schlütter, Sebastian, 2011. "Capital requirements or pricing constraints? An economic analysis of measures for insurance regulation," ICIR Working Paper Series 03/11, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  44. Blenman, Lloyd P. & Clark, Steven P., 2005. "Power exchange options," Finance Research Letters, Elsevier, vol. 2(2), pages 97-106, June.
  45. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
  46. S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
  47. Gatzert, Nadine & Schmeiser, Hato, 2008. "The influence of corporate taxes on pricing and capital structure in property-liability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 50-58, February.
  48. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
  49. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
  50. Andrea Gamba, 2002. "Real options Valuation: A Monte Carol Approach," Working Papers wpn02-02, Warwick Business School, Finance Group.
  51. Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013. "Liability Investment with Downside Risk," NBER Working Papers 19030, National Bureau of Economic Research, Inc.
  52. 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.
  53. Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society.
  54. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
  55. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  56. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
  57. Trigeorgis, Lenos, 1996. "Evaluating leases with complex operating options," European Journal of Operational Research, Elsevier, vol. 91(2), pages 315-329, June.
  58. repec:hal:journl:halshs-00286054 is not listed on IDEAS
  59. de La Bruslerie, Hubert & Deffains-Crapsky, Catherine, 2005. "Takeover bids, unconditional offer price and investor protection," Review of Financial Economics, Elsevier, vol. 14(2), pages 103-126.
  60. Balbás, Alejandro & Reichardt, Susana, 2006. "On the future contract quality option: a new look," DEE - Working Papers. Business Economics. WB wb063711, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  61. Pellegrino, Tommaso & Sabino, Piergiacomo, 2014. "On the use of the moment-matching technique for pricing and hedging multi-asset spread options," Energy Economics, Elsevier, vol. 45(C), pages 172-185.
  62. Chun-Ying Chen & Hsiao-Chuan Wang & Jr-Yan Wang, 2015. "The valuation of forward-start rainbow options," Review of Derivatives Research, Springer, vol. 18(2), pages 145-188, July.
  63. Constantinos Kardaras, 2015. "Valuation and parities for exchange options," LSE Research Online Documents on Economics 65535, London School of Economics and Political Science, LSE Library.
  64. repec:hal:journl:halshs-00188248 is not listed on IDEAS
  65. Kirby, Natasha & Davison, Matt, 2010. "Using a spark-spread valuation to investigate the impact of corn-gasoline correlation on ethanol plant valuation," Energy Economics, Elsevier, vol. 32(6), pages 1221-1227, November.
  66. Olivier Aj Bardou & Noufel Frikha & G. Pag\`es, 2008. "Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling," Papers 0812.3381, arXiv.org, revised Dec 2010.
  67. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
  68. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany.
  69. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19.
  70. Winsen, Joseph K., 1996. "Project NPV as a portfolio of derivative securities A discrete time analysis," Resources Policy, Elsevier, vol. 22(3), pages 161-171, September.
  71. Masaaki Fujii & Yukihiro Tsuzuki, 2011. "Rebalancing Static Super-Replications," CIRJE F-Series CIRJE-F-796, CIRJE, Faculty of Economics, University of Tokyo.
  72. Bengtsson, Jens & Olhager, Jan, 2002. "Valuation of product-mix flexibility using real options," International Journal of Production Economics, Elsevier, vol. 78(1), pages 13-28, July.
  73. Dirk Hackbarth & Jianjun Miao, . "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series wp2008-022, Boston University - Department of Economics.
  74. Correia, Ricardo & Hamoto, Azad, 2012. "A theoretical analysis of the stages and events experienced by financially distressed firms," DEE - Working Papers. Business Economics. WB 13115, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  75. Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
  76. Elisa Alòs & Thorsten Rheinländer, 2015. "On Margrabe options written on stochastic volatility models," Economics Working Papers 1475, Department of Economics and Business, Universitat Pompeu Fabra.
  77. Cossin, Didier & Huang, Zhijiang & Auron-Nerin, Daniel & González, Fernando, 2003. "A framework for collateral risk control determination," Working Paper Series 0209, European Central Bank.
  78. 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.
  79. Rene Carmona & Michael Coulon & Daniel Schwarz, 2012. "Electricity price modeling and asset valuation: a multi-fuel structural approach," Papers 1205.2299, arXiv.org.
  80. 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.
  81. 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.
  82. Nicolas Mougeot, . "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series rp14, International Center for Financial Asset Management and Engineering.
  83. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
  84. 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.
  85. 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).
  86. Yukihiro Tsuzuki, 2012. "On the Optimal Super- and Sub-Hedging Strategies," CARF F-Series CARF-F-300, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2013.
  87. Blenman, Lloyd P. & Ayadi, O. Felix, 1997. "Cross currency option pricing," Global Finance Journal, Elsevier, vol. 8(1), pages 159-166.
  88. Christian Ullrich, 2013. "Valuation of IT Investments Using Real Options Theory," Business & Information Systems Engineering- The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 5(5), pages 331-341, October.
  89. 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 05/289, Ghent University, Faculty of Economics and Business Administration.
  90. Plato, Gerald, 2001. "The Soybean processing Decision: Exercising a Real Option on Processing Margins," Technical Bulletins 184327, United States Department of Agriculture, Economic Research Service.
  91. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  92. K. F. Pilz & E. Schlögl, 2013. "A hybrid commodity and interest rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 543-560, March.
  93. Erwan Morellec & Alexei Zdhanov, 2004. "The Dynamics of Mergers and Acquisitions," FAME Research Paper Series rp126, International Center for Financial Asset Management and Engineering.
  94. Keswani, Aneel & Shackleton, Mark B., 2006. "How real option disinvestment flexibility augments project NPV," European Journal of Operational Research, Elsevier, vol. 168(1), pages 240-252, January.
  95. Morellec, Erwan & Zhdanov, Alexei, 2005. "The dynamics of mergers and acquisitions," Journal of Financial Economics, Elsevier, vol. 77(3), pages 649-672, September.
  96. Caldana, Ruggero & Fusai, Gianluca, 2013. "A general closed-form spread option pricing formula," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4893-4906.
  97. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
  98. Unterschultz, James R., 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Resource Economics and Environmental Sociology.
  99. 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.
  100. Fernández, Pablo, 2002. "Valuing real options: frequently made errors," IESE Research Papers D/455, IESE Business School.
  101. 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, vol. 27(1), pages 157-180, November.
  102. 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.
  103. Steinar Ekern & Svein-Arne Persson, 1996. "Exotic Unit-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 35-63, June.
  104. 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, vol. 32(5), pages 1701-1720, May.
  105. Hartwick, John M., 1995. "Capital gains and asset switching," Economics Letters, Elsevier, vol. 47(1), pages 63-67, January.
  106. 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.
  107. Radnai, Márton, 2005. "Indexált alaptermék árú opciók
    [Indexed options based on the underlying price]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 130-143.
  108. Makhankov, V. G. & Aguero-Granados, M. A., 2010. "Quantifying Flexibility Real Options Calculus," MPRA Paper 24419, University Library of Munich, Germany.
  109. Nicola Cufaro Petroni & Piergiacomo Sabino, 2015. "Cointegrating Jumps: an Application to Energy Facilities," Papers 1509.01144, arXiv.org, revised Jul 2016.
  110. Cole, John A. & Cadogan, Godfrey, 2014. "Bankruptcy risk induced by career concerns of regulators," Finance Research Letters, Elsevier, vol. 11(3), pages 259-271.
  111. Yoram Landskroner & Alon Raviv, 2008. "The valuation of inflation‐indexed and FX convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 634-655, 07.
  112. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA.
  113. 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.
  114. Miller, Luke & Bertus, Mark, 2005. "License valuation in the aerospace industry: A real options approach," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 225-239.
  115. Tarsalewska, Monika, 2015. "The timing of mergers along the production chain, capital structure, and risk dynamics," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 51-64.
  116. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 69-85.
  117. Catherine Chambers & Paul Chambers & John Whitehead, 1997. "Historical resources, uncertainty and preservation values: An application of option and optimal stopping models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 51-61, June.
  118. Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October.
  119. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.).
  120. Eduardo S. Schwartz & Carlos Zozaya-Gorostiza, 2003. "Investment Under Uncertainty in Information Technology: Acquisition and Development Projects," Management Science, INFORMS, vol. 49(1), pages 57-70, January.
  121. 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.
  122. Johnson, Shane A. & Tian, Yisong S., 2000. "Indexed executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 35-64, July.
  123. Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015. "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance 1512, University of St. Gallen, School of Finance.
  124. Carol Alexandra & Andrew Scourse, 2003. "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance icma-dp2003-15, Henley Business School, Reading University.
  125. Kumar, Ram L., 1995. "An options view of investments in expansion-flexible manufacturing systems," International Journal of Production Economics, Elsevier, vol. 38(2-3), pages 281-291, March.
  126. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  127. 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.
  128. Luiz Vitiello & Ivonia Rebelo, 2015. "A note on the pricing of multivariate contingent claims under a transformed-gamma distribution," Review of Derivatives Research, Springer, vol. 18(3), pages 291-300, October.
  129. 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.
  130. Wesseler, J. & Weichert, M., 1999. "Der Wert zusätzlicher Informationen bei Investitionsentscheidungen mit einem hohen Grad an Irreversibilität," Proceedings "Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.", German Association of Agricultural Economists (GEWISOLA), vol. 35.
  131. Bacinello, Anna Rita, 2000. "Valuation of contingent-claims characterising particular pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 177-188, October.
  132. Pablo Olivares & Alexander Alvarez, 2014. "A Note on the Pricing of Basket Options Using Taylor Approximations," Papers 1404.3229, arXiv.org.
  133. Felipe Isaza Cuervo & Sergio Botero Boterob, 2014. "Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
  134. Constantinos Kardaras, 2012. "Valuation and parities for exchange options," Papers 1206.3220, arXiv.org, revised Nov 2014.
  135. 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, vol. 77(1), pages 171-218, July.
  136. 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 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
  137. van Wijnbergen, Sweder, 1990. "Mexico's external debt restructuring in 1989-90," Policy Research Working Paper Series 424, The World Bank.
  138. Pennings, Enrico & Lint, Onno, 2000. "Market entry, phased rollout or abandonment? A real option approach," European Journal of Operational Research, Elsevier, vol. 124(1), pages 125-138, July.
  139. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
  140. Dylan Thomas & Gordon Gemmill, 2002. "Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds," Working Papers wp02-09, Warwick Business School, Finance Group.
  141. Sarah Bryant & Spiros Martzoukos, 1999. "Multi-currency options and financial institutions' hedging: Correlation does matter," International Advances in Economic Research, International Atlantic Economic Society, vol. 5(4), pages 478-488, November.
  142. Jaime Casassus & Eduardo Walker, 2013. "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo 434, Instituto de Economia. Pontificia Universidad Católica de Chile..
  143. Akihiko Takahashi & Yukihiro Tsuzuki, 2016. "On Rebalancing Static Super-Replications," CARF F-Series CARF-F-384, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  144. Pendharkar, Parag C., 2010. "Valuing interdependent multi-stage IT investments: A real options approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 847-859, March.
  145. Alexander Kushpel, 2015. "Pricing of high-dimensional options," Papers 1510.07221, arXiv.org.
  146. Alnoor Bhimani & Kjell Hausken & Mthuli Ncube, 2010. "Agent takeover risk of principal in outsourcing relationships," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 12(4), pages 329-340.
  147. 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, vol. 14(3-4), pages 297-310.
  148. Julien Reynaud, 2007. "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, vol. 87(1), pages 241-246.
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  196. 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.
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