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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. Mamduh Hanafi & Fitri Santi & Muazaroh, 2013. "The Impact of Ownership Concentration, Commissioners on Bank Risk and Profitability: Evidence from Indonesia," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 183-202, December.
  2. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.
  3. 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.
  4. Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257, CPB Netherlands Bureau for Economic Policy Analysis.
  5. Pindyck, Robert S., 1986. "Irreversible investment, capacity choice, and the value of the firm," Working papers 1802-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  6. Isabelle Distinguin & I. Hasan & Amine Tarazi, 2012. "Predicting rating changes for banks: how accurate are accounting and stock market indicators," Post-Print hal-00785618, HAL.
  7. Dan Galai & Zvi Wiener, 2012. "Credit Risk Spreads in Local and Foreign Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 883-901, 08.
  8. repec:dau:papers:123456789/9845 is not listed on IDEAS
  9. Frank Milne & Dilip Madan & Hersh Shefrin, 1990. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Working Papers 1162, Queen's University, Department of Economics.
  10. 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.
  11. Saghi-Zedek, Nadia & Tarazi, Amine, 2015. "Excess control rights, financial crisis and bank profitability and risk," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 361-379.
  12. Lepetit, Laetitia & Nys, Emmanuelle & Rous, Philippe & Tarazi, Amine, 2008. "Bank income structure and risk: An empirical analysis of European banks," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1452-1467, August.
  13. Nadia Saghi-Zedek & Amine Tarazi, 2015. "Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes," Working Papers hal-01134632, HAL.
  14. Fernandez, Pablo & Ariño, Miguel A., 1996. "Derivados exóticos," IESE Research Papers D/308, IESE Business School.
  15. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
  16. Kane, Alex & Marcus, Alan J. & McDonald, Robert L., 1985. "Debt Policy and the Rate of Return Premium to Leverage," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 479-499, December.
  17. 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.
  18. 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.
  19. Pindyck, Robert S., 1990. "Irreversibility, uncertainty, and investment," Working papers 3137-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  20. He, Hua. & Pindyck, Robert S., 1989. "Investments in flexible production capacity," Working papers 2102-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  21. Mark Flood & Jonathan Katz & Stephen Ong & Adam Smith, 2013. "Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality," Working Papers 13-08, Office of Financial Research, US Department of the Treasury.
  22. repec:fip:fedcwp:13-12 is not listed on IDEAS
  23. 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.
  24. Anginer, Deniz & Demirguc-Kunt, Asli, 2011. "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series 5849, The World Bank.
  25. 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.
  26. 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.
  27. Tarun Sabarwal, 2004. "The Non-Neutrality of Debt in Investment Timing: A New NPV Rule," Finance 0410004, EconWPA, revised 20 May 2005.
  28. 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.
  29. Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  30. 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.
  31. 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.
  32. 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.
  33. MacDougall, Shelley L. & Pike, Richard H., 2003. "Consider your options: changes to strategic value during implementation of advanced manufacturing technology," Omega, Elsevier, vol. 31(1), pages 1-15, February.
  34. 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.
  35. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
  36. 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.
  37. Fernandez, Pablo, 1996. "Valoración de opciones por simulación," IESE Research Papers D/309, IESE Business School.
  38. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  39. Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
  40. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does deposit insurance affect bank risk? Evidence from the recent crisis," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 312-321.
  41. Laetitia Lepetit & Emmanuelle Nys & Philippe Rous & Amine Tarazi, 2008. "The expansion of services in European banking: Implications for loan pricing and interest margins," Post-Print hal-00844822, HAL.
  42. 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.
  43. 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.
  44. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
  45. Hoque, Hafiz & Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Douady, Raphael, 2015. "Bank regulation, risk and return: Evidence from the credit and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 455-474.
  46. Majd, Saman. & Pindyck, Robert S., 1987. "The learning curve and optimal production under uncertainty," Working papers 1948-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  47. Maria Giuli & Dean Fantazzini & Mario Maggi, 2008. "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 161-180, March.
  48. 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.
  49. 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.
  50. 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.
  51. Randall Kroszner, 2016. "A Review of Bank Funding Cost Differentials," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 151-174, June.
  52. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
  53. Bouwman, Christa H. S., 2013. "Liquidity: How Banks Create It and How It Should Be Regulated," Working Papers 13-32, University of Pennsylvania, Wharton School, Weiss Center.
  54. 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.
  55. 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.
  56. 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.
  57. 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.).
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