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Citations for "The valuation of compound options"

by Geske, Robert

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  1. Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2010. "Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan," Discussion Paper Series 2: Banking and Financial Studies 2010,01, Deutsche Bundesbank, Research Centre.
  2. Lukas, Elmar, 2013. "Modeling the transitional dynamics of international joint venture policies: An option pricing approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 21-36.
  3. Pindyck, Robert S, 1991. "Irreversibility, Uncertainty, and Investment," Journal of Economic Literature, American Economic Association, vol. 29(3), pages 1110-48, September.
  4. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
  5. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  6. Giovanni Villani, 2009. "A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis," CESifo Working Paper Series 2728, CESifo Group Munich.
  7. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, August.
  8. Cangemi, Robert R. & Mason, Joseph R. & Pagano, Michael S., 2012. "Options-based structural model estimation of bond recovery rates," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 473-506.
  9. Kazmerchuk, Yuriy & Swishchuk, Anatoliy & Wu, Jianhong, 2007. "The pricing of options for securities markets with delayed response," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 69-79.
  10. Yao-Wen Hsu, 2010. "Staging of venture capital investment: a real options analysis," Small Business Economics, Springer, vol. 35(3), pages 265-281, October.
  11. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance 1323, University of St. Gallen, School of Finance.
  12. Jan Ericsson & Joel Reneby, 2003. "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 121-147.
  13. Santiago Forte & J. Ignacio Peña, 2003. "Debt Refinancing And Credit Risk," Business Economics Working Papers wb031704, Universidad Carlos III, Departamento de Economía de la Empresa.
  14. Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006. "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics 156, Universitat de Barcelona. Espai de Recerca en Economia.
  15. Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer, vol. 17(1), pages 1-18, March.
  16. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
  17. Lo Nigro, Giovanna & Morreale, Azzurra & Enea, Gianluca, 2014. "Open innovation: A real option to restore value to the biopharmaceutical R&D," International Journal of Production Economics, Elsevier, vol. 149(C), pages 183-193.
  18. repec:hal:journl:halshs-00188248 is not listed on IDEAS
  19. Gilroy, Bernard Michael & Lukas, Elmar, 2006. "The choice between greenfield investment and cross-border acquisition: A real option approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 447-465, July.
  20. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
  21. Robert Dubil, 2004. "The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 9(3), pages 1-14, Fall.
  22. 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.
  23. Andrea Gamba & Ricardo Rigon, 2007. "The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note," Working Papers wpn07-04, Warwick Business School, Finance Group.
  24. 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.
  25. Giandomenico, Rossano, 2008. "Asset Liability Management for Banks," MPRA Paper 18848, University Library of Munich, Germany.
  26. Hanke, Michael, 2005. "Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 389-421, March.
  27. Campbell, Rachel A. & Kräussl, Roman, 2006. "Does patience pay? Empirical testing of the option to delay accepting a tender offer in the US banking sector," CFS Working Paper Series 2006/32, Center for Financial Studies (CFS).
  28. repec:hal:journl:halshs-00368336 is not listed on IDEAS
  29. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, July.
  30. Wang, Fan, 2007. "Risk-Based Pricing of High Loan-To-Value Mortgage," MPRA Paper 4788, University Library of Munich, Germany.
  31. Yepes Rodri­guez, Ramón, 2008. "Real option valuation of free destination in long-term liquefied natural gas supplies," Energy Economics, Elsevier, vol. 30(4), pages 1909-1932, July.
  32. Gary S. Shea, 2005. "Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares," CDMA Working Paper Series 200512, Centre for Dynamic Macroeconomic Analysis.
  33. Rainer Andergassen & Luigi Sereno, 2012. "Valuation of N-stage Investments Under Jump-Diffusion Processes," Computational Economics, Society for Computational Economics, vol. 39(3), pages 289-313, March.
  34. Gordon Gemmill, 2002. "Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds," Working Papers wp02-08, Warwick Business School, Finance Group.
  35. Juan Arismendi, 2014. "A Multi-Asset Option Approximation for General Stochastic Processes," ICMA Centre Discussion Papers in Finance icma-dp2014-03, Henley Business School, Reading University.
  36. 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.
  37. Susanne Griebsch, 2013. "The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques," Review of Derivatives Research, Springer, vol. 16(2), pages 135-165, July.
  38. Yu-Ling Lin & Ta-Cheng Chang & Su-Jing Yeh, 2012. "Default Risk and Equity Returns: Evidence from the Taiwan Equities Market," Asia-Pacific Financial Markets, Springer, vol. 19(2), pages 181-204, May.
  39. Bellalah, Mondher, 2000. "Le choix des investissements et les options réelles : une revue de la littérature," Economics Papers from University Paris Dauphine 123456789/9845, Paris Dauphine University.
  40. Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers 04-34, Bank of Canada.
  41. John M. Harris, Jr. & G. Stacy Sirmans, 1987. "Discount Points, Effective Yields and Mortgage Prepayments," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 97-104.
  42. 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.
  43. Lukas, Elmar, 2007. "Dynamic market entry and the value of flexibility in transitional international joint ventures," Review of Financial Economics, Elsevier, vol. 16(1), pages 91-110.
  44. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.
  45. Jo�o Pedro Vidal Nunes, 2004. "MultiFactor Valuation of Floating Range Notes," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 79-97.
  46. Yao, Jingtao & Li, Yili & Tan, Chew Lim, 2000. "Option price forecasting using neural networks," Omega, Elsevier, vol. 28(4), pages 455-466, August.
  47. Yingbin Xiao & Dale F. Gray & Cheng Hoon Lim & Michael T. Gapen, 2004. "The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transfer," IMF Working Papers 04/121, International Monetary Fund.
  48. Santiago Forte, 2004. "Capital Structure: Optimal Leverage And Maturity Choice In A Dynamic Model," Business Economics Working Papers wb041206, Universidad Carlos III, Departamento de Economía de la Empresa.
  49. Grenadier, Steven R. & Weiss, Allen M., 1997. "Investment in technological innovations: An option pricing approach," Journal of Financial Economics, Elsevier, vol. 44(3), pages 397-416, June.
  50. :Andrea Gamba & Fusari Nicola, 2009. "Valuing Modularity as a Real Option," Working Papers wpn09-03, Warwick Business School, Finance Group.
  51. Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  52. Chung, Y. Peter & Johnson, Herb, 2011. "Extendible options: The general case," Finance Research Letters, Elsevier, vol. 8(1), pages 15-20, March.
  53. Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
  54. Linda Fernandez & Larry Karp, 1998. "Restoring Wetlands Through Wetlands Mitigation Banks," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 12(3), pages 323-344, October.
  55. Alan Marcus, 1987. "Corporate Pension Policy and the Value of PBGC Insurance," NBER Chapters, in: Issues in Pension Economics, pages 49-80 National Bureau of Economic Research, Inc.
  56. Hanke, Michael & Potzelberger, Klaus, 2002. "Consistent pricing of warrants and traded options," Review of Financial Economics, Elsevier, vol. 11(1), pages 63-77.
  57. Giandomenico, Rossano, 2006. "Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management," MPRA Paper 18844, University Library of Munich, Germany.
  58. Cassimon, D. & De Backer, M. & Engelen, P.J. & Van Wouwe, M. & Yordanov, V., 2011. "Incorporating technical risk in compound real option models to value a pharmaceutical R&D licensing opportunity," Research Policy, Elsevier, vol. 40(9), pages 1200-1216.
  59. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
  60. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
  61. 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.
  62. Cheng, Ching-Tsung & Lo, Shang-Lien & Lin, Tyrone T., 2011. "Applying real options analysis to assess cleaner energy development strategies," Energy Policy, Elsevier, vol. 39(10), pages 5929-5938, October.
  63. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  64. Naszódi, Anna, 2004. "A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között
    [Target-zone rearrangement and exchange-rate behaviour in an options-based model]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 638-658.
  65. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  66. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.
  67. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, August.
  68. Ghosh, Suvankar & Troutt, Marvin D., 2012. "Complex compound option models – Can practitioners truly operationalize them?," European Journal of Operational Research, Elsevier, vol. 222(3), pages 542-552.
  69. McIntyre, Michael L. & Jackson, David, 2009. "Market moves and the information content of option prices," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 327-340, March.
  70. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
  71. Chang, Chuang-Chang & Chung, San-Lin & Yu, Min-Teh, 2006. "Loan guarantee portfolios and joint loan guarantees with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 16-35, February.
  72. Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".
  73. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  74. Ming-Cheng WU & I-Cheng LIN & Yi-Ting HUANG & Chang-Rong, 2015. "Forecasting Prices Of Presale Houses: A Real Option Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 143-158, March.
  75. Agliardi, Rossella, 2006. "Options to expand: Some remarks," Finance Research Letters, Elsevier, vol. 3(1), pages 65-72, March.
  76. Andrea Gamba, 2002. "Real options Valuation: A Monte Carol Approach," Working Papers wpn02-02, Warwick Business School, Finance Group.
  77. Strothmann, Christian, 2007. "Die Bewertung Strategischer Allianzen mit dem Realoptionsansatz," Arbeitspapiere 69, Westfälsche Wilhelms-Universität Münster (WWU), Institut für Genossenschaftswesen.
  78. Graf, M. & Kimms, A., 2013. "Transfer price optimization for option-based airline alliance revenue management," International Journal of Production Economics, Elsevier, vol. 145(1), pages 281-293.
  79. 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.
  80. Cassimon, Danny & Engelen, Peter-Jan & Yordanov, Vilimir, 2011. "Compound Real Option Valuation with Phase-Specific Volatility: a Multi-phase Mobile Payments Case Study," MPRA Paper 46053, University Library of Munich, Germany.
  81. Giesecke, Kay, 2001. "Default compensator, incomplete information, and the term structure of credit spreads," SFB 373 Discussion Papers 2002,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  82. Paul H. Kupiec, 2002. "Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives," IMF Working Papers 02/125, International Monetary Fund.
  83. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
  84. Charitou, Andreas & Dionysiou, Dionysia & Lambertides, Neophytos & Trigeorgis, Lenos, 2013. "Alternative bankruptcy prediction models using option-pricing theory," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2329-2341.
  85. Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2013. "Multi-stage product development with exploration, value-enhancing, preemptive and innovation options," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 174-190.
  86. L. Sereno, 2006. "Valuing R & D Investments With A Jump-Diffusion Process," Working Papers 569, Dipartimento Scienze Economiche, Universita' di Bologna.
  87. 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.
  88. Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.
  89. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
  90. Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2011. "The term structure of banking crisis risk in the United States: A market data based compound option approach," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 876-885, April.
  91. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
  92. M. Bellalah, 2000. "A Reexamination of Corporate Risks Under Incomplete Information," THEMA Working Papers 2000-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  93. Cassimon, D. & Engelen, P. J. & Thomassen, L. & Van Wouwe, M., 2004. "The valuation of a NDA using a 6-fold compound option," Research Policy, Elsevier, vol. 33(1), pages 41-51, January.
  94. Joseph Atta-Mensah, 2003. "Collateral and Credit Supply," Staff Working Papers 03-11, Bank of Canada.
  95. Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
  96. Shumei Gao & Jihe Song, 2004. "Quota Use under VERs: A theoretical framework and some evidence on MFA quota use," Working Papers E03, Department of Economics, School of Management and Languages, Heriot Watt University.
  97. Elmar Lukas, 2005. "Sequential International Joint-Ventures and the Option to Choose," International Finance 0504007, EconWPA, revised 15 Nov 2005.
  98. Marco Realdon, . "Valuation of Put Options on Leveraged Equity," Discussion Papers 03/19, Department of Economics, University of York.
  99. Rene Carmona & Michael Coulon & Daniel Schwarz, 2012. "Electricity price modeling and asset valuation: a multi-fuel structural approach," Papers 1205.2299, arXiv.org.
  100. Y. Li & P.J. Engelen & C.J.M. Kool, 2013. "A Barrier Options Approach to Modeling Project Failure: The Case of Hydrogen Fuel Infrastructure," Working Papers 13-01, Utrecht School of Economics.
  101. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
  102. Ulrich Pape & Stephan Schmidt-Tank, 2005. "Valuing Joint Ventures Using Real Options," Finance 0503030, EconWPA.
  103. Stinson, Thomas F. & Coggins, Jay S. & Ramezani, Cyrus A., 1998. "Was Fair Fair To U.S. Corn Growers? An Analysis Of The Payments Offered To Corn Growers Under The 1996 Federal Agricultural Improvement And Reform Act," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20984, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  104. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI.
  105. Terrence M. Clauretie & Mel Jameson, 1995. "Residential Loan Renegotiation: Theory and Evidence," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 153-162.
  106. Maurice Peat, 2001. "Bankruptcy Probability: A Theoretical and Empirical Examination," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 20, August.
  107. Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 19 Dec 2002.
  108. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
  109. Gukhal, C.R.Chandrasekhar Reddy, 2004. "The compound option approach to American options on jump-diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2055-2074, September.
  110. Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge.
  111. Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013. "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, vol. 40(C), pages 976-988.
  112. Brenner, Menachem & Ou, Ernest Y. & Zhang, Jin E., 2006. "Hedging volatility risk," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 811-821, March.
  113. Raviv, Alon & Sisli-Ciamarra, Elif, 2013. "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, vol. 9(1), pages 55-68.
  114. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  115. THOMASSEN, Liesbeth & VAN CASTEREN, Jan & VAN WOUWE, Martine, 2002. "Decomposition of the n-fold compound option," Working Papers 2002040, University of Antwerp, Faculty of Applied Economics.
  116. Davis, Graham A., 1998. "Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 725-754.
  117. Vogl, Konstantin & Maltritz, Dominik & Huschens, Stefan & Karmann, Alexander, 2006. "Country Default Probabilities: Assessing and Backtesting," Dresden Discussion Paper Series in Economics 12/06, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  118. Anders, Ulrich & Korn, Olaf & Schmitt, Christian, 1996. "Improving the pricing of options: a neural network approach," ZEW Discussion Papers 96-04, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  119. Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
  120. Liu, Ying & Papakirykos, Eli & Yuan, Mingwei, 2006. "Market Valuation and Risk Assessment of Canadian Banks," Review of Applied Economics, Review of Applied Economics, vol. 2(1).
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