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The valuation of compound options · Study

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ArticleThe valuation of compound options

Robert L. Geske1979

Article1979

The valuation of compound options

Robert L. Geske

1,107 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Reporting and Valuation Research

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 1,107 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1977Determinants of corporate borrowing 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1973An Intertemporal Capital Asset Pricing Model 1976Option pricing when underlying stock returns are discontinuous 1976The valuation of options for alternative stochastic processes 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

Cited by

1995THE GARCH OPTION PRICING MODEL 2004Arbitrage Theory in Continuous Time 1987Option values under stochastic volatility: Theory and empirical estimates 1988Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases 1995Changes of numéraire, changes of probability measure and option pricing 1984The American Put Option Valued Analytically 1993Real Options and Interactions with Financial Flexibility 1995Option pricing by Esscher transforms.

Details

Year1979

Typearticle

Published1979-03-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations1,107

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/0304-405x(79)90022-9

openalex_workW1990664633

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