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Derivative Assets Analysis
15 references·9 citing·29 second hop
Derivative Assets Analysis (1987)Derivative Assets AnalysisTheory of rational option pricing (2005)Theory of rational option pri…Valuation of Foreign Currency Options: Some Empirical Tests (1986)Valuation of Foreign Currency…An empirical investigation of calls of non-convertible bonds (1986)An empirical investigation of…A Sequential Signalling Model of Convertible Debt Call Policy (1985)A Sequential Signalling Model…Warrant valuation and exercise strategy (1983)Warrant valuation and exercis…Valuation of asset leasing contracts (1983)Valuation of asset leasing co…Calculating abandonment value using option pricing theory (1983)Calculating abandonment value…The relation between forward prices and futures prices (1981)The relation between forward …Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…Option pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Role of Securities in the…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…Deriving the Derivative (2018)Deriving the DerivativeThe Impact of Index Futures on Spot Market Volatility in China (2014)The Impact of Index Futures o…Rent Taxation for Nonrenewable Resources (2009)Rent Taxation for Nonrenewabl…Private Risk (2003)Private RiskAn Option-Pricing Look at the Introduction of Private Labels (2000)An Option-Pricing Look at the…Mispricing in Stock Index Futures: A Re‐Examination Using the SPI (1997)Mispricing in Stock Index Fut…Transaction Data Tests of S&P 100 Call Option Pricing (1991)Transaction Data Tests of S&P…Dynamic efficiency and price leadership in stock index cash and futures markets (1991)Dynamic efficiency and price …Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987 (1988)Trading Activity and Price Be…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy (1979)Dividend Policy under Asymmetric Information (1985)Equilibrium Verification and Reporting Policies in a Model of Tax Compliance (1986)Insider Trading as a Signal of Private Information (1993)Behavioral Corporate Finance: An Updated Survey (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A comparison of futures and forward prices (1983)A cointegration test for market efficiency (1991)Is normal backwardation normal? (1992)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Theory of Financial Decision Making. (1988)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Market Insurance, Self-Insurance, and Self-Protection (1992)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1973The Role of Securities in the Optimal Allocation of Risk-bearing1,179 cited
  • 1964The Role of Securities in the Optimal Allocation of Risk-bearing1,172 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1985A Sequential Signalling Model of Convertible Debt Call Policy194 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 1983Valuation of asset leasing contracts176 cited
  • 1986Valuation of Foreign Currency Options: Some Empirical Tests87 cited
  • 1983Warrant valuation and exercise strategy78 cited
  • 1986An empirical investigation of calls of non-convertible bonds77 cited
  • 1983Calculating abandonment value using option pricing theory68 cited

Cited by

  • 1991

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Dynamic efficiency and price leadership in stock index cash and futures markets
54 cited
  • 1991Transaction Data Tests of S&P 100 Call Option Pricing51 cited
  • 1988Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 198746 cited
  • 2014The Impact of Index Futures on Spot Market Volatility in China32 cited
  • 1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPI30 cited
  • 2000An Option-Pricing Look at the Introduction of Private Labels26 cited
  • 2018Deriving the Derivative19 cited
  • 2009Rent Taxation for Nonrenewable Resources18 cited
  • 2003Private Risk2 cited