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Finite maturity caps and floors on continuous flows
15 references·1 citing·30 second hop
Finite maturity caps and floors on continuous flows (2007)Finite maturity caps and floors on contin…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal Switching in an Economic Activity under Uncertainty (1994)Optimal Switching in an Econo…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyThe Value of Flexibility: The Case of a Dual-Fuel Industrial Steam Boiler (1993)The Value of Flexibility: The…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…The High Contact Principle as a Sufficiency Condition for Optimal Stopping (1990)The High Contact Principle as…Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Investment and the Valuation …The pricing of call and put options on foreign exchange (1983)The pricing of call and put o…Foreign currency option values (1983)Foreign currency option valuesTHE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The pricing of commodity contracts (1976)The pricing of commodity cont…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Capital Theory and Investment Behavior (1963)Capital Theory and Investment…Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets (2011)Getting Real with Real Option…Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)An Intertemporal Capital Asset Pricing Model (1973)Changes of numéraire, changes of probability measure and option pricing (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Tax Policy and Investment Behavior (1967)The Value of Waiting to Invest (1982)INTANGIBLE CAPITAL AND U.S. ECONOMIC GROWTH (2009)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Capital markets research in accounting (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1963Capital Theory and Investment Behavior2,191 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1983Foreign currency option values1,078 cited
  • 1985Investment and the Valuation of Firms When There is an Option to Shut Down759 cited
  • 1983The pricing of call and put options on foreign exchange276 cited
  • 1994Optimal Switching in an Economic Activity under Uncertainty198 cited
  • 1993The Value of Flexibility: The Case of a Dual-Fuel Industrial Steam Boiler191 cited
  • 1990The High Contact Principle as a Sufficiency Condition for Optimal Stopping68 cited

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Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets
28 cited