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A theoretical and empirical investigation of the dual purpose funds
7 references·16 citing·34 second hop
A theoretical and empirical investigation of the dual purpose funds (1976)A theoretical and empirical investigation…Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…A Complete Model of Warrant Pricing that Maximizes Utility (1969)A Complete Model of Warrant P…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Board governance, monetary interest, and closed-end fund performance (2016)Board governance, monetary in…Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests (2015)Contingent Claims Valuation o…Transparency, idiosyncratic risk, and convertible bonds (2012)Transparency, idiosyncratic r…Simulation-Based Estimation of Contingent-Claims Prices (2009)Simulation-Based Estimation o…Leverage and NAV discount: evidence from Italian real estate investment funds (2009)Leverage and NAV discount: ev…A Survey of Contingent‐Claims Approaches to Risky Debt Valuation (2000)A Survey of Contingent‐Claims…The pricing of convertible debt offerings (1996)The pricing of convertible de…Efficient option-implied volatility estimators (1996)Efficient option-implied vola…Contingent claims valuation when the security price is a combination of an Ito process and a random point process (1988)Contingent claims valuation w…The Pricing Effects of Interfirm Cash Tender Offers (1987)The Pricing Effects of Interf…Pricing Options on Agricultural Futures: Departures from Traditional Theory (1985)Pricing Options on Agricultur…Itô’s Calculus in Financial Decision Making (1983)Itô’s Calculus in Financial D…COHERENCE OF THE MODERN THEORIES OF FINANCE (1981)COHERENCE OF THE MODERN THEOR…GOAL PROGRAMMING AND THE SELECTION OF PORTFOLIOS BY DUAL‐PURPOSE FUNDS (1978)GOAL PROGRAMMING AND THE SELE…THE THEORY OF RECAPITALIZATIONS AND THE EVIDENCE OF DUAL PURPOSE FUNDS (1977)THE THEORY OF RECAPITALIZATIO…The impact of variance estimation in option valuation models (1977)The impact of variance estima…Option pricing (1976)A contingent-claims valuation of convertible securities (1977)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)The variation of certain speculative prices (1997)American Economic Review (2019)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)Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization (1993)Option Pricing with a General Marked Point Process (2001)Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios (2007)Applied Statistical Decision Theory (1962)Applied Statistical Decision Theory. (1962)Non-trading, market making, and estimates of stock price volatility (1986)Statistical tests of contingent-claims asset-pricing models (1986)The valuation of American call options and the expected ex-dividend stock price decline (1986)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)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)Sequential Decision Problems: A Model to Exploit Existing Forecasters (1969)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT (1973)A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent-Claims Analysis (2011)An Empirical Assessment of a Simple Contingent‐Claims Model for the Valuation of Risky Debt (2000)Regulatory Capital Charges for Too‐Connected‐to‐Fail Institutions: A Practical Proposal (2010)Reduced‐Form versus Structural Models of Credit Risk: A Case Study of Three Models (2012)Option pricing: A simplified approach (1979)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)THE VALUATION OF AMERICAN PUT OPTIONS (1977)Risk and Volatility: Econometric Models and Financial Practice (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 2015Rational Theory of Warrant Pricing534 cited
  • 1969A Complete Model of Warrant Pricing that Maximizes Utility142 cited

Cited by

  • 1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited
  • 2000A Survey of Contingent‐Claims Approaches to Risky Debt Valuation79 cited
  • 1977The impact of variance estimation in option valuation models71 cited
  • 1981COHERENCE OF THE MODERN THEORIES OF FINANCE70 cited
  • 1987The Pricing Effects of Interfirm Cash Tender Offers60 cited
  • 1978GOAL PROGRAMMING AND THE SELECTION OF PORTFOLIOS BY DUAL‐PURPOSE FUNDS50 cited
  • 1996The pricing of convertible debt offerings48 cited
  • 2009Simulation-Based Estimation of Contingent-Claims Prices39 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1983Itô’s Calculus in Financial Decision Making31 cited
  • 1977THE THEORY OF RECAPITALIZATIONS AND THE EVIDENCE OF DUAL PURPOSE FUNDS29 cited
  • 1996Efficient option-implied volatility estimators29 cited
  • 2016Board governance, monetary interest, and closed-end fund performance26 cited
  • 1985Pricing Options on Agricultural Futures: Departures from Traditional Theory23 cited
  • 2015Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests22 cited
  • 2009Leverage and NAV discount: evidence from Italian real estate investment funds21 cited
  • 2012Transparency, idiosyncratic risk, and convertible bonds19 cited