Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Robert Geske"'
Publikováno v:
Journal of Financial Economics. 121:231-253
We examine whether values of equity options traded on individual firms are sensitive to the firm’s capital structure. We estimate the compound option (CO) model, which views equity as an option on the firm. Compared with the Black-Scholes model, th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a6d652c2e4f78dfacbeb2ca33698e5a9
https://doi.org/10.1016/j.jfineco.2016.03.009
https://doi.org/10.1016/j.jfineco.2016.03.009
Publikováno v:
SSRN Electronic Journal.
We examine whether values of equity options traded on individual firms are sensitive to the firm's capital structure. Specifically, we estimate the compound option (CO) model, which views equity as an option on the firm. Compared to the Black-Scholes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dd105d984e3f33f37fc38514def0c84b
https://doi.org/10.2139/ssrn.2497267
https://doi.org/10.2139/ssrn.2497267
Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults
Autor:
Robert Geske, Gordon Delianedis
Publikováno v:
SSRN Electronic Journal.
Default probabilities are important to the credit markets. Changes in default probabilities may forecast credit rating migrations to other rating levels or to default. Such rating changes can affect the firm’s cost of capital, credit spreads, bond
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5fb91580787a0d439e102521d895514
https://doi.org/10.2139/ssrn.424301
https://doi.org/10.2139/ssrn.424301
Autor:
Gordon Delianedis, Robert Geske
Publikováno v:
SSRN Electronic Journal.
This paper analyzes the components of corporate credit spreads. The analysis is based on a structural model that can offer a framework to understand the decomposition. The paper contends that default risk may correctly represent only a small portion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::879e63d264aecc4ddf24b364ee628124
https://doi.org/10.2139/ssrn.306479
https://doi.org/10.2139/ssrn.306479
Autor:
W. John, Durfee, William G., Masters, Charles A., Montgomery, Robert E., Faith, Mark J., McArthur, Robert, Geske
Publikováno v:
Contemporary topics in laboratory animal science. 38(1)
The incidence of primary renal neoplasia in animals is quite low. Carcinomas are the most common primary renal tumors of dogs, cattle, and sheep. Among rabbit tumors, only uterine adenocarcinomas occur more frequently than do embryonal nephromas. How
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=pmid________::c68756c7110ae2988c1d7101cbdc2ef6
https://pubmed.ncbi.nlm.nih.gov/12086462
https://pubmed.ncbi.nlm.nih.gov/12086462
Publikováno v:
Journal of Financial Economics. 8:283-317
During the 1970's, mutual fund insurance was sold in the U.S. by the Harleysville and Prudential Insurance Companies. This paper examines the valuation and demand for this insurance. It illustrates that because of its design, for many plausible combi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d5d9a56fd2a31f3e80411bed0639d01d
https://doi.org/10.1016/0304-405x(80)90004-5
https://doi.org/10.1016/0304-405x(80)90004-5
Autor:
Herbert E. Johnson, Robert Geske
Publikováno v:
The Journal of Finance. 39:1511-1524
An analytic solution to the American put problem is derived herein. The hedge ratio and other derivatives of the solution are presented. The formula derived implies an exact duplicating portfolio for the American put consisting of discount bonds and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0486c420c054c4d4039f7f9f2dd6a63
https://doi.org/10.1111/j.1540-6261.1984.tb04921.x
https://doi.org/10.1111/j.1540-6261.1984.tb04921.x
Autor:
Robert Geske, Richard Roll
Publikováno v:
Journal of Finance. 38(1):1-33
Contrary to economic theory and common sense, stock returns are negatively related to both expected and unexpected inflation. We argue that this puzzling empirical phenomenon does not indicate causality. Instead, stock returns are negatively related
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3972d39d448842e5b2e1a5b699d9d43b
Autor:
Robert Geske
Publikováno v:
Journal of Financial Economics. 7:375-380
This note provides simple analytic formulas for the value of an American call option on a stock with known dividends.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e808c67213fd01d4bea40ec7fc20691d
https://doi.org/10.1016/0304-405x(79)90004-7
https://doi.org/10.1016/0304-405x(79)90004-7