The Derivatives Sourcebook

The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

[1]  L. Bachelier,et al.  Théorie de la spéculation , 1900 .

[2]  D. Stanley Tarbell,et al.  Colloques Internationaux du Centre National de la Recherche Scientifique. , 1958 .

[3]  A. Stuart,et al.  Portfolio Selection: Efficient Diversification of Investments , 1959 .

[4]  A. Stuart,et al.  Portfolio Selection: Efficient Diversification of Investments. , 1960 .

[5]  H. Markowitz,et al.  The Random Character of Stock Market Prices. , 1965 .

[6]  H. P. Jr. Mackean,et al.  Appendix : A free boundary problem for the heat equation arising from a problem in mathematical economics , 1965 .

[7]  J. Lintner.  THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[8]  M. C. Jensen.  The Performance of Mutual Funds in the Period 1945-1964 , 1967 .

[9]  Paul A. Samuelson,et al.  A Complete Model of Warrant Pricing that Maximizes Utility , 1969 .

[10]  R. C. Merton,et al.  Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case , 1969 .

[11]  R. C. Merton,et al.  Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .

[12]  Joseph J. Horton,et al.  The Behavior of Interest Rates: The Application of the Efficient Market Model to U.S. Treasury Bills. By Richard Roll. New York: Basic Books, 1970. Pp. xviii, 139. $7.95 , 1972 .

[13]  Myron S. Scholes.  The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices , 1972 .

[14]  F. Black,et al.  The Valuation of Option Contracts and a Test of Market Efficiency , 1972 .

[15]  F. Black,et al.  The Capital Asset Pricing Model: Some Empirical Tests , 2006 .

[16]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[17]  P. Samuelson.  Mathematics of Speculative Price , 1973 .

[18]  R. C. Merton,et al.  AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .

[19]  R. C. Merton,et al.  On the Pricing of Corporate Debt: The Risk Structure of Interest Rates , 1974, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[20]  J. G. McDonald.  Faculty Tenure as a Put Option: An Economic Interpretation. , 1974 .

[21]  F. Black.  Fact and Fantasy in the Use of Options , 1975 .

[22]  Eduardo S. Schwartz,et al.  The pricing of equity-linked life insurance policies with an asset value guarantee , 1976 .

[23]  J. Ingersoll.  A theoretical and empirical investigation of the dual purpose funds , 1976 .

[24]  Myron S. Scholes.  Taxes and the Pricing of Options , 1976 .

[25]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[26]  S. Ross.  The arbitrage theory of capital asset pricing , 1976 .

[27]  S. Ross,et al.  The valuation of options for alternative stochastic processes , 1976 .

[28]  S. Ross.  Options and Efficiency , 1976 .

[29]  Clifford W. Smith,et al.  Option pricing: A review , 1976 .

[30]  R. C. Merton,et al.  The impact on option pricing of specification error in the underlying stock price returns , 2011 .

[31]  F. Black.  The pricing of commodity contracts , 1976 .

[32]  Michael Parkinson,et al.  Option Pricing: The American Put , 1977 .

[33]  Robert C. Merton,et al.  On the pricing of contingent claims and the Modigliani-Miller theorem , 1977 .

[34]  P. Boyle.  Options: A Monte Carlo approach , 1977 .

[35]  R. C. Merton,et al.  An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory , 1977 .

[36]  Eduardo S. Schwartz,et al.  Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis , 1977 .

[37]  Oldrich A. Vasicek.  An equilibrium characterization of the term structure , 1977 .

[38]  Douglas T. Breeden,et al.  Prices of State-Contingent Claims Implicit in Option Prices , 1978 .

[39]  M. Rubinstein..  Nonparametric tests of alternative option pricing models using all reported trades and quotes on the , 1985 .

[40]  S. Fischer.  CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS , 1978 .

[41]  Merton H. Miller,et al.  Prices for State-contingent Claims: Some Estimates and Applications , 1978 .

[42]  R. C. Merton,et al.  The Returns and Risk of Alternative Call Option Portfolio Investment Strategies , 1978 .

[43]  William Margrabe.  The Value of an Option to Exchange One Asset for Another , 1978 .

[44]  S. Richard.  An arbitrage model of the term structure of interest rates , 1978 .

[45]  L. Shepp,et al.  On Contingent Claims that Insure Ex-post Optimal Stock Market Timing , 1979 .

[46]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[47]  Eduardo S. Schwartz,et al.  A continuous time approach to the pricing of bonds , 1979 .

[48]  R. Geske,et al.  A note on an analytical valuation formula for unprotected American call options on stocks with known dividends , 1979 .

[49]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[50]  Michael J. Brennan,et al.  The Pricing of Contingent Claims in Discrete Time Models , 1979 .

[51]  Douglas T. Breeden.  An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities , 1979 .

[52]  M. Goldman,et al.  Path Dependent Options: "Buy at the Low, Sell at the High" , 1979 .

[53]  R. Geske.  THE VALUATION OF COMPOUND OPTIONS , 1979 .

[54]  Mihir Bhattacharya.  Empirical Properties of the Black-Scholes Formula Under Ideal Conditions , 1980, Journal of Financial and Quantitative Analysis.

[55]  P. Boyle,et al.  Discretely adjusted option hedges , 1980 .

[56]  E. Rosenfeld.  Stochastic processes of common stock returns : an empirical examination. , 1980 .

[57]  R. Jarrow.  Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices , 1980 .

[58]  R. Litzenberger,et al.  Mutual fund insurance , 1980 .

[59]  Howard B. Sosin.  On the Valuation of Federal Loan Guarantees to Corporations , 1980 .

[60]  M. Garman.,et al.  Inflation and Foreign Exchange Rates Under Production and Monetary Uncertainty , 1980, Journal of Financial and Quantitative Analysis.

[61]  Eduardo S. Schwartz,et al.  Analyzing Convertible Bonds , 1980, Journal of Financial and Quantitative Analysis.

[62]  Michael A. Simkowitz,et al.  Morphology of asset asymmetry , 1980 .

[63]  A. Payne.  A Stock Options Exchange in South Africa , 1980 .

[64]  John J. McConnell,et al.  Valuation of GNMA Mortgage-Backed Securities , 1981 .

[65]  S. Richard,et al.  A continuous time equilibrium model of forward prices and futures prices in a multigood economy , 1981 .

[66]  Robert E. Whaley,et al.  On the valuation of American call options on stocks with known dividends , 1981 .

[67]  J. Weston.  Developments in Finance Theory , 1981 .

[68]  F. Milne.  Induced preferences and the theory of the consumer , 1981 .

[69]  J. Patell,et al.  The Ex Ante And Ex Post Price Effects Of Quarterly Earnings Announcements Reflected In Option And Stock-Prices , 1981 .

[70]  Myron S. Scholes.  The economics of hedging and spreading in futures markets , 1981 .

[71]  T. Teisberg,et al.  A Dynamic Programming Model of the U.S. Strategic Petroleum Reserve , 1981 .

[72]  Larry Y. Dann.  Common stock repurchases : An analysis of returns to bondholders and stockholders , 1981 .

[73]  A. Thakor,et al.  Bank loan commitments and interest rate volatility , 1981 .

[74]  Mark I. Weinstein.  The Systematic Risk of Corporate Bonds , 1981, Journal of Financial and Quantitative Analysis.

[75]  Joseph T. Williams,et al.  Education as an Option. , 1981 .

[76]  John J. McConnell,et al.  A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities , 1981 .

[77]  P. Mueller.  Covered Options: An Alternative Investment Strategy , 1981 .

[78]  Michael L. Mussa.  Sticky Prices and Disequilibrium Adjustment in a Rational Model of the Inflationary Process , 1981 .

[79]  The Pricing of Corporate Debt: A Note , 1981 .

[80]  Lemma W. Senbet,et al.  Resolving the Agency Problems of External Capital through Options , 1981 .

[81]  C. Dale,et al.  Measuring patterns of price movements in the Treasury bill futures market , 1981 .

[82]  G. Morgan.  Forward and futures pricing of treasury bills , 1981 .

[83]  Yair E. Orgler,et al.  NBER WORKING PAPER SERIES IMPLICATIONS OF CORPORATE CAPITAL STRUCTURE THEORY FOR BANKING INSTITUTIONS , 2002 .

[84]  S. Sethi,et al.  A Comparison of the Ito and Stratonovich Formulations of Problems in Finance , 1981 .

[85]  S. Beckers.  Standard deviations implied in option prices as predictors of future stock price variability , 1981 .

[86]  Robert S. Pindyck,et al.  The Optimal Production of an Exhaustible Resource When Price is Exogenous and Stochastic , 1981 .

[87]  Jonathan Eaton,et al.  Agency, Delayed Compensation, and the Structure of Executive Remuneration , 1981 .

[88]  W. Mikkelson.  CONVERTIBLE CALLS AND SECURITY RETURNS , 1981 .

[89]  Lars E. O. Svensson.  Efficiency and Speculation in a Model with Price-Contingent Contracts , 1981 .

[90]  Richard J. Rendleman.  Optimal Long-Run Option Investment Strategies , 1981 .

[91]  Y. Amihud,et al.  Risk Reduction as a Managerial Motive for Conglomerate Mergers , 1981 .

[92]  S. Beckers.  A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns , 1981, Journal of Financial and Quantitative Analysis.

[93]  Sudipto Bhattacharya,et al.  Notes on Multiperiod Valuation and the Pricing of Options , 1981 .

[94]  Wayne Y. Lee,et al.  Option pricing in a lognormal securities market with discrete trading , 1981 .

[95]  James H. Scott.  The probability of bankruptcy: A comparison of empirical predictions and theoretical models , 1981 .

[96]  Michael J. Brennan,et al.  Optimal Portfolio Insurance , 1981, Journal of Financial and Quantitative Analysis.

[97]  M. Subrahmanyam,et al.  Uncertain inflation, exchange rates, and bond yields , 1981 .

[98]  R. Bookstaber,et al.  Observed Option Mispricing and the Nonsimultaneity of Stock and Option Quotations , 1981 .

[99]  David M. Kreps.  Arbitrage and equilibrium in economies with infinitely many commodities , 1981 .

[100]  Andrew H. Chen,et al.  Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital , 1981 .

[101]  Eric W. Noreen,et al.  Equilibrium Warrant Pricing-Models And Accounting For Executive Stock-Options , 1981 .

[102]  G. E. Pinches.  Myopia, Capital Budgeting and Decision Making , 1982 .

[103]  Richard J. Rendleman,et al.  Option Prices as Predictors of Equilibrium Stock Prices , 1982 .

[104]  T. C. Langetieg,et al.  Multiperiod Pension Plans and ERISA , 1982, Journal of Financial and Quantitative Analysis.

[105]  S. Ross,et al.  The Determination of Fair Profits for the Property- Liability Insurance Firm , 1982 .

[106]  A. Wolf,et al.  Fundamentals of commodity options on futures , 1982 .

[107]  David J. Teece,et al.  Towards an economic theory of the multiproduct firm , 1982 .

[108]  J. Gammill,et al.  Options, futures, and business risk , 1982 .

[109]  R. Whaley.  Valuation of American call options on dividend-paying stocks: Empirical tests , 1982 .

[110]  J. E. Pesando.  Investment Risk, Bankruptcy Risk, and Pension Reform in Canada , 1982 .

[111]  Stephen F. LeRoy.  Expectations Models of Asset Prices: A Survey of Theory , 1982 .

[112]  Valuing Pensions (Annuities) with Different Types of Inflation Protection in Total Compensation Comparisons , 1982 .

[113]  Capital accumulation in a stochastic decentralized economy , 1982 .

[114]  Lawrence H. White.  Competitive Payments Systems and the Unit of Account , 1982 .

[115]  L. Kochman.  The Incidence and Implications of Mispriced CBOE Puts , 1982 .

[116]  Wayne Y. Lee,et al.  The Case for Using Options to Evaluate Salvage Values in Financial Leases , 1982 .

[117]  Georges Courtadon.  The Pricing of Options on Default-Free Bonds , 1982, Journal of Financial and Quantitative Analysis.

[118]  Jonathan E. Ingersoll,et al.  Mean-Variance Theory in Complete Markets , 1982 .

[119]  Richard J. Rogalski,et al.  Option Pricing Model Estimates: Some Empirical Results , 1982 .

[120]  Alan J. Marcus,et al.  Risk Sharing and the Theory of the Firm , 1982 .

[121]  Eduardo S. Schwartz,et al.  An Equilibrium Model of Bond Pricing and a Test of Market Efficiency , 1982, Journal of Financial and Quantitative Analysis.

[122]  Ronald W. Masulis.  Government Intervention in the Mortgage Market: A Study of Anti-Redlining Regulations , 1982 .

[123]  W. Sterk.  Tests of Two Models for Valuing Call Options on Stocks with Dividends , 1982 .

[124]  Charles I. Plosser,et al.  The Behavior of Money, Credit, and Prices in a Real Business Cycle , 1982 .

[125]  René M. Stulz,et al.  Options on the minimum or the maximum of two risky assets : Analysis and applications , 1982 .

[126]  David C. Emanuel,et al.  Further Results on the Constant Elasticity of Variance Call Option Pricing Model , 1982, Journal of Financial and Quantitative Analysis.

[127]  David A. Dubofsky.  The effects of maturing debt on equity risk , 1982 .

[128]  R. Schmidt.  Methodology and finance , 1982 .

[129]  J. Ingersoll.  The Pricing of Commodity-Linked Bonds: Discussion , 1982 .

[130]  R. McDonald,et al.  The Value of Waiting to Invest , 1982 .

[131]  Rajiv P. Mehta,et al.  Optimizing returns with stock option strategies : An integer programming approach , 1982, Comput. Oper. Res..

[132]  A. Kalay,et al.  Costly Contracting and Optimal Payout Constraints , 1982 .

[133]  Philip R. Perry.  The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process , 1982 .

[134]  Walter L. Eckardt.  The American Put: Computational Issues and Value Comparisons , 1982 .

[135]  Joseph K. Cheung,et al.  Anticipation of quarterly earnings announcements: A test of option market efficiency , 1982 .

[136]  A. Kalay,et al.  Stockholder-bondholder conflict and dividend constraints , 1982 .

[137]  Nils H. Hakansson,et al.  Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation , 1982 .

[138]  Avi Bick.  Comments on the valuation of derivative assets , 1982 .

[139]  P. G. Benson,et al.  Timing Decisions and the Behavior of Mutual Fund Systematic Risk , 1982, Journal of Financial and Quantitative Analysis.

[140]  T. Ho,et al.  Bond indenture provisions and the risk of corporate debt , 1982 .

[141]  A. Christie,et al.  The stochastic behavior of common stock variances: value , 1982 .

[142]  Robert C. Merton,et al.  The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies , 1982 .

[143]  Gary J. Koehler,et al.  The Calculation of Implied Variances from the Black‐Scholes Model: A Note , 1982 .

[144]  Z. Matolcsy,et al.  A two stage experimental design to test the efficiency of the market for traded stock options and the Australian evidence , 1982 .

[145]  Eduardo S. Schwartz.  The Pricing of Commodity‐Linked Bonds , 1982 .

[146]  A. Shapiro.  Risk in International Banking , 1982, Journal of Financial and Quantitative Analysis.

[147]  R. Gilson.  The Case Against Shark Repellent Amendments: Structural Limitations on the Enabling Concept , 1982 .

[148]  R. S. Sears,et al.  Measuring Portfolio Risk in Options , 1982, Journal of Financial and Quantitative Analysis.

[149]  Georges Courtadon.  A note on the premium market of the paris stock exchange , 1982 .

[150]  Thomas J. O'Brien,et al.  Ex ante evidence of backwardation/contango in commodities futures markets† , 1982 .

[151]  Michael R. Asay.  A note on the design of commodity option contracts , 1982 .

[152]  R. Jarrow,et al.  APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES , 1982 .

[153]  Baruch Lev,et al.  MARKET-BASED EMPIRICAL-RESEARCH IN ACCOUNTING - A REVIEW, INTERPRETATION, AND EXTENSION , 1982 .

[154]  S. Bhattacharya.  Aspects of Monetary and Banking Theory and Moral Hazard , 1982 .

[155]  E. Fama.  Inflation, Output, and Money , 1982 .

[156]  Vijay S. Bawa,et al.  Research Bibliography-Stochastic Dominance: A Research Bibliography , 1982 .

[157]  Eduardo S. Schwartz,et al.  Consistent Regulatory Policy under Uncertainty , 1982 .

[158]  Georges Courtadon,et al.  A More Accurate Finite Difference Approximation for the Valuation of Options , 1982, Journal of Financial and Quantitative Analysis.

[159]  Jerry J. Weygandt,et al.  Accounting For Stock-Based Awards Using The Minimum Value Method , 1982 .

[160]  A. Thakor.  Toward a Theory of Bank Loan Commitments , 1982 .

[161]  J. A. Miles,et al.  The Use of Warrants in the Bail out of First Pennsylvania Bank: An Application of Option Pricing , 1982 .

[162]  J. Skelton.  Banks, firms and the relative pricing of tax-exempt and taxable bonds , 1983 .

[163]  A. Marcus.  Corporate Pension Policy and the Value of Pbgc Insurance , 1983 .

[164]  W. Silber,et al.  Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts , 1983 .

[165]  Government Security Dealers' Positions, Information and Interest-Rate Expectations: A Note , 1983 .

[166]  P. Yu,et al.  A Goal Seeking Investment Model , 1983 .

[167]  Mihir Bhattacharya,et al.  Transactions data tests of efficiency of the Chicago board options exchange , 1983 .

[168]  Michael R. Asay.  A note on the design of commodity option contracts: A reply , 1983 .

[169]  David C. Emanuel.  Warrant Valuation and Exercise Strategy , 1983, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[170]  H. Johnson.  An Analytic Approximation for the American Put Price , 1983, Journal of Financial and Quantitative Analysis.

[171]  W. Michael Hanemann,et al.  Information and the concept of option value , 1983 .

[172]  David Emanuel,et al.  A Theoretical Model for Valuing Preferred Stock , 1983 .

[173]  Stanley J. Kon.  The Market-Timing Performance of Mutual Fund Managers , 1983 .

[174]  M. Garman.,et al.  Foreign currency option values , 1983 .

[175]  Yoram Kroll.  Efficiency analysis of deductible insurance policies , 1983 .

[176]  J. Grabbe.  The pricing of call and put options on foreign exchange , 1983 .

[177]  M. Rubinstein..  Displaced Diffusion Option Pricing , 1983 .

[178]  Walter N. Torous,et al.  Bond Price Dynamics and Options , 1983, Journal of Financial and Quantitative Analysis.

[179]  Chi-Fu Huang,et al.  Option pricing in a lognormal securities market with discrete trading: A comment , 1983 .

[180]  George M. Constantinides,et al.  Capital Market Equilibrium with Personal Tax , 1983 .

[181]  Carliss Y. Baldwin,et al.  Budgetary Time Bombs: Controlling Government Loan Guarantees , 1983 .

[182]  R. Geske,et al.  Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note , 1983 .

[183]  W. Sterk.  Option Pricing: Dividends and the in- and out-of-the-Money Bias , 1983 .

[184]  Dan Galai,et al.  The components of the return from hedging options , 1983 .

[185]  Ian H. Giddy,et al.  Foreign exchange options , 1983 .

[186]  C. Eger.  An Empirical Test of the Redistribution Effect in Pure Exchange Mergers , 1983, Journal of Financial and Quantitative Analysis.

[187]  J. Hull,et al.  The Valuation of Currency Options , 1983 .

[188]  Mark I. Weinstein.  Bond Systematic Risk and the Option Pricing Model , 1983 .

[189]  Kose John.  Collective fineness of stock prices and efficiency of financial markets , 1983 .

[190]  S. Beckers,et al.  Gold options, an attractive investment instrument for the non-U.S. investor — the case of the Belgian and Dutch investor , 1983 .

[191]  Greggory A. Brauer.  Evidence of the Market Value of Me-First Rules , 1983 .

[192]  Marc R. Reinganum,et al.  The Monetary Approach to Stock Returns and Inflation , 1983 .

[193]  Contingent Claims, Personal Loans and the Irrelevance of Corporate Financial Structure , 1983 .

[194]  W. Torous,et al.  A Simplified Jump Process for Common Stock Returns , 1983, Journal of Financial and Quantitative Analysis.

[195]  R. H. Pettway,et al.  A Note on the Components and Segmentation of Bond Default Risk , 1983 .

[196]  R. McDonald,et al.  A note on the design of commodity options contracts: A comment , 1983 .

[197]  E. Thorp,et al.  The Cost of Liquidity Services in Listed Options: A Note , 1983 .

[198]  W. Sterk.  Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models , 1983, Journal of Financial and Quantitative Analysis.

[199]  Dan Galai,et al.  Information Effects on the Bid‐Ask Spread , 1983 .

[200]  Elroy Dimson,et al.  The Stability of UK Risk Measures and The Problem of Thin Trading , 1983 .

[201]  Pricing of optional bonds , 1983 .

[202]  Cheng-Few Lee,et al.  Financial analysis and planning: an overview , 1983 .

[203]  Philip H. Dybvig,et al.  Bank Runs, Deposit Insurance, and Liquidity , 1983, Journal of Political Economy.

[204]  B. Gavish,et al.  On the Asset Substitution Problem , 1983 .

[205]  Richard Bookstaber,et al.  An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions , 1983 .

[206]  A model and some evidence on pricing compound call options , 1983 .

[207]  L. Huffman.  Operating leverage, financial leverage, and equity risk , 1983 .

[208]  S. Beckers,et al.  Variances of Security Price Returns Based on High , 1983 .

[209]  Anastasios Malliaris,et al.  ITO'S CALCULUS IN FINANCIAL DECISION MAKING* , 1983 .

[210]  D. Carlton,et al.  The Regulation of Insider Trading , 1983 .

[211]  P. L. Cheng,et al.  Continuous Maturity Diversification of Default-Free Bond Portfolios and a Generalization of Efficient Diversification , 1984 .

[212]  Stylianos Perrakis,et al.  Option Pricing Bounds in Discrete Time , 1984 .

[213]  Alan J. Marcus,et al.  The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates , 1984 .

[214]  Alan J. Marcus,et al.  Deregulation and bank financial policy , 1984 .

[215]  R. Gilson,et al.  The Mechanisms of Market Efficiency , 1984 .

[216]  M. Pitts.  The Valuation of Currency Options: Comment , 1984 .

[217]  Alex Kane,et al.  How Big is the Tax Advantage to Debt? , 1984 .

[218]  R. Rosenthal,et al.  Strategic analysis of the competitive exercise of certain financial options , 1984 .

[219]  D.H.R. Price,et al.  System dynamics and operational research: An appraisal , 1984 .

[220]  Marti G. Subrahmanyam,et al.  The Valuation of Options When Asset Returns Are Generated by a Binomial Process , 1984 .

[221]  S. Beckers.  On the efficiency of the gold options market , 1984 .

[222]  R. Litzenberger,et al.  Arbitrage pricing, transaction costs and taxation of capital gains: A study of government bonds with the same maturity date , 1984 .

[223]  R. Jagannathan.  Call options and the risk of underlying securities , 1984 .

[224]  Tim S. Campbell,et al.  Deposit Insurance in a Deregulated Environment , 1984 .

[225]  A. Kalay,et al.  Wealth redistributions or changes in firm value , 1984 .

[226]  Douglas T. Breeden.  Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets , 1984 .

[227]  Marti G. Subrahmanyam,et al.  The Valuation of Multivariate Contingent Claims in Discrete Time Models , 1984 .

[228]  D. Conrad.  Returns on equity to not-for-profit hospitals: theory and implementation. , 1984, Health services research.

[229]  R. Geske,et al.  On Valuing American Call Options with the Black-Scholes European Formula , 1984 .

[230]  Wayne L. Winston.  The effect of uncertainty and instability on dynamic economic models with an application to cournot oligopoly , 1984 .

[231]  Stephen Figlewski.  Margins and market integrity: Margin setting for stock index futures and options , 1984 .

[232]  Ralph A. Walkling,et al.  Agency Theory, Managerial Welfare, and Takeover Bid Resistance , 1984 .

[233]  R. Jarrow,et al.  Jump Risks and the Intertemporal Capital Asset Pricing Model , 1984 .

[234]  Wayne E. Baker,et al.  The Social Structure of a National Securities Market , 1984, American Journal of Sociology.

[235]  J. Schnabel,et al.  Bankruptcy risk and impaired investment decisions , 1984 .

[236]  René M. Stulz,et al.  Optimal Hedging Policies , 1984, Journal of Financial and Quantitative Analysis.

[237]  G. Constantinides.  Warrant Exercise and Bond Conversion in Competitive Markets , 1984, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[238]  J. Poterba,et al.  The Persistence of Volatility and Stock Market Fluctuations , 1984 .

[239]  Walter N. Torous,et al.  The Maximum Likelihood Estimation of Security Price Volatility: Theory, Evidence, and Application to Option Pricing , 1984 .

[240]  D. French.  The weekend effect on the distribution of stock prices: Implications for option pricing , 1984 .

[241]  N. Gressis,et al.  A CAPM-based analysis of stock index futures* , 1984 .

[242]  Thomas Z Lys.  Mandated accounting changes and debt covenants : The case of oil and gas accounting , 1984 .

[243]  Stewart C. Myers,et al.  Finance Theory and Financial Strategy , 1984 .

[244]  Wilbur G. Lewellen,et al.  Market Timing and Mutual Fund Investment Performance , 1984 .

[245]  H. Johnson,et al.  The American Put Option Valued Analytically , 1984 .

[246]  Mortgage Rate Insurance and the Canadian Mortgage Market , 1984 .

[247]  George M. Constantinides,et al.  Optimal bond trading with personal taxes , 1984 .

[248]  S. P. Mason,et al.  Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation , 1984, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[249]  D. Galai,et al.  On Measuring the Risk of Common Stocks Implied by Options Prices: A Note , 1984, Journal of Financial and Quantitative Analysis.

[250]  T. Ho,et al.  The Value of Corporate Debt with a Sinking-Fund Provision , 1984 .

[251]  P. Hendershott,et al.  Pricing FHA Mortgage Default Insurance , 1984 .

[252]  K. Brown,et al.  The Cash Management Implications of a Hedged Dividend Capture Strategy , 1984 .

[253]  Kose John.  Market Resolution and Valuation in Incomplete Markets , 1982, Journal of Financial and Quantitative Analysis.

[254]  R. Bookstaber,et al.  Option Portfolio Strategies: Measurement and Evaluation , 1984 .

[255]  M. Subrahmanyam,et al.  The Ex-Dividend Day Behavior of Option Prices , 1984 .

[256]  V. Firchau.  Variable Information and Capital Market Equilibria , 1984 .

[257]  A. Marcus,et al.  Futures Markets and Production Decisions , 1984, Journal of Political Economy.

[258]  M. Brennan,et al.  Notes on Costless Financial Signalling , 1984 .

[259]  D. Baird,et al.  Corporate Reorganizations and the Treatment of Diverse Ownership Interests: A Comment on Adequate Protection of Secured Creditors in Bankruptcy , 1984 .

[260]  Robert L. Brown,et al.  The Pricing of Land Options , 1984 .

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