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Pricing and hedging long-term options

Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318

Persistent link: https://www.econbiz.de/10001437760

Investigating the sources of default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001

Persistent link: https://www.econbiz.de/10001573166

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1987

Persistent link: https://www.econbiz.de/10003378503

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008

Persistent link: https://www.econbiz.de/10003718458

Performance evaluation, managerial hedging, and contract termination

Huang, Yu; Ju, Nengjiu; Xing, Hao - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4953-4971

Persistent link: https://www.econbiz.de/10014339485

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - 2009

Persistent link: https://www.econbiz.de/10003832408

Optimal Contracting with Unobservable Managerial Hedging

Huang, Yu - 2017

We develop a continuous-time model where a risk-neutral principal contracts with a CARA manager protected by limited liability to run a project. Its output can be increased by costly unobservable managerial effort, but it is liquidated if the manager quits. The manager can trade a market...

Persistent link: https://www.econbiz.de/10012942310