Narrow search
Showing 1 - 9 of 9
Cover Image
Asset pricing and portfolio choice theory
Back, Kerry E. - 2010
Persistent link: https://www.econbiz.de/10008662772
Cover Image
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001597059
Cover Image
Option pricing for co-integrated assets
Duan, Jin-Chuan; Pliska, Stanley R. - In: Advances in finance and stochastics : essays in honour …, (pp. 85-99). 2002
Persistent link: https://www.econbiz.de/10001672222
Cover Image
Option valuation with co.integrated asset prices
Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
Cover Image
Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244
Persistent link: https://www.econbiz.de/10002725425
Cover Image
The Asset Pricing Implications of Plausible Deniability
Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - 2021
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10013243558
Cover Image
The Asset Pricing Implications of Plausible Deniability
Back, Kerry E.; Carlin, Bruce Ian; Kazem Pour, Seyed … - 2022
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10014237687
Cover Image
Asset pricing and portfolio choice theory
Back, Kerry E. - 2017 - Second edition
Persistent link: https://www.econbiz.de/10011452259
Cover Image
The Asset Pricing Implications of Plausible Deniability
Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2021
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10012482566