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Details about Professor Robert L. Geske

Phone:310-825-1953
Postal address:Prof Robert Geske Anderson School 110 Westwood Plaza University of California Los Angeles, Ca. 90095
Workplace:Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)

Access statistics for papers by Professor Robert L. Geske.

Last updated 2013-11-01. Update your information in the RePEc Author Service.

Short-id: pge214


Jump to Journal Articles

Working Papers

2001

  1. The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (38)

1998

  1. Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (16)

1987

  1. Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads

1986

  1. An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
  2. Controlling Interest Rate Risk and Return with Futures
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads

Journal Articles

1985

  1. The early exercise of American puts
    Journal of Banking & Finance, 1985, 9, (2), 207-219 Downloads View citations (4)
  2. Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques
    Journal of Financial and Quantitative Analysis, 1985, 20, (1), 45-71 Downloads View citations (39)

1984

  1. On Valuing American Call Options with the Black-Scholes European Formula
    Journal of Finance, 1984, 39, (2), 443-55 Downloads View citations (13)
  2. The American Put Option Valued Analytically
    Journal of Finance, 1984, 39, (5), 1511-24 Downloads View citations (139)
  3. The Valuation of Corporate Liabilities as Compound Options: A Correction
    Journal of Financial and Quantitative Analysis, 1984, 19, (2), 231-232 Downloads View citations (16)

1983

  1. Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note
    Journal of Finance, 1983, 38, (4), 1271-77 Downloads View citations (5)
  2. The Fiscal and Monetary Linkage between Stock Returns and Inflation
    Journal of Finance, 1983, 38, (1), 1-33 Downloads View citations (226)

1981

  1. Comments on Whaley's note
    Journal of Financial Economics, 1981, 9, (2), 213-215 Downloads View citations (10)

1980

  1. Mutual fund insurance
    Journal of Financial Economics, 1980, 8, (3), 283-317 Downloads View citations (3)

1979

  1. A note on an analytical valuation formula for unprotected American call options on stocks with known dividends
    Journal of Financial Economics, 1979, 7, (4), 375-380 Downloads View citations (37)
  2. The valuation of compound options
    Journal of Financial Economics, 1979, 7, (1), 63-81 Downloads View citations (210)

1978

  1. The Pricing of Options with Stochastic Dividend Yield
    Journal of Finance, 1978, 33, (2), 617-25 Downloads View citations (10)

1977

  1. The Valuation of Corporate Liabilities as Compound Options
    Journal of Financial and Quantitative Analysis, 1977, 12, (4), 541-552 Downloads View citations (177)
 
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