Details about Professor Robert L. Geske

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

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 View citations (87)

1998

2. 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 View citations (34)

1987

3. 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

1986

4. 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
5. 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

Journal Articles

1985

1. The early exercise of American puts
   Journal of Banking & Finance, 1985, 9, (2), 207-219 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 View citations (42)

1984

3. On Valuing American Call Options with the Black-Scholes European Formula
   Journal of Finance, 1984, 39, (2), 443-55 View citations (24)
4. The American Put Option Valued Analytically
   Journal of Finance, 1984, 39, (5), 1511-24 View citations (177)
5. The Valuation of Corporate Liabilities as Compound Options: A Correction
   Journal of Financial and Quantitative Analysis, 1984, 19, (2), 231-232 View citations (19)

1983

6. Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note
   Journal of Finance, 1983, 38, (4), 1271-77 View citations (5)
7. The Fiscal and Monetary Linkage between Stock Returns and Inflation
   Journal of Finance, 1983, 38, (1), 1-33 View citations (357)

1981

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

1980

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

1979

10. 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 View citations (56)
11. The valuation of compound options
    Journal of Financial Economics, 1979, 7, (1), 63-81 View citations (260)

1978

12. The Pricing of Options with Stochastic Dividend Yield
    Journal of Finance, 1978, 33, (2), 617-25 View citations (13)

1977

13. The Valuation of Corporate Liabilities as Compound Options
    Journal of Financial and Quantitative Analysis, 1977, 12, (4), 541-552 View citations (228)