Works matching DE "OPTION-adjusted spread analysis"
Results: 32
Long-term light environment variability in Lake Biwa and Lake Kasumigaura, Japan: modeling approach.
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- Limnology, 2012, v. 13, n. 2, p. 237, doi. 10.1007/s10201-012-0372-x
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Predicting Construction Contractor Default with Option-Based Credit Models-Models' Performance and Comparison with Financial Ratio Models.
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- Journal of Construction Engineering & Management, 2011, v. 137, n. 6, p. 412, doi. 10.1061/(ASCE)CO.1943-7862.0000311
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Option-Adjusted Delta Credit Spreads: a Cross-Country Analysis.
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- European Financial Management, 2012, v. 18, n. 2, p. 183, doi. 10.1111/j.1468-036X.2009.00527.x
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Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt.
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- Accounting Review, 1998, v. 73, n. 1, p. 73
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The Relationship between Executives' Option-Based Compensation and Risk-Taking in the Property/Liability Insurance Industry: A Simultaneous Equation Approach.
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- Journal of Insurance Regulation, 2008, v. 26, n. 3, p. 85
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Do investors in Green Bond market pay a premium? Global evidence.
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- Applied Economics, 2019, v. 51, n. 40, p. 4425, doi. 10.1080/00036846.2019.1591611
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Why Do Sellers Hold Out in the Housing Market? An Option-Based Explanation.
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- Real Estate Economics, 2013, v. 41, n. 2, p. 384, doi. 10.1111/j.1540-6229.2012.00345.x
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SPREAD OPTIONS, EXCHANGE OPTIONS, AND ARITHMETIC BROWNIAN MOTION.
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- Journal of Futures Markets, 1998, v. 18, n. 5, p. 487, doi. 10.1002/(SICI)1096-9934(199808)18:5<487::AID-FUT1>3.0.CO;2-Z
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Towards an application of option pricing theory in the valuation of customer relationships.
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- Journal of Strategic Marketing, 1999, v. 7, n. 4, p. 275, doi. 10.1080/096525499346387
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Implementation of an Option Pricing-Based Bond Valuation Model for Corporate Debt and Its Components.
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- Accounting Horizons, 2000, v. 14, n. 4, p. 455, doi. 10.2308/acch.2000.14.4.455
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A Structural Model for Optimal Selection of Maturity and Timing of Callable Bond Issuance.
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- Journal of Fixed Income, 2017, v. 26, n. 3, p. 33
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Evaluation of Mortgage Credit Risk.
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- Journal of Fixed Income, 2012, v. 21, n. 4, p. 43, doi. 10.3905/jfi.2012.21.4.043
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On the Origin and Interpretation of OAS.
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- Journal of Fixed Income, 1999, v. 9, n. 3, p. 82, doi. 10.3905/jfi.1999.319222
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The Determinants of Expected Returns on Mortgage-Backed Securities: An Empirical Analysis of Option-Adjusted Spreads.
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- Journal of Fixed Income, 1999, v. 9, n. 2, p. 8, doi. 10.3905/jfi.1999.319257
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Mortgage hedge ratios: Which one works best?33.
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- Journal of Fixed Income, 1997, v. 7, n. 3, p. 23, doi. 10.3905/jfi.1997.408216
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Valuation of Deposit Insurance in South Africa Using an Option-Based Model.
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- African Development Review / Revue Africaine de Développement, 2014, v. 26, n. 1, p. 148, doi. 10.1111/1467-8268.12071
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Comparing Downside Protection Strategies.
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- Journal of Portfolio Management, 2023, v. 49, n. 7, p. 116, doi. 10.3905/jpm.2023.1.493
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The Concept of Credit OAS in Valuation of MBS.
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- Journal of Portfolio Management, 2008, v. 34, n. 3, p. 41, doi. 10.3905/jpm.2008.706242
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Prepayment Risk-and Option-Adjusted Valuation of MBS.
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- Journal of Portfolio Management, 2005, v. 31, n. 4, p. 73, doi. 10.3905/jpm.2005.570153
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Pricing the option-adjusted spread of Brazilian Eurobonds.
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- Journal of Portfolio Management, 1998, v. 24, n. 3, p. 123
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Implied Prepayments.
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- Journal of Portfolio Management, 1996, v. 23, n. 1, p. 107, doi. 10.3905/jpm.1996.409575
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Understanding Option-Adjusted Spreads: The Implied Prepayment Hypothesis.
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- Journal of Portfolio Management, 1996, v. 22, n. 4, p. 104, doi. 10.3905/jpm.1996.409570
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OAS Analysis for CMOs.
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- Journal of Portfolio Management, 1994, v. 20, n. 4, p. 53, doi. 10.3905/jpm.1994.409485
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Arbitrage-free spread: A consistent measure of relative value.
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- Journal of Portfolio Management, 1991, v. 17, n. 3, p. 65, doi. 10.3905/jpm.1991.409329
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Arbitrage-free spread: Response.
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- Journal of Portfolio Management, 1991, v. 17, n. 3, p. 78, doi. 10.3905/jpm.1991.409330
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Understanding option-adjusted spreads and their use.
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- Journal of Portfolio Management, 1990, v. 16, n. 4, p. 68, doi. 10.3905/jpm.1990.409285
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- Article
The Cost of Liquidity Services in Listed Options: A Note.
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- Journal of Finance (Wiley-Blackwell), 1983, v. 38, n. 3, p. 989, doi. 10.1111/j.1540-6261.1983.tb02513.x
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- Article
Fair Valuation of Mortgage Insurance with Current Loan-to-Value and Debt Service Ratios.
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- IUP Journal of Risk & Insurance, 2012, v. 9, n. 1, p. 48
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- Article
Calibration of option-based probability assessments in agricultural commodity markets.
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- American Journal of Agricultural Economics, 1990, v. 72, n. 1, p. 73, doi. 10.2307/1243146
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Pitfalls in the Analysis of Option-Adjusted Spreads.
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- Financial Analysts Journal, 1992, v. 48, n. 4, p. 65, doi. 10.2469/faj.v48.n4.65
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- Article
Citicorp's Mortgage Valuation Model: Option-Adjusted Spreads and Option-Based Durations.
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- Journal of Real Estate Finance & Economics, 1988, v. 1, n. 2, p. 151, doi. 10.1007/BF00152570
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- Article
Valuación de opciones americanas: un enfoque de control óptimo estocástico en un horizonte finito con fecha final aleatoria.
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- Análisis Económico, 2012, v. 27, n. 64, p. 165
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- Article