Works matching DE "OPTION-adjusted spread analysis"

Results: 32

SPREAD OPTIONS, EXCHANGE OPTIONS, AND ARITHMETIC BROWNIAN MOTION.

Published in:

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

By:

Poitras, Geoffrey

Publication type:

Article

Pitfalls in the Analysis of Option-Adjusted Spreads.

Published in:

Financial Analysts Journal, 1992, v. 48, n. 4, p. 65, doi. 10.2469/faj.v48.n4.65

By:

Babbel, David F.;
Zenios, Stavros A.

Publication type:

Article

Predicting Construction Contractor Default with Option-Based Credit Models-Models' Performance and Comparison with Financial Ratio Models.

Published in:

Journal of Construction Engineering & Management, 2011, v. 137, n. 6, p. 412, doi. 10.1061/(ASCE)CO.1943-7862.0000311

By:

Tserng, H. Ping;
Liao, Hsien-Hsing;
Tsai, L. Ken;
Chen, Po-Cheng

Publication type:

Article

Fair Valuation of Mortgage Insurance with Current Loan-to-Value and Debt Service Ratios.

Published in:

IUP Journal of Risk & Insurance, 2012, v. 9, n. 1, p. 48

By:

Yang-Che Wu;
Chin-Yuan Lin

Publication type:

Article

Option-Adjusted Delta Credit Spreads: a Cross-Country Analysis.

Published in:

European Financial Management, 2012, v. 18, n. 2, p. 183, doi. 10.1111/j.1468-036X.2009.00527.x

By:

Becchetti, Leonardo;
Carpentieri, Andrea;
Hasan, Iftekhar

Publication type:

Article

Why Do Sellers Hold Out in the Housing Market? An Option-Based Explanation.

Published in:

Real Estate Economics, 2013, v. 41, n. 2, p. 384, doi. 10.1111/j.1540-6229.2012.00345.x

By:

Qian, Wenlan

Publication type:

Article

Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt.

Published in:

Accounting Review, 1998, v. 73, n. 1, p. 73

By:

Barth, Mary E.;
Landsman, Wayne R.;
Richard J. Rendleman Jr.

Publication type:

Article

Calibration of option-based probability assessments in agricultural commodity markets.

Published in:

American Journal of Agricultural Economics, 1990, v. 72, n. 1, p. 73, doi. 10.2307/1243146

By:

Fackler, Paul L.;
King, Robert P.

Publication type:

Article

Do investors in Green Bond market pay a premium? Global evidence.

Published in:

Applied Economics, 2019, v. 51, n. 40, p. 4425, doi. 10.1080/00036846.2019.1591611

By:

Nanayakkara, Madurika;
Colombage, Sisira

Publication type:

Article

A Structural Model for Optimal Selection of Maturity and Timing of Callable Bond Issuance.

Published in:

Journal of Fixed Income, 2017, v. 26, n. 3, p. 33

By:

Qian, Shengguang;
Lakshmivarahan, S.;
Stock, Duane

Publication type:

Article

Evaluation of Mortgage Credit Risk.

Published in:

Journal of Fixed Income, 2012, v. 21, n. 4, p. 43, doi. 10.3905/jfi.2012.21.4.043

By:

HAYRE, LAKHBIR;
CHILUVERU, SUDHIR

Publication type:

Article

On the Origin and Interpretation of OAS.

Published in:

Journal of Fixed Income, 1999, v. 9, n. 3, p. 82, doi. 10.3905/jfi.1999.319222

By:

Kupiec, Paul

Publication type:

Article

The Determinants of Expected Returns on Mortgage-Backed Securities: An Empirical Analysis of Option-Adjusted Spreads.

Published in:

Journal of Fixed Income, 1999, v. 9, n. 2, p. 8, doi. 10.3905/jfi.1999.319257

By:

Brown, David T.

Publication type:

Article

Mortgage hedge ratios: Which one works best?33.

Published in:

Journal of Fixed Income, 1997, v. 7, n. 3, p. 23, doi. 10.3905/jfi.1997.408216

By:

Goodman, Laurie S.;
Ho, Jeffrey

Publication type:

Article

The Cost of Liquidity Services in Listed Options: A Note.

Published in:

Journal of Finance (Wiley-Blackwell), 1983, v. 38, n. 3, p. 989, doi. 10.1111/j.1540-6261.1983.tb02513.x

By:

BAESEL, JEROME B.;
SHOWS, GEORGE;
THORP, EDWARD

Publication type:

Article

Towards an application of option pricing theory in the valuation of customer relationships.

Published in:

Journal of Strategic Marketing, 1999, v. 7, n. 4, p. 275, doi. 10.1080/096525499346387

By:

Levett, Peter;
Page, Michael;
Nel, Deon;
Pitt, Leyland;
Berthon, Pierre;
Money, Arthur

Publication type:

Article

The Relationship between Executives' Option-Based Compensation and Risk-Taking in the Property/Liability Insurance Industry: A Simultaneous Equation Approach.

Published in:

Journal of Insurance Regulation, 2008, v. 26, n. 3, p. 85

By:

Min-Ming Wen;
Chen, Carl R.

Publication type:

Article

Long-term light environment variability in Lake Biwa and Lake Kasumigaura, Japan: modeling approach.

Published in:

Limnology, 2012, v. 13, n. 2, p. 237, doi. 10.1007/s10201-012-0372-x

By:

Terrel, Meylin;
Fukushima, Takehiko;
Matsushita, Bunkei;
Yoshimura, Kazuya;
Imai, Akio

Publication type:

Article

Valuation of Deposit Insurance in South Africa Using an Option-Based Model.

Published in:

African Development Review / Revue Africaine de Développement, 2014, v. 26, n. 1, p. 148, doi. 10.1111/1467-8268.12071

By:

Ellyne, Mark;
Cheng, Richard

Publication type:

Article

Implementation of an Option Pricing-Based Bond Valuation Model for Corporate Debt and Its Components.

Published in:

Accounting Horizons, 2000, v. 14, n. 4, p. 455, doi. 10.2308/acch.2000.14.4.455

By:

Barth, Mary E.;
Landsman, Wayne R.;
Rendleman Jr., Richard J.

Publication type:

Article

Citicorp's Mortgage Valuation Model: Option-Adjusted Spreads and Option-Based Durations.

Published in:

Journal of Real Estate Finance & Economics, 1988, v. 1, n. 2, p. 151, doi. 10.1007/BF00152570

By:

Brazil, Alan Jay

Publication type:

Article

Comparing Downside Protection Strategies.

Published in:

Journal of Portfolio Management, 2023, v. 49, n. 7, p. 116, doi. 10.3905/jpm.2023.1.493

By:

Liu, Ding

Publication type:

Article

The Concept of Credit OAS in Valuation of MBS.

Published in:

Journal of Portfolio Management, 2008, v. 34, n. 3, p. 41, doi. 10.3905/jpm.2008.706242

By:

Levin, Alexander;
Davidson, Andrew

Publication type:

Article

Prepayment Risk-and Option-Adjusted Valuation of MBS.

Published in:

Journal of Portfolio Management, 2005, v. 31, n. 4, p. 73, doi. 10.3905/jpm.2005.570153

By:

Levin, Alexander;
Davidson, Andrew

Publication type:

Article

Pricing the option-adjusted spread of Brazilian Eurobonds.

Published in:

Journal of Portfolio Management, 1998, v. 24, n. 3, p. 123

By:

de O. Gonçalves, Franklin;
de O. Barros, Marcio

Publication type:

Article

Implied Prepayments.

Published in:

Journal of Portfolio Management, 1996, v. 23, n. 1, p. 107, doi. 10.3905/jpm.1996.409575

By:

Cheyette, Oren

Publication type:

Article

Understanding Option-Adjusted Spreads: The Implied Prepayment Hypothesis.

Published in:

Journal of Portfolio Management, 1996, v. 22, n. 4, p. 104, doi. 10.3905/jpm.1996.409570

By:

Chen, Si

Publication type:

Article

OAS Analysis for CMOs.

Published in:

Journal of Portfolio Management, 1994, v. 20, n. 4, p. 53, doi. 10.3905/jpm.1994.409485

By:

Cheyette, Oren

Publication type:

Article

Arbitrage-free spread: Response.

Published in:

Journal of Portfolio Management, 1991, v. 17, n. 3, p. 78, doi. 10.3905/jpm.1991.409330

By:

Hayre, Lakhbir S.

Publication type:

Article

Arbitrage-free spread: A consistent measure of relative value.

Published in:

Journal of Portfolio Management, 1991, v. 17, n. 3, p. 65, doi. 10.3905/jpm.1991.409329

By:

Finnerty, John D.;
Rose, Michael

Publication type:

Article

Understanding option-adjusted spreads and their use.

Published in:

Journal of Portfolio Management, 1990, v. 16, n. 4, p. 68, doi. 10.3905/jpm.1990.409285

By:

Hayre, Lakhbir S.

Publication type:

Article

Valuación de opciones americanas: un enfoque de control óptimo estocástico en un horizonte finito con fecha final aleatoria.

Published in:

Análisis Económico, 2012, v. 27, n. 64, p. 165

By:

Martínez Palacios, Ma. Teresa V.;
Sánchez Daza, Alfredo;
Venegas-Martínez, Francisco

Publication type:

Article