A Monte Carlo approach is used to estimate the value of American call options on the maximum
value of baskets of more than one stock. It employees a 2-factor representation of stock …

Fixed-income analysis begins with the term structure. Issues arise as to the methodology for
estimating a term structure. Practitioners seem to want a method that is easy to implement, …

We present a tax motivation for the use of employee stock options (ESO) in compensation
schemes, based on the advantageous treatment allowed for a firm hedging positions written …

This paper extends Geske's (1979a) compound European call option pricing model and the
Roll (1977), Geske (1979b), and Whaley (1981)(RGW) American call pricing model to the …

… In this article, Raymar and Zwecher present an enhanced Monte Carlo technique designed
to … there are no benchmarks available for accuracy – the Raymar and Zwecher technique …

This research examines the relationship between the time series process of a firm''s
earnings, and leverage. In the theoretical sections, earnings follow an exogenous mean-reverting …

This study examines whether the Three Links (3L) policy affected stock returns before, during
and after the 2008 Taiwan leadership election. The evidence shows that companies in the …

We study the events that motivate CEOs to underinvest in R&D long-term projects (CEO
myopia). Based on the existing literature in earnings management and agency theory, myopia is …

This paper studies distinctions between fixed-price and Dutch auction self-tenders for
common stock. We find that fixed-price tenders pay higher premiums to retire greater equity …

This paper calculates carry costs directly and focuses on the effect that carry cost lumpiness
has on hedge variables. It shows that carry cost adjusted price changes should be used to …