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The Theory of the Trading Firm Revisited: Discussion
Frederick L. A. Grauer, The Theory of the Trading Firm Revisited: Discussion, The Journal of Finance, Vol. 33, No. 3, Papers and Proceedings of the Thirty-Sixth Annual Meeting American Finance Association, New York City December 28-30, 1977 (Jun., 1978), pp. 1031-1033
An Examination of the Effects of International Diversification from the British Viewpoint on Both Hypothetical and Real Portfolios
The New Exchange Rate Regime and the Developing Countries
THE NEW EXCHANGE RATE REGIME AND THE DEVELOPING COUNTRIES
Perceived Risk and Capital Asset Pricing
Central Bank versus Treasury: An International Study.
BOND REFUNDING: ONE OR TWO FACES?
The Pricing of Options with Stochastic Dividend Yield
A formula is derived in discrete time for pricing options when the underlying stock has a stochastic dividend yield. The result implies that regarding the dividend yield as certain when it is not results in misestimation of the variance of the underlying stock. Comparative statics indicate that this adjustment could diminish a bias of the Black-Scholes model. This model systematically underprices deep-out-of-the-money options. A numerical example demonstrates that this stochastic adjustment may be more important for longer-lived options and warrants.