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 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 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 …

… SB 153, introduced in 1999, was the precursor to SB 390.1 Due to perceived problems with
the bül, SB 153 was withdrawn, and SB 390 … Fort of the 39th Senate District crafted SB 390 to …

In this article we develop and implement a model to value an undeveloped oil field and to
determine the optimal timing of investment. We assume a two factor model for the stochastic …

… At the outset I would like to thank the members of my dissertation committee, Professors
Michael Mazzeo, Robert Jennings, Steve Raymar and Wayne Winston for their valuable …

Agro-Soyuz LLC, located in the foothill zone of the Kabardino-Balkarian Republic, breeds
Holstein black-and-white cattle, imported from the USA in 2011. All cows of the dairy herd of …

A number of Monte Carlo simulation-based approaches have been proposed within the past
decade to address the problem of pricing American-style derivatives. The purpose of this …