… The second model we consider is a variation of the two-factor Gibson and Schwartz (1990) …
Finally, we extend the Gibson and Schwartz model to include stochastic interest rates. In …

This paper develops an arbitrage model of the term structure of interest rates based on the
assumptions that the whole term structure at any point in time may be expressed as a function …

P (S, t)-< El (5)(5) holds if the exercise price is a non-decreasing function of time to maturity.
Then the maximum value the put can attain is the current exercise price, if the stock price …

… ‘The derivation for the case of continuous dividends payments can be found in Schwartz (…
When this was done [XC Schwartz (19731. the solutions difTcred always by less than 0.3 …

We develop a simple approach to valuing risky corporate debt that incorporates both default
and interest rate risk. We use this approach to derive simple closed‐form valuation …

THE THEORY OF OPTION and warrant pricing has only of late been placed on a sound
theoretical basis in a context of security market equilibrium [1, 6]; closed form expressions have …

This paper is concerned mainly with the effects of corporate income taxes on the relationship
between capital structure and valuation. If the interest tax savings cease once a firm has …

… The foregoing discloses our ignorance about which class(es) of mechano-sensitive and/or
-insensitive ending provides key afferent input with respect to IBS pain and hypersensitivity. It …

Congenital tumors of the central nervous system (CNS) are often arbitrarily divided into “definitely
congenital” (present or producing symptoms at birth), “probably congenital” (present or …

This article presents a simple yet powerful new approach for approximating the value of
American options by simulation. The key to this approach is the use of least squares to estimate …