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Robert Geske
Researcher at University of California, Los Angeles
Publications - 31
Citations - 5187
Robert Geske is an academic researcher from University of California, Los Angeles. The author has contributed to research in topics: Valuation of options & Credit risk. The author has an hindex of 18, co-authored 31 publications receiving 5063 citations.
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The valuation of compound options
TL;DR: In this article, the authors present a theory for pricing options on options, or compound options, which can be generalized to value many corporate liabilities, and derive a new model for puts and calls corrects some important biases of the Black-Scholes model.
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The Fiscal and Monetary Linkage between Stock Returns and Inflation
Robert Geske,Richard Roll +1 more
TL;DR: The authors argue that stock returns are negatively related to contemporaneous changes in expected inflation because they signal a chain of events which results in a higher rate of monetary expansion and that this puzzling empirical phenomenon does not indicate causality.
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The Valuation of Corporate Liabilities as Compound Options
TL;DR: In this article, the authors applied the technique for valuing compound options to the risky coupon, bond problem and derived a formula which contains n-dimensional multivariate normal intecjrals.
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The American Put Option Valued Analytically
Robert Geske,Herbert E. Johnson +1 more
TL;DR: An analytic solution to the American put problem is derived in this paper, where the hedge ratio and other derivatives of the solution are presented, and a polynomial expression is developed for evaluating these formulae.
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Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques
Robert Geske,Kuldeep Shastri +1 more
TL;DR: In this article, the authors compare binomial and finite difference methods applied to option valuation models with one stochastic variable and show that many of the results would generalize to pricing corporate securities.