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Volumn 52, Issue 2, 1997, Pages 785-798

The valuation of complex derivatives by major investment firms: Empirical evidence

Author keywords

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Indexed keywords


EID: 0039332045     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb04821.x     Document Type: Article
Times cited : (31)

References (14)
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  • 4
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    • Bradley, Michael, Anand Desai, and E. Han Kim, 1988, Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms, Journal of Financial Economics 21, 3-40.
    • (1988) Journal of Financial Economics , vol.21 , pp. 3-40
    • Bradley, M.1    Desai, A.2    Kim, E.H.3
  • 6
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    • A theory of the term structure of interest rates
    • Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
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  • 7
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    • Lee, C.M.C.1    Shleifer, A.2    Thaler, R.H.3
  • 10
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    • Rational prepayments and the valuation of collateralized mortgage obligations
    • McConnell, John J., and Manoj Singh, 1994, Rational prepayments and the valuation of collateralized mortgage obligations, Journal of Finance 49, 891-921.
    • (1994) Journal of Finance , vol.49 , pp. 891-921
    • McConnell, J.J.1    Singh, M.2
  • 11
    • 0001757115 scopus 로고
    • A theory of auctions and competitive bidding
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    • The market for securities: Substitution versus price pressure and the effects of information on share prices
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    • Wilson, R.1


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