A compound option model to value moral hazard

Journal of Derivatives

Volumn 9, Issue 1, 2001, Pages 53-61

  Paris, Francesco M ^a  

^a UNIVERSITY OF BRESCIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1142284726     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2001.319169     Document Type: Article

References (7)

1. Chesney, M., and R. Gibson. "The Investment Policy and Pricing of Equity in Levered Firms: A Reexamination of the Contingent Claims Valuation Approach." Working paper, IBFM, Lausanne University, 1994a.
2. --. "Option Pricing Theory, Security Design and Shareholders' Risk Incentives." Working paper, IBFM, Lausanne University, 1994b.
3. Chesney, M., and R. Gibson-Asner. "Reducing Asset Substitution Warrant and Convertible Debt Issues." The Journal of Derivatives, Fall 2001, pp. 39-52.
4. Geske, R. "The Valuation of Compound Options." Journal of Financial Economics, 7 (1979), pp. 63-81.
5. Jensen, M.C., and W. Meckling. "Theory of the Firm: Man-agerial Behavior, Agency Costs and Ownership Structure." Journal of Financial Economics, 4 (1976), pp. 305-360.
6. Kritzman, M.P., and D. Rch. "Risk Containment for Investors with Multivariate Utility Functions." The Journal of Derivatives, Spring 1998, pp. 28-44.
7. Margrabe, W. "The Value of an Option to Exchange One Asset for Another." Journal of Finance, March 1978, pp. 177-186.