Robert L. Geske

University of California, Los Angeles (UCLA) - Finance Area

Professor

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 10,895

SSRN RANKINGS

Top 10,895

in Total Papers Downloads

4,542

SSRN CITATIONS
Rank 14,083

SSRN RANKINGS

Top 14,083

in Total Papers Citations

17

CROSSREF CITATIONS

50

Scholarly Papers (7)

1.

Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults

EFA 2003 Annual Conference Paper No. 962
Number of pages: 38 Posted: 28 Jul 2003
Gordon Delianedis and Robert L. Geske
University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,262 (6,270)
Citation 71

Abstract:

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2.

The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors

UCLA Anderson Working Paper NO. 22-01
Number of pages: 41 Posted: 11 Nov 2003
Robert L. Geske and Gordon Delianedis
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,856 (8,824)
Citation 13

Abstract:

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Credit spreads, default spread

3.

Capital Structure Effects on the Prices of Individual Equity Call Options

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 18 Sep 2014 Last Revised: 22 Jul 2015
Robert L. Geske, Avanidhar Subrahmanyam and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University
Downloads 424 (71,739)
Citation 2

Abstract:

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option pricing, leverage effect, compound option

4.

Capital Structure Effects on Prices of Firm Stock Options: Tests Using Implied Market Values of Corporate Debt

EFA 2009 Bergen Meetings Paper
Posted: 13 Feb 2009
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

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Derivatives, Options, Leverage, Stochastic Volatility

5.

Pricing S&P 500 Index Put Options: Smiles, Skews, and Leverage

Posted: 16 Mar 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

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Derivatives, Stochastic Stock Volatility, Leverage

6.

Predicting the Volatility of the S&P 500 Equity Index

Posted: 16 Mar 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

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Derivatives, Volatility Forecast, Stochastic Stock Volatility, Leverage

7.

The Effects of Leverage on the Pricing S&P 500 Index Call Options

Posted: 15 Jan 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

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Derivatives, Stochastic Stock Volatility, Leverage