The Management School
Lancaster LA1 4YX
Lancaster University - Department of Accounting and Finance
in Total Papers Downloads
in Total Papers Citations
Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates
Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.
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File name: jbfa.
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Real options, Intertemporal optimal exchange, Two-player stochastic game, Expected active times and probabilities
Financial education, decision analysis, real options, project valuation with disinvestment
option-implied volatility, volatility skew, return predictability
ARCH Models, Density Forecasts, Risk-Neutral Densities, Risk Transformations
long memory, volatility, spectral test
Finite maturity, caps and floors, continuous flows, time integral of options, implied volatilities
Stock Splits, Market Efficiency, Underreaction
CAPM, characteristic anomalies, equity and debt market portfolio, calibration
Option returns, CAPM, systematic, skewness, kurtosis, comoments, cross-section
Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.
Participating Mortgage (PM), Shared Appreciation,Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors
Participating mortgage, Shared appreciation mortgage, Shared income mortgage, Shared equity mortgage, Profit caps and floors, Prepayment risk intensity
Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors
High-Frequency Data, Non-parametric Jump Tests, Realised Volatility, Macroeconomic News
Smooth pasting, rates of return, option elasticity, real option
Geske-Johnson two-point pricing, real options, American, Bermudan and Arctic options
Share repurchase, open-market, flexibility, cash, risk
Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow
Natural resource investment, Real options, Factor models, Commodity prices, least–squares Monte Carlo simulation
File name: j-036X.
natural resource investment, real options, factor models, commodity prices, least‐squares Monte Carlo simulation
game and net present valuation, Markovian and Matrix methods
Finance, Real Options, Interest Rate Uncertainty, Perpetuities, Investment Hysteresis
File name: JBFA442.
stock-return volatility, trading, investor groups
File name: jbfa.
Geske-Johnson two-point pricing, real options, American, Bermudan and Artic options
File name: ectj.
Mutual Funds, NAV Inflation, The Chinese Market
market efficiency, emerging markets, options, risk management
Rate of return on option, Actual probability, Change of numeraire, True probability of exercise, Put call parity
Tri-nomial tree, reset option, American and average features
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