Corporate Financial Decisions We will first illustrate some well-known propositions regarding
the effect of corporate financial policy in perfect capital markets. In all cases, the security …

In this paper, we derive an equilibrium in which some investors buy call/put options on the
market portfolio while others sell them. Since investors are assumed to have similar risk-…

Although there has been much attention in recent years on the effects of additive background
risks, the same is not true for its multiplicative counterpart. We consider random wealth of …

This note shows that a linear market model is sufficient to derive a linear relationship between
beta and expected return. Furthermore, the slope of the relationship will be identical with …

In this article, the authors reexamine the American‐style option pricing formula of R. Geske
and HE Johnson (1984), and extend the analysis by deriving a modified formula that can …

… Similarly, Franke, Schlesinger and Stapleton [7] establish conditions for multiplicative risk …
risk aversion function of the agent (Franke, Schlesinger and Stapleton [7]). If utility is of the …

THIS PAPER DERIVES PRICES of assets in a multiperiod world as opposed to the single
period framework of Sharpe [20], Lintner [9], and Mossin [15]. In contrast to the intertemporal …

The Geske–Johnson approach provides an efficient and intuitively appealing technique for
the valuation and hedging of American‐style contingent claims. Here, we generalize their …

There are several examples in the literature of contingent claims whose payoffs depend on
the outcomes of two or more stochastic variables. Familiar cases of such claims include …

Finance theory suggests that finance leases and corporate debt are substitutes, and that
taxable capacity has a negative influence on leasing. There have been few tests of these …