Professor Robert L. Geske : Citation Profile


Are you Professor Robert L. Geske?

University of California-Los Angeles (UCLA)

11

H index

12

i10 index

1013

Citations

RESEARCH PRODUCTION:

13

Articles

5

Papers

RESEARCH ACTIVITY:

   24 years (1977 - 2001). See details.
   Cites by year: 42
   Journals where Professor Robert L. Geske has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 2 (0.2 %)

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   Permalink: http://citec.repec.org/pge214
   Updated: 2021-03-27    RAS profile: 2013-11-01    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Professor Robert L. Geske.

Is cited by:

Chiarella, Carl (11)

Engelen, Peter-Jan (8)

van wouwe, martine (8)

Li, Minqiang (8)

Lo, Andrew (8)

Giandomenico, Rossano (7)

Cassimon, Danny (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Forte, Santiago (6)

Cites to:

Duffie, Darrell (3)

Scholes, Myron (3)

Singleton, Kenneth (2)

Roll, Richard (2)

merton, robert (2)

Longstaff, Francis (2)

Jarrow, Robert (1)

Ramaswamy, Krishna (1)

Fama, Eugene (1)

Campbell, John (1)

Santa-Clara, Pedro (1)

Main data


Where Professor Robert L. Geske has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Economics4
Journal of Financial and Quantitative Analysis3

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA5

Recent works citing Professor Robert L. Geske (2021 and 2020)


YearTitle of citing document
2020Macroeconomic variables and market expectations: Indian Stock Market. (2020). Kumar, Arya ; Gupta, Neha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:161-178.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2020Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511.

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2020Note on simulation pricing of $\pi$-options. (2020). Serafin, Tomasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2007.02076.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496.

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2020The Covid-19 stock market puzzle and money supply in the US. (2020). McMillan, David ; Humpe, Andreas. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00803.

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2020Global financial markets and oil price shocks in real time. (2020). Veronese, Giovanni ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202472.

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2020A simple numerical method for pricing American power put options. (2020). Lee, Jung-Kyung. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306500.

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2020Managerial incentives to take asset risk. (2020). Wolff, Vincent ; Wagner, Alexander F ; Stromberg, Jacob ; Chesney, Marc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302029.

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2020Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model. (2020). Si, Deng-Kui ; Li, Xin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302700.

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2020Financial risk and acquirers stockholder wealth in mergers and acquisitions. (2020). Cheng, Miao-Sih ; Hung, Pi-Hsia ; Chu, Hsiang-Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300834.

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2020Hedging and pricing early-exercise options with complex fourier series expansion. (2020). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818304194.

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2020A general method for valuing complex capital structures. (2020). Kopeliovich, Yaacov ; Borochin, Paul ; Shea, Kevin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319303277.

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2020New evidence for the inflation hedging potential of US stock returns. (2020). Salisu, Afees ; Ndako, Umar ; Akanni, Lateef O. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s154461231930830x.

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2021Airport infrastructure investments and valuing expansion decisions using the compound real option approach. (2021). Battal, Unal ; Polat, Levent. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:91:y:2021:i:c:s0969699720305901.

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2020Measuring banks’ liquidity risk: An option-pricing approach. (2020). Zhang, Jinqing ; Bian, Yun ; He, Liang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302778.

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2020Merton’s equation and the quantum oscillator: Pricing risky corporate coupon bonds. (2020). Baaquie, Belal Ehsan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318837.

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2020The role of future economic conditions in the cross-section of stock returns: Evidence from the US and UK. (2020). Zhu, Sheng ; Sherman, Meadhbh ; Gao, Jun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919304088.

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2020A Quasi-Closed-Form Solution for the Valuation of American Put Options. (2020). Viegas, Cristina ; Azevedo-Pereira, Jose . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:4:p:62-:d:430231.

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2020Neural Network Pricing of American Put Options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:73-:d:379508.

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2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

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2020Markov-Switching Model of Family Income Quintile Shares. (2020). Papanikolaou, Nikolaos. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:48:y:2020:i:2:d:10.1007_s11293-020-09664-4.

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2020Portfolio creation using artificial neural networks and classification probabilities: a Canadian study. (2020). Morris, Tania ; Comeau, Jules. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00350-8.

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2020Time consistent pricing of options with embedded decisions. (2020). Gerer, J ; Dorfleitner, G. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09158-9.

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2020Distress risk, product market competition, and corporate bond yield spreads. (2020). Lee, Han-Hsing. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00869-6.

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2020When enough is not enough: bank capital and the Too-Big-To-Fail subsidy. (2020). Imerman, Michael B. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00877-x.

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2020The Interaction Between Conventional Monetary Policy and Financial Stability: Chile, Colombia, Japan, Portugal and the UK. (2020). Venter, Zoe. In: Comparative Economic Studies. RePEc:pal:compes:v:62:y:2020:i:3:d:10.1057_s41294-020-00129-w.

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2020Regulatory changes to bank liability structures: implications for deposit insurance design. (2020). Davis, Kevin. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:1:d:10.1057_s41261-019-00094-0.

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2020The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange. (2020). Wojtowicz, Tomasz ; Mitterer, Christoph ; Gurgul, Henryk. In: MPRA Paper. RePEc:pra:mprapa:103352.

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2020The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia. (2020). Aljifri, Ruqayya. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2020-27.

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2020Repeated Richardson extrapolation and static hedging of barrier options under the CEV model. (2020). Guo, JiaHau ; Chang, Lungfu . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:974-988.

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2021Do put warrants unwind short?sale restrictions? Further evidence from the Taiwan Stock Exchange. (2021). Tsai, Weiche ; Chuang, Yiwei ; Yin, Chi ; Weng, Peishih. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:325-348.

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Works by Professor Robert L. Geske:


YearTitleTypeCited
1978The Pricing of Options with Stochastic Dividend Yield. In: Journal of Finance.
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article12
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. In: Journal of Finance.
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article248
1983 Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model: A Note. In: Journal of Finance.
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article5
1984 On Valuing American Call Options with the Black-Scholes European Formula. In: Journal of Finance.
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article14
1984 The American Put Option Valued Analytically. In: Journal of Finance.
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article148
2001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper46
1986Controlling Interest Rate Risk and Return with Futures In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1987Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper16
1986An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1977The Valuation of Corporate Liabilities as Compound Options In: Journal of Financial and Quantitative Analysis.
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article187
1984The Valuation of Corporate Liabilities as Compound Options: A Correction In: Journal of Financial and Quantitative Analysis.
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article19
1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques In: Journal of Financial and Quantitative Analysis.
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article41
1985The early exercise of American puts In: Journal of Banking & Finance.
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article4
1979The valuation of compound options In: Journal of Financial Economics.
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article220
1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends In: Journal of Financial Economics.
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article40
1980Mutual fund insurance In: Journal of Financial Economics.
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article3
1981Comments on Whaleys note In: Journal of Financial Economics.
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article10

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