Search Results - "Johnson, Herb"

The Effect of Dividend Changes on Stock and Bond Prices by DHILLON, UPINDER S., JOHNSON, HERB

“…This study examines stock and bond price reactions to dividend changes. The positive stock market response to dividend increases has several potential…”
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Options on the Maximum or the Minimum of Several Assets by Johnson, Herb

“…Using an intuitive approach that also provides new intuition concerning the Black and Scholes equation, this paper extends the results of Johnson and Stulz to…”
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A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach by BUNCH, DAVID S., JOHNSON, HERB

“…Geske and Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals…”
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Option Pricing when the Variance Is Changing by Johnson, Herb, Shanno, David

“…The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically…”
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What Goals Do Business Leaders Pursue? A Study in Fifteen Countries by Hofstede, Geert, Van Deusen, Cheryl A., Mueller, Carolyn B., Charles, Thomas A., The Business Goals Network

“…Goals-in-use of successful businesspersons were rated by over 1,800 junior managers and professionals, attending evening MBA courses at local universities in…”
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The American Put Option and Its Critical Stock Price by Bunch, David S., Johnson, Herb

“…We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first-passage…”
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Extendible options: The general case by Chung, Y. Peter, Johnson, Herb

“…The result for the pricing of extendible call and put options is generalized, using the Cox and Ross (1976) approach, to the case of an arbitrary number of…”
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Why Option Prices Lag Stock Prices: A Trading-based Explanation by CHAN, KALOK, CHUNG, Y. PETER, JOHNSON, HERB

“…While many studies find that option prices lead stock prices, Stephan and Whaley (1990) find that stocks lead options. We find no evidence that options, even…”
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Changes in the Standard and Poor's 500 List by Dhillon, Upinder, Johnson, Herb

“…Harris and Gurel (1986) and Shleifer (1986) examined changes in the S & P list. Both studies presented evidence inconsistent with efficient markets. Looking at…”
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The critical stock price for the American put option by Chung, Y. Peter, Johnson, Herb, Polimenis, Vassilis

“…We derive a simple relationship between the critical stock price and the gamma of the American put. We use this relationship to derive the correct expression…”
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Asset Pricing When Returns Are Nonnormal: Fama‐French Factors versus Higher‐Order Systematic Comoments by Chung, Y. Peter, Johnson, Herb, Schill, Michael J.

“…A growing literature contends that, since returns are not normal, higher‐order comoments matter to risk‐averse investors. Fama and French (1993,1995) find that…”
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The Pricing of Options with Default Risk by JOHNSON, HERB, STULZ, RENÉ

“…This paper considers the pricing of options with default risk. The comparative statics of such options can differ from those of ordinary options, and early…”
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Why Option Prices Lag Stock Prices: A Trading-Based Explanation by Chan, Kalok, Chung, Y. Peter, Johnson, Herb

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The American Put Option Valued Analytically by GESKE, ROBERT, JOHNSON, H. E.

“…An analytic solution to the American put problem is derived herein. The hedge ratio and other derivatives of the solution are presented. The formula derived…”
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The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options by Chan, Kalok, Chung, Y. Peter, Johnson, Herb

“…We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings…”
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Gas wars - retail gasoline price fluctuations by Castanias, Rick, Johnson, Herb

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Gas Wars: Retail Gasoline Price Fluctuations by Castanias, Rick, Johnson, Herb

“…This paper examines the retail gasoline price fluctuations known as "gas wars." Weekly prices for the Los Angeles area were examined for the period from 1/2/68…”
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Hydroperoxides from the Autocatalytic Oxidation of sec-Butylbenzene by Georgiou, Lakis, da Costa, Antony L., Johnson, Herb S.

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TASS Mark III Photometric Survey of the Celestial Equator by Richmond, Michael W., Droege, Thomas F., Gombert, Glenn, Gutzwiller, Michael, Henden, Arne A., Albertson, Chris, Beser, Nicholas, Molhant, Norman, Johnson, Herb

“…The Amateur Sky Survey (TASS) is a loose confederation of amateur and professional astronomers. We describe the design and construction of our Mark III system,…”
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A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach by Bunch, David S., Johnson, Herb

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