Professor Robert L. Geske

Names

Contact

Affiliations

• University of California-Los Angeles (UCLA) → Anderson Graduate School of Management
  • website
  • location: Los Angeles, California (United States)

Research profile

author of:

• Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing
  by Geske, Robert & Torous, Walter
• Comments on Whaley's note
  by Geske, Robert
• The Pricing of Options with Stochastic Dividend Yield.
  by Geske, Robert
• The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors
  by Delianedis, Gordon & Geske, Robert
• Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults
  by Delianedis, Gordon & Geske, Robert
• Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques
  by Geske, Robert & Shastri, Kuldeep
• The Valuation of Corporate Liabilities as Compound Options
  by Geske, Robert
• The Valuation of Corporate Liabilities as Compound Options: A Correction
  by Geske, Robert & Johnson, H. E.
• Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note.
  by Geske, Robert & Roll, Richard & Shastri, Kuldeep
• The valuation of compound options
  by Geske, Robert
• The early exercise of American puts
  by Geske, Robert & Shastri, Kuldeep
• Controlling Interest Rate Risk and Return with Futures
  by Geske, Robert & Pieptea, Dan
• On Valuing American Call Options with the Black-Scholes European Formula.
  by Geske, Robert & Roll, Richard
• The Fiscal and Monetary Linkage between Stock Returns and Inflation.
  by Geske, Robert & Roll, Richard
• A note on an analytical valuation formula for unprotected American call options on stocks with known dividends
  by Geske, Robert
• The American Put Option Valued Analytically.
  by Geske, Robert & Johnson, Herb E.
• Mutual fund insurance
  by Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard
• An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options
  by Geske, Rovert & Shastri, Kuldeep