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Partial Exercise Of Loan Commitments Under Adaptive Pricing

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  • Stuart I. Greenbaum
  • Itzhak Venezia

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  • Stuart I. Greenbaum & Itzhak Venezia, 1985. "Partial Exercise Of Loan Commitments Under Adaptive Pricing," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 251-263, December.
    • Handle: RePEc:bla:jfnres:v:8:y:1985:i:4:p:251-263
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1985.tb00410.x
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    References listed on IDEAS

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    1. Itzhak Venezia & Haim Levy, 1980. "Optimal Claims in Automobile Insurance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(3), pages 539-549.
    2. Itzahk Venezia & Haim Levy, "undated". "Optimal Claims in Automobile Insurance," Rodney L. White Center for Financial Research Working Papers 05-80, Wharton School Rodney L. White Center for Financial Research.
    3. James, Christopher, 1982. "An Analysis of Bank Loan Rate Indexation," Journal of Finance, American Finance Association, vol. 37(3), pages 809-825, June.
    4. Myers, Stewart C & Turnbull, Stuart M, 1977. "Capital Budgeting and the Capital Asset Pricing Model: Good News and Bad News," Journal of Finance, American Finance Association, vol. 32(2), pages 321-333, May.
    5. Donald R. Hodgman, 1960. "Credit Risk and Credit Rationing," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 74(2), pages 258-278.
    6. Smith, Vernon L, 1972. "A Theory and Test of Credit Rationing: Some Generalizations," American Economic Review, American Economic Association, vol. 62(3), pages 477-483, June.
    7. Fama, Eugene F., 1977. "Risk-adjusted discount rates and capital budgeting under uncertainty," Journal of Financial Economics, Elsevier, vol. 5(1), pages 3-24, August.
    8. Brennan, Michael J, 1973. "An Approach to the Valuation of Uncertain Income Streams," Journal of Finance, American Finance Association, vol. 28(3), pages 661-674, June.
    9. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    10. Albert M. Wojnilower, 1980. "The Central Role of Credit Crunches in Recent Financial History," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(2), pages 277-340.
    11. Ho, Thomas S. Y. & Saunders, Anthony, 1983. "Fixed Rate Loan Commitments, Take-Down Risk, and the Dynamics of Hedging with Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(4), pages 499-516, December.
    12. Bogue, Marcus C & Roll, Richard, 1974. "Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital," Journal of Finance, American Finance Association, vol. 29(2), pages 601-613, May.
    13. Itzahk Venezia & Haim Levy, "undated". "Optimal Claims in Automobile Insurance," Rodney L. White Center for Financial Research Working Papers 5-80, Wharton School Rodney L. White Center for Financial Research.
    14. Venezia, Itzhak, 1984. "Optimal investments in market research," European Journal of Operational Research, Elsevier, vol. 18(2), pages 198-207, November.
    15. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
    16. Campbell, Tim S, 1978. "A Model of the Market for Lines of Credit," Journal of Finance, American Finance Association, vol. 33(1), pages 231-244, March.
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    Cited by:

    1. O. Emre Ergungor, 2000. "Relationship loans and information exploitability in a competitive market: loan commitments vs. spot loans," Working Papers (Old Series) 0013, Federal Reserve Bank of Cleveland.
    2. Martin, J. Spencer & Santomero, Anthony M., 1997. "Investment opportunities and corporate demand for lines of credit," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1331-1350, October.
    3. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
    4. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
    5. Sumit Agarwal & Souphala Chomsisengphet & John C. Driscoll, 2004. "Loan commitments and private firms," Finance and Economics Discussion Series 2004-27, Board of Governors of the Federal Reserve System (U.S.).
    6. Stanhouse, Bryan & Schwarzkopf, Al & Ingram, Matt, 2011. "A computational approach to pricing a bank credit line," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1341-1351, June.
    7. Xavier Freixas & Curzio Giannini & Glenn Hoggarth & Farouk Soussa, 2000. "Lender of Last Resort: What Have We Learned Since Bagehot?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(1), pages 63-84, October.
    8. Chateau, J. -P. & Dufresne, D., 2002. "The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 159-181.

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