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Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach

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  • Norland, Erik
  • Wilford, D. Sykes

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  • Norland, Erik & Wilford, D. Sykes, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach," Review of Financial Economics, Elsevier, vol. 11(3), pages 225-239.
    • Handle: RePEc:eee:revfin:v:11:y:2002:i:3:p:225-239
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    References listed on IDEAS

    as
    1. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
    2. Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298, October.
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    Cited by:

    1. D. Sykes Wilford, 2012. "True Markowitz or assumptions we break and why it matters," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 93-101, September.
    2. Wilford, D. Sykes, 2012. "True Markowitz or assumptions we break and why it matters," Review of Financial Economics, Elsevier, vol. 21(3), pages 93-101.
    3. Karagiannidis, Iordanis & Sykes Wilford, D., 2015. "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, vol. 25(C), pages 19-26.
    4. Iordanis Karagiannidis & D. Sykes Wilford, 2015. "Modeling fund and portfolio risk: A bi‐modal approach to analyzing risk in turbulent markets," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 19-26, April.

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