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Professor Robert L. Geske

Personal Details

First Name:Robert
Middle Name:L.
Last Name:Geske
Suffix:
RePEc Short-ID:pge214
[This author has chosen not to make the email address public]
Prof Robert Geske Anderson School 110 Westwood Plaza University of California Los Angeles, Ca. 90095
310-825-1953

Affiliation

Anderson Graduate School of Management
University of California-Los Angeles (UCLA)

Los Angeles, California (United States)
http://www.anderson.ucla.edu/
RePEc:edi:aguclus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Delianedis, Gordon & Geske, Robert, 2001. "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors," University of California at Los Angeles, Anderson Graduate School of Management qt32x284q3, Anderson Graduate School of Management, UCLA.
  2. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
  3. Geske, Robert & Torous, Walter, 1987. "Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing," University of California at Los Angeles, Anderson Graduate School of Management qt4k5225cz, Anderson Graduate School of Management, UCLA.
  4. Geske, Robert & Pieptea, Dan, 1986. "Controlling Interest Rate Risk and Return with Futures," University of California at Los Angeles, Anderson Graduate School of Management qt38r3d1dj, Anderson Graduate School of Management, UCLA.
  5. Geske, Rovert & Shastri, Kuldeep, 1986. "An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options," University of California at Los Angeles, Anderson Graduate School of Management qt8t9863d8, Anderson Graduate School of Management, UCLA.

Articles

  1. Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 45-71, March.
  2. Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June.
  3. Geske, Robert & Roll, Richard, 1984. "On Valuing American Call Options with the Black-Scholes European Formula," Journal of Finance, American Finance Association, vol. 39(2), pages 443-455, June.
  4. Geske, Robert & Johnson, Herb E, 1984. "The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
  5. Geske, Robert & Johnson, H. E., 1984. "The Valuation of Corporate Liabilities as Compound Options: A Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(2), pages 231-232, June.
  6. Geske, Robert & Roll, Richard, 1983. "The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
  7. Geske, Robert & Roll, Richard & Shastri, Kuldeep, 1983. "Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note," Journal of Finance, American Finance Association, vol. 38(4), pages 1271-1277, September.
  8. Geske, Robert, 1981. "Comments on Whaley's note," Journal of Financial Economics, Elsevier, vol. 9(2), pages 213-215, June.
  9. Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard, 1980. "Mutual fund insurance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 283-317, September.
  10. Geske, Robert, 1979. "A note on an analytical valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 7(4), pages 375-380, December.
  11. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
  12. Geske, Robert, 1978. "The Pricing of Options with Stochastic Dividend Yield," Journal of Finance, American Finance Association, vol. 33(2), pages 617-625, May.
  13. Geske, Robert, 1977. "The Valuation of Corporate Liabilities as Compound Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 541-552, November.

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