Research output per year
Research output per year
- 13 results
Search results
-
2018
Information about price and volatility jumps inferred from options prices
Taylor, S. J., Tzeng, C. F. & Widdicks, M., Oct 2018, In: Journal of Futures Markets. 38, 10, p. 1206-1226 21 p.Research output: Contribution to journal › Article › peer-review
Open Access -
2016
Why do employees like to be paid with Options? A multi-period prospect theory approach
Sun, L. & Widdicks, M., Jun 1 2016, In: Journal of Corporate Finance. 38, p. 106-125 20 p.Research output: Contribution to journal › Article › peer-review
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2014
A model of equity based compensation with tax
Widdicks, M. & Zhao, J., Sep 1 2014, In: Journal of Business Finance and Accounting. 41, 7-8, p. 1002-1041 40 p.Research output: Contribution to journal › Article › peer-review
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Bankruptcy probabilities inferred from option prices
Taylor, S. J., Tzeng, C. F. & Widdicks, M., Dec 1 2014, In: Journal of Derivatives. 22, 2, p. 8-31 24 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Do compensation plans with performance targets provide better incentives?
Pinto, H. & Widdicks, M., Dec 1 2014, In: Journal of Corporate Finance. 29, p. 662-694 33 p.Research output: Contribution to journal › Article › peer-review
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2009
Singular Perturbation Techniques Applied to Multiasset Option Pricing
Duck, P. W., Yang, C., Newton, D. P. & Widdicks, M., Jul 2009, In: Mathematical Finance. 19, 3, p. 457-486 30 p.Research output: Contribution to journal › Article › peer-review
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2007
Extending quadrature methods to value multi-asset and complex path dependent options
D. Andricopoulos, A., Widdicks, M., Newton, D. P. & Duck, P. W., Feb 2007, In: Journal of Financial Economics. 83, 2, p. 471-499 29 p.Research output: Contribution to journal › Article › peer-review
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2005
Enhancing the accuracy of pricing American and Bermudan options
Duck, P. W., Newton, D. P., Widdicks, M. & Leung, Y., Jun 1 2005, In: Journal of Derivatives. 12, 4, p. 34-44 11 p.Research output: Contribution to journal › Article › peer-review
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The black-scholes equation revisited: Asymptotic expansions and singular perturbations
Widdicks, M., Duck, P. W., Andricopoulos, A. D. & Newton, D. P., Apr 2005, In: Mathematical Finance. 15, 2, p. 373-391 19 p.Research output: Contribution to journal › Article › peer-review
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2004
Curtailing the range for lattice and grid methods
Andricopoulos, A. D., Widdicks, M., Duck, P. W. & Newton, D. P., Jun 1 2004, In: Journal of Derivatives. 11, 4, p. 55-61 7 p.Research output: Contribution to journal › Article › peer-review
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Real R&D options
Newton, D. P., Paxson, D. A. & Widdicks, M., Jun 2004, In: International Journal of Management Reviews. 5-6, 2, p. 113-130 18 p.Research output: Contribution to journal › Review article › peer-review
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2003
Universal option valuation using quadrature methods
Andricopoulos, A. D., Widdicks, M., Duck, P. W. & Newton, D. P., Feb 1 2003, In: Journal of Financial Economics. 67, 3, p. 447-471 25 p.Research output: Contribution to journal › Article › peer-review
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2002
On the Enhanced Convergence of Standard Lattice Methods for Option Pricing
Widdicks, M., Andricopoulos, A. D., Newton, D. P. & Duck, P. W., Apr 2002, In: Journal of Futures Markets. 22, 4, p. 315-338 24 p.Research output: Contribution to journal › Article › peer-review