This paper presents a unified method for closed-form pricing of European options on assets
with diffusion prices. The method uses linear and nonlinear time and scale changes to …

Entrepreneurs and VCs often disagree on their valuation of start-ups. This article offers a
new reason why. The Venture Capital (VC) method is a standard method for valuing startup …

Capital asset pricing model (CAPM) and alternative arbitrage pricing theory (APT) methodologies
are used to estimate the cost of capital for a sample of electric utilities. The statistical …

By considering the patent from the perspective of a compound option it is possible to offer
useful insights into what a patent does, when it is worth patenting, and the effects of changes to …

In a perfectly efficient market, after adjusting for drift, futures prices would follow a martingale
model. The martingale property implies that the changes in futures prices should be serially …

Equilibrium Futures Prices Page 1 Memory and Equilibrium Futures Prices David H.
Goldenberg INTRODUCTION fficient market theory implies that equilibrium futures prices …

A recent microeconomic model of the determinants of equity betas (Subrahmanyam and
Thomadakis 1980) is generalized by including risky human capital in the market portfolio and …

… Goldenberg … David H. Goldenberg is an Assistant Professor of Finance in the College
of Business and Management at the University of Maryland. …

This paper derives and numerically simulates maximum likelihood estimators for the drift in
several important diffusion price models. The time series convergence properties of these …

This article demonstrates what could be done when a liquid, secondary market in venture-capital
investments exists. It uses exotic options to manage VC investment in two competing …