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The Valuation of Volatility Options [PDF]
Review of Finance, 2000 The paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. The volatility models can be summarized by a risk neutralized process taking the form \[ dV_{t}=V{t}[(r-{\delta}_{t}^{V}) dt+ {\sigma}_{t}^{V} dZ_{t}^{*}] \] for appropriate choices of the coefficients \(({\
Jérôme Detemple, Carlton Osakwe
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On the valuation of Paris options: foundational results
, 2000 This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach.
Michael Schröder
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The Valuation of Employee Stock Options - How Good is the Standard? [PDF]
, 2003 This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form.
Peter Raupach
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Option Valuation with Conditional Skewness [PDF]
Journal of Econometrics, 2003 Abstract Index option prices differ systematically from Black–Scholes prices. Out-of-the-money put prices (and in-the-money call prices) are relatively high compared to the Black–Scholes price. Motivated by these empirical facts, we develop a new discrete-time dynamic model of stock returns with inverse Gaussian innovations.
Peter Christoffersen +2 more
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The Valuation of Options on Capacity
, 2003 This chapter represents the core of the present analysis. Its purpose is laying the foundations of a market model consisting of a sequence of the following market sessions: a contract market, where capacity can be reserved, and a spot market, where capacity can be purchased on a short-term basis.
S. Spinler
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A parametric approach for the valuation of power plant flexibility options
Energy Reports, 2016 Conventional generation units encounter a changing role in modern societies’ energy supply. With increased need for flexible operation, engineers and project managers have to evaluate the benefits of technical improvements.
Julia Hentschel +2 more
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Spanning, valuation and options [PDF]
Economic Theory, 1991 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donald J. Brown, Stephen A. Ross
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Growth Options and Firm Valuation [PDF]
SSRN Electronic Journal, 2013 AbstractThis paper studies the relationship between firm value and a firm's growth options. We find strong empirical evidence that Tobin's Q increases with firm‐level volatility. The significance mainly comes from R&D firms, which have more growth options than non‐R&D firms.
Eduardo S. Schwartz +4 more
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VALUATION OF EMBEDDED OPTIONS IN NON-MARKETABLE CALLABLE BONDS: A NEW NUMERICAL APPROACH
Technological and Economic Development of Economy, 2022 The issue of how to price options embedded in callable bonds has attracted a lot of interest over the years. The usual bond valuation methods rely on yield curves, risk premium, and other parameters to estimate interest rates used in discounted cash flow
Roman Skalický +4 more
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Arbitrage Bounds on Currency Basket Options
Mathematical and Computational Applications, 2020 This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets.
Yi Hong
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