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The early exercise premium representation for American options on multiply assets [PDF]
Appl. Math. Optim. 73 (2016) 99-114, 2013 In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples
Klimsiak, Tomasz, Rozkosz, Andrzej
arxiv +3 more sources
Valuation of Inventories Considering the Fair Value Options [PDF]
Annals of the University of Oradea: Economic Science, 2008 Our paper represents a pleading for fair value in the specific case of valuating inventories. The real significance and implications of fair value can only be seen after analyzing the topic from different points of view concerning all involved actors ...
Deaconu Adela, Bonaci Carmen, Popa Ioan
doaj +2 more sources
Spanning, valuation and options [PDF]
Economic Theory, 1991 We model the space of marketed assets as a Riesz space of commoditics. In this setting two altenative characterizations are given of the space of continuous options on a bounded asset,s, with limited liability. The first characterization represents every continuous option ons as the uniform limit of portfolios of calls ons.
Donald J. Brown, Stephen A. Ross
openaire +2 more sources
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 Bounds of Tranche Options [PDF]
SSRN Electronic Journal, 2010 19 pages, 9 ...
Yadong Li, Ariye Shater
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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
doaj +1 more source
Valuation of Capital Protection Options [PDF]
SSRN Electronic Journal, 2015 This working paper formed part of a larger published paper P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework.
Xiaolin Luo, Pavel V. Shevchenko
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BANK VALUATION METHODS ANALYSIS: DEVELOMENT OPTIONS
Статистика и экономика, 2016 The paper considers existing businessvaluation methods. A brief description of the essence, advantages and disadvantages of each valuation method was provided.
Matvey D. Bondarenko
doaj +1 more source
Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Quadranomial Sequential Real Options with Changing Volatility: Technological Uncertainties The investments in biotechnologies for vaccine development characterizes by a set of sequential stages, from its development to the market launch, with multiple ...
Gastón Silverio Milanesi
doaj +1 more source
Valuation and Parities for Exchange Options [PDF]
SIAM Journal on Financial Mathematics, 2015 19 ...
openaire +5 more sources