Results 1 to 10 of about 241,664 (350)
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
openalex +4 more sources
On the valuation of Paris options: foundational results
, 1999 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.
Schröder, Michael
core +4 more sources
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.
Raupach, Peter
core +5 more sources
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
openalex +4 more sources
Spanning, valuation and options [PDF]
Economic Theory, 1991 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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
openaire +7 more sources
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 Bounds of Tranche Options [PDF]
SSRN Electronic Journal, 2010 19 pages, 9 ...
Yadong Li, Ariye Shater
openaire +3 more sources
Present value of firm in case of correlated defaults
Lietuvos Matematikos Rinkinys, 2023 In this article, the valuation of firm’s present value in case of correlated defaults is studied. We showed that the valuation of portfolio credit risk can be interpreted as a valuation of the multiple contingent option.
Mantas Valužis
doaj +3 more sources
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
openaire +2 more sources