Results 11 to 20 of about 262,960 (395)
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 Bounds of Tranche Options [PDF]
SSRN Electronic Journal, 2010 19 pages, 9 ...
Yadong Li, Ariye Shater
openaire +2 more sources
Valuation of long-term care options embedded in life annuities
Annals of Actuarial Science, 2021 In most industrialised countries, one of the major societal challenges is the demographic change coming along with the ageing of the population. The increasing life expectancy observed over the last decades underlines the importance to find ways to ...
A. Chen +3 more
semanticscholar +1 more source
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.
Kraft, Holger +2 more
openaire +5 more sources
Option valuation with conditional skewness [PDF]
Journal of Econometrics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christoffersen, Peter +2 more
openaire +1 more source
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 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
Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models
Discrete Dynamics in Nature and Society, 2018 This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models.
Miao Han +3 more
doaj +1 more source
Real Options - Realistic Valuation [PDF]
SSRN Electronic Journal, 2003 In valuation of real options, a widely accepted assumption is that the underlying real asset is perfectly correlated with a financial one. As a result, valuation techniques from the financial world can be used. Since this assumption is in general unrealistic and may lead to substantial mispricing, even if the correlation is very high but not perfect ...
Capiński, Marek, Patena, Wiktor
openaire +3 more sources