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SSRN Electronic Journal, 2016
This article illustrates concurrent values emanating from mergers in the REIT industry. Prior studies on REIT mergers focused only single merger outcome(s); thereby, ignoring other existing concurrent values. Concurrent values are disentangled using game theory. Results illustrate embedded dynamism of option values linked to game strategies.
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This article illustrates concurrent values emanating from mergers in the REIT industry. Prior studies on REIT mergers focused only single merger outcome(s); thereby, ignoring other existing concurrent values. Concurrent values are disentangled using game theory. Results illustrate embedded dynamism of option values linked to game strategies.
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Applications of real options valuation
2023This dissertation presents three essays, each discussing an application of real options (contingent claim analysis) techniques. These applications involve equipment replacement, computable general equilibrium analysis and valuation of hedge-fund management compensation. This first essay develops and discusses a real options or contingent claim model to
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Approximate valuation of average options
Annals of Operations Research, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Iwaki, Hideki +2 more
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Valuation of Performance‐Dependent Options
Applied Mathematical Finance, 2008Performance‐dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. This paper presents a novel approach to the valuation of general performance‐dependent options. To this end, a multidimensional Black–Scholes model is used to describe the temporal development of the ...
Thomas Gerstner, Markus Holtz
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Closed Form Valuation of American Barrier Options
SSRN Electronic Journal, 1999Closed form formulae for European barrier options are well known from the literature. This is not the case for American barrier options, for which no closed form formulae have been published. One has therefore had to resort to numerical methods. Lattice models like a binomial or a trinomial tree, for valuation of barrier options are known to converge ...
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2004
This chapter deals with the pricing of certain types of exotic options, called “power options” and “powered options”. The special feature of these contracts is that, compared with plain vanilla options, in the first case the stock price in the payoff function is replaced by the stock price raised to some power, and in the latter case the option payoff ...
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This chapter deals with the pricing of certain types of exotic options, called “power options” and “powered options”. The special feature of these contracts is that, compared with plain vanilla options, in the first case the stock price in the payoff function is replaced by the stock price raised to some power, and in the latter case the option payoff ...
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Financial Analysts Journal, 1982
(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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Option valuation of real assets
Resources Policy, 1993Abstract Managerial flexibility adds value to a project, but this gain is seldom considered, because traditional evaluation methods cannot measure it. Operating flexibility, for example to save costs taking advantage of price developments, operates as an option. Contingent claims analysis, a technique based on financial option theory, takes advantage
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The Valuation of Options on Futures Contracts
The Journal of Finance, 1985ABSTRACTRational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting.
Ramaswamy, Krishna, Sundaresan, Suresh M
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Valuation of a Repriceable Executive Stock Option
Asia-Pacific Financial Markets, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fujita, Takahiko, Ishii, Masahiro
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