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The n-fold compound option
THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …
This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option on an option which he defined as a compound option. He developed a closed form expression for this kind of options. In this paper we will extend the notion of compound option to...
Persistent link: https://www.econbiz.de/10005824296
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Decomposition of the n-fold compound option
THOMASSEN, Liesbeth; VAN CASTEREN, Jan; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002
In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geske’s compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate...
Persistent link: https://www.econbiz.de/10005588127
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The valuation of N-phased investment projects under jump-diffusion processes
Andergassen, Rainer; Sereno, Luigi - 2010
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...
Persistent link: https://www.econbiz.de/10011739826
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Beyond the Financial Crisis: Addressing risk challenges in a changing financial environment
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2009
Paper presented at "Strategies For Solving Global Crises Conference: The Financial Crisis and Beyond" (October 2009 …). Also published in "Corporate Finance: Governance, Corporate Control & Organization Journals" (July 2010) The Financial … the need to focus on unregulated instruments such as hedge funds, which are of systemic importance to the financial …
Persistent link: https://www.econbiz.de/10008529221
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Prudential discipline for financial firms: Micro, macro, and market structures
Wall, Larry D. - 2010
The recent global financial crisis reflects numerous breakdowns in the prudential discipline of financial firms. This …
Persistent link: https://www.econbiz.de/10010292244
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A note on consumption correlations and European financial integration
Flotho, D. Teja - 2002
of financial integration between the current EU-member states and the central and eastern European accession states. We …(er) consumption correlations (just opposite to the theory of complete financial markets) does also and still exist among European … countries, even using data-sets covering most recent time periods. Thus, there seems to be less financial market integration …
Persistent link: https://www.econbiz.de/10011335782
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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10010323727
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Usage of Financial Services in South Africa: Perceptions Matter
Kostov, Philip; Arun, Thankom; Annim, Samuel - 2013
This study investigates the access to and usage of financial services in South Africa. Financial services are … the interactions between usage of different types of financial services, we use multivariate simultaneous probit … specification to examine the effect of financial perception. Our results suggests that after controlling for endogeneity of choices …
Persistent link: https://www.econbiz.de/10010328955
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A quantitative mirror on the Euribor market using implied probability density functions
de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010
financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to … contribute to monetary policy and financial stability analysis. …
Persistent link: https://www.econbiz.de/10011605327
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The Asian financial crisis: Crisis, reform and recovery
Sharma, Shalendra D. - 2003
The Asian financial crisis of 1997-98 shook the foundations of the global economy. What began as a localised currency … fundamental ways did the Asian crisis serve as a catalyst to the current thinking about the 'new international financial …
Persistent link: https://www.econbiz.de/10011895999