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A theory of endogenous time preference, and discounted utility anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

function and underlying uncertainty. We provide analytic expressions and numerical examples for discount factors assuming … simple utility functions and gaussian uncertainty. …

Persistent link: https://www.econbiz.de/10005135046

General option exercise rules, with applications to embedded options and monopolistic expansion

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

technology, the other - demand uncertainty. The impact of these factors on new technology adoption is analyzed. It is shown that … depending on the situation and type of uncertainty, the diffusion uncertainty and jump uncertainty can produce opposite effects. …

Persistent link: https://www.econbiz.de/10005076973

Real options and the universal bad news principle

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2004

incorporates non-technological uncertainty. The former factor follows a process with upward jumps. The impact of these factors on …

Persistent link: https://www.econbiz.de/10005134751

American options: the EPV pricing model

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2004

We explicitly solve the pricing problem for perpetual American puts and calls, and provide an efficient semi-explicit pricing procedure for options with finite time horizon. Contrary to the standard approach, which uses the price process as a primitive, we model the price process as the expected...

Persistent link: https://www.econbiz.de/10005134771

Practical guide to real options in discrete time

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2004

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete...

Persistent link: https://www.econbiz.de/10005134883

Discount factors ex post and ex ante, and discounted utility anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

, waiting is valuable because uncertainty is revealed over time. The fair price (or compensation) that the individual agrees to … depend on the utility function and underlying uncertainty. After the decision of exchange had been made, valuation ex post … discount factors assuming different utility functions and models of uncertainty, and demonstrate that our explanation of …

Persistent link: https://www.econbiz.de/10005135039

Practical guide to real options in discrete time II

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

This paper is an extended version of the paper 'Practical Guide to Real Options in Discrete Time' (http://econwpa.wustl.edu:80/eps/fin/papers/0405/0405016.pdf), where a general, computationally simple approach to real options in discrete time was suggested. We explicitly formulate conditions of...

Persistent link: https://www.econbiz.de/10005413111