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Valuing Joint Ventures Using Real Options

Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005

As the valuation of strategic measures becomes increasingly important, relatively few articles have discussed the valuation methods pertained for joint ventures. This paper shows that real options contribute to a better valuation of joint venture projects through superior reflection of the value...

Persistent link: https://www.econbiz.de/10005077010

The Random-Time Binomial Model

Leisen, Dietmar P.J. - EconWPA - 1997

Persistent link: https://www.econbiz.de/10005125065

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

Persistent link: https://www.econbiz.de/10005134854

On the complete model with stochastic volatility by Hobson and Rogers

Pascucci, Andrea; Francesco, Marco Di - EconWPA - 2005

pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial …

Persistent link: https://www.econbiz.de/10005561720

A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model

Sen, Liew Khim; Baharumshah, Ahmad Zubaidi; Chong, Choo Wei - EconWPA - 2003

Smooth Transition Autoregressive (STAR) model has been employed in a number of current studies dealing with non-linearities. The usefulness of this model has been documented in these studies. However, the population statistical properties of the parameters in this model remain unknown. This...

Persistent link: https://www.econbiz.de/10005408278

REINSURANCE, TAXES AND EFFICIENCY: A CONTINGENT CLAIMS MODEL OF INSURANCE MARKET EQUILIBRIUM

GARVEN, James R.; Louberge, Henri - EconWPA - 1994

This paper presents an analytical model of underwriting capacity and insurance market equilibrium under an asymmetric corporate tax schedule. It is shown that reinsurance markets enable risk-neutral insurers to allocate tax shields to those firms that have the greatest capacity for utilizing...

Persistent link: https://www.econbiz.de/10005413066

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

ﬁnancial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

Persistent link: https://www.econbiz.de/10005124892

A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

Persistent link: https://www.econbiz.de/10005124894

Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528