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Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes

Huang, Jingzhi; Wu, Liuren - EconWPA - 2004

the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion …

Persistent link: https://www.econbiz.de/10005077041

The international diffusion of new technologies: a multi-technology analysis of latecomer advantage and global economic integration

Perkins, Richard; Neumayer, Eric - EconWPA - 2004

The diffusion of modern, efficient technology has far-reaching consequences for the geography of economic activity …. To investigate these claims we use event-history analysis to estimate the determinants of diffusion speed across a large … developed countries. Trade openness is also found to influence the rate of diffusion positively for all three technologies. Yet …

Persistent link: https://www.econbiz.de/10005062437

Technological change: An analysis of the diffusion and implications of e-business technologies

Koellinger, Philipp - EconWPA - 2005

This is a monograph that presents both a comprehensive literature review and original research results on the diffusion … and the implications of e-business technologies. The diffusion of e-business technologies among firms is regarded as part …

Persistent link: https://www.econbiz.de/10005555995

UNDERSTANDING THE DETERMINANTS OF ICTS DIFFUSSION IN ECOWAS

NWAOBI, GODWIN CHUKWUDUM - EconWPA - 2004

The Information and Communication technology(ICT) environment in the economic community of west african states(ECOWAS) has changed sufficiently to warrant re-conceptualization of the earlier initiatives. Notably, many new technologies have emerged, especially in the area of wireless...

Persistent link: https://www.econbiz.de/10005118855

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

Sequential International Joint-Ventures and the Option to Choose

Lukas, Elmar - EconWPA - 2005

The purpose of this study is to formalize the optimal choice of market entry strategy for an individual multinational enterprise (MNE) from a dynamic perspective. It is argued that incorporating a suitable treatment of irreversibility, uncertainty and flexibility related to a MNEs investment...

Persistent link: https://www.econbiz.de/10005125492

The Other Side of Limited Liability: Predatory Behavior and Investment Timing

Bayer, Christian - EconWPA - 2004

This paper investigates the interplay of investment irreversibility, predatory behavior, and limited liability in a duopoly with aggregate demand uncertainty. We find that limited liability and investment irreversibility is likely to produce predatory behavior in very competitive industries in...

Persistent link: https://www.econbiz.de/10005134505

Optimal stopping made easy

Boyarchenko, Svetlana; Levendorskiy, Sergey - EconWPA - 2004

This paper presents a simple discrete time model for valuing real options. A short proof of optimal exercise rules for the standard problems in the real options theory is given in the binomial and trinomial models, and more generally, when the underlying uncertainty is modelled as a random walk...

Persistent link: https://www.econbiz.de/10005134695

Gas Fired Power Plants: Investment Timing, Operating Flexibility and Abandonment

Fleten, Stein-Erik; Näsäkkälä, Erkka - EconWPA - 2004

We analyze investments in gas fired power plants under stochastic electricity and gas prices. We use a real options approach, taking into account the economic information in futures and forward prices. A simple but realistic two-factor model is used for price process, enabling analysis of the...

Persistent link: https://www.econbiz.de/10005134776

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