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CAN WE PREDICT THE OUTCOME OF THE INTERNATIONAL FOOTBALL TOURNAMENTS : THE CASE OF EURO 2000?

Halicioglu, Ferda - EconWPA - 2005

This paper statistically analyses and attempts to predict the most likely winners of the Euro 2000 football tournament …

Persistent link: https://www.econbiz.de/10005561855

Forecasting the Professional Team Sporting Events: Evidence from Euro 2000 and 2004 Football Tournaments

HALICIOGLU, Ferda - EconWPA - 2005

This study aims at predicting the most likely winners of international football tournaments. To this end, this paper …-of-season points from domestic football leagues to measure the degree of competitive balance and to use it as a comparative indicator … between the contesting countries in international football tournaments. The seasonal CV values computed from over ten seasons …

Persistent link: https://www.econbiz.de/10005412888

GARCH Option Pricing Under Skew

ABOURA, Sofiane - EconWPA - 2004

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option perspective and also it is its flexibility to adapt...

Persistent link: https://www.econbiz.de/10005561655

On the complete model with stochastic volatility by Hobson and Rogers

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

We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial differential equations governing this financial problem and...

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

Buridan's Ass and a Menu of Options.

Boyarchenko, Svetlana - EconWPA - 2005

The goal of the paper is to study how a menu of options affects decisions of a rational agent facing uncertainty over future payoff streams. Using the real options approach, we demonstrate that multiple options not only increase the barrier which the underlying stochastic variable has to reach...

Persistent link: https://www.econbiz.de/10005550882

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