Narrow search
Showing 1 - 10 of 161
Cover Image
The Value of Tradeability
Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011
This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...
Persistent link: https://www.econbiz.de/10009249000
Cover Image
Variance risk, financial intermediation, and thecross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
pricing dierencesbetween index and stock options, the cross-sectional variation in stock option expensiveness,the volatility …
Persistent link: https://www.econbiz.de/10009354100
Cover Image
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
Cover Image
The Endogenous Price Dynamics of Emission Allowances: An Application to CO2 Option Pricing
Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost effective measure leading to the emergence of both nationwide (SO2 ) and supranational (CO2 ) emission...
Persistent link: https://www.econbiz.de/10005857751
Cover Image
Stock Options and Managers Incentives to cheat
Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
We develop a continuous-time real options pricing model to study managers’incentives to cheat in the presence of equity …’s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We finally …
Persistent link: https://www.econbiz.de/10005857972
Cover Image
Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
Cover Image
Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story
Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
volatility: the effct is negative for low levels of uncertainty and positive for higher levels. I also construct a real-options … predictions and the theoretical approach stand in stark contrast to the real-options literature, which implies a negative relation … the influence of exchange rate volatility on the expected investment level. The paper therefore extends the real-options …
Persistent link: https://www.econbiz.de/10005858054
Cover Image
Arbitrage-free market models for option prices : The multi-strike case
Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008
with one stock, one bond and a family of European call options for one fixed maturity and all strikes. After arguing that …
Persistent link: https://www.econbiz.de/10005858204
Cover Image
Stock Returns in Mergers and Acquisitions
Hackbarth, Dirk; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper develops a real options framework to analyze the behavior of stock returns in mergers and acquisitions. In …
Persistent link: https://www.econbiz.de/10005858239
Cover Image
Financing and Takeovers
Morellec, Erwan; Zhdanov, Alexei - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper analyzes the interaction between financial leverage and takeover activity. We develop a dynamic model of takeovers in which the financing strategies of bidding firms and the timing and terms of takeovers are jointly determined. In the paper, capital structure plays the role of a...
Persistent link: https://www.econbiz.de/10005858240