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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?

Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011

Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...

Persistent link: https://www.econbiz.de/10009354101

Nash Competive Equilibria and Two Period Fund Separation

Hens, Thorsten; Reimann, Stefan; Vogt, Bodo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...

Persistent link: https://www.econbiz.de/10005858107

Games and Prospects

Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We study how the framework of classical game theory changes when the preferences of the players are described by Prospect Theory instead of Expected Utility Theory. Specifically, we study the influence of framing effect and probability weighting on the existence and specific structure of Nash...

Persistent link: https://www.econbiz.de/10005858351

Mergers and Asset Prices in a Firm Network Economy

Brumen, Gorazd - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We examine merger activity and its effect on asset pricing in a ﬁrm network economy. Mergers create internal capital …. The possibility of a merger increases the equity value of standalone ﬁrms. Higher network dep endence generally increases … merger activity but nevertheless causes lower ﬁrm equity values. Recession and expansion, as measured by the average debt …

Persistent link: https://www.econbiz.de/10005858047

Which Way to Grow? Merging, Allying, or Buying Assets

Habib, Michel A.; Mella-Barral, Pierre - Institut für Schweizerisches Bankwesen <Zürich> - 2006

but not traded), and their core competencies (what can neither be traded nor be learned). A merger is chosen when the two …

Persistent link: https://www.econbiz.de/10005858361

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...

Persistent link: https://www.econbiz.de/10005857779

Arbitrage-free market models for option prices

Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account and a ﬁnite family of European call options with various strikes and maturities. We ﬁrst introduce local implied volatilities and price level as market observables which...

Persistent link: https://www.econbiz.de/10005857780

Model Risk for European Stock Index Options

Gençay, Ramo; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as theBlack-Scholes model with constant volatility. In this paper, we examine...

Persistent link: https://www.econbiz.de/10005857988

Difference in Beliefs and Currency Options Markets

Beber, Alessandro; Breedon, Francis; Buraschi, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for...

Persistent link: https://www.econbiz.de/10005858023

Barrier Option Pricing Using Adjusted Transition Probabilities

Barone-Adesi, G.; Fusari, N.; Theal, J. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In the existing literature on barrier options, much effort has been exerted to ensureconvergence through placing the barrier in close proximity to, or directly onto, thenodes of the tree lattice. In this paper we show that this may not be necessary toachieve accurate option price...

Persistent link: https://www.econbiz.de/10005858216