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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

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

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

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

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 managersincentives 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

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

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

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

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

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