Showing 1 - 10 of 52
This paper presents a new method to detect informed trading activities in the options markets.An option trade is … ChicagoBoard Options Exchange is analyzed.[...] …
Persistent link: https://www.econbiz.de/10005868704
Ziel dieses Beitrages ist es, die Zusammenhänge zwischen den Binomialmodellen der Operationsbewertung (Replikation bzw. Methode der risikoneutralen Wahrscheinlichkeiten) und dem Black/Scholes Modell aufzuzeigen und zu analysieren...
Persistent link: https://www.econbiz.de/10005856980
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
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
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
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
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
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
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
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