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On Real Options and Information Costs.
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …
Persistent link: https://www.econbiz.de/10008532470
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Rational trader risk
Kondor, Peter - London School of Economics (LSE) - 2004
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...
Persistent link: https://www.econbiz.de/10010884635
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The freight market and its interactions with the energy system.
Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine
Persistent link: https://www.econbiz.de/10009370255
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Simulated nonparametric estimation of dynamic models with applications to finance
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...
Persistent link: https://www.econbiz.de/10010745257
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Pricing of non-redundant derivatives in a complete market.
Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999
We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...
Persistent link: https://www.econbiz.de/10008800245
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Can rare events explain the equity premium puzzle?
Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008
Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in order to rationalize the stock market risk premium....
Persistent link: https://www.econbiz.de/10011071098
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Pricing of Asian options on interest rates in the CIR model
Dassios, Angelos; Nagaradjasarma, Jayalaxshmi - London School of Economics (LSE) - 2011
probability distribution function. Applications to the valuation of derivatives, including Asian options prices in closed form …
Persistent link: https://www.econbiz.de/10010746216