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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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Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors
Chabakauri, Georgy - London School of Economics (LSE) - 2015
We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants. The heterogeneity in preferences generates excess...
Persistent link: https://www.econbiz.de/10011126596
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Arbitrage pricing and equilibrium pricing : compatibility conditions.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001
financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … to construct a unique valuation operator which only depends on some particular price processes as well as on the …
Persistent link: https://www.econbiz.de/10008832173
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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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Viability and equilibrium in securities markets with frictions.
Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine - 1999
the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed …
Persistent link: https://www.econbiz.de/10008800242
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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