Similar Search Results

Genetic Codes of Mergers, Post Merger Technology Evolution and Why Mergers Fail

Cuntz, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

This paper addresses the key determinants of merger failure, in particularthe role of innovation (post-merger … introduce a model of process innovation where merged firmsexibit intra-merger spillover of knowledge under different market … model implications for merger failure for M&A datafrom the US biotechnology industry in the 90s. We find that post …

Persistent link: https://www.econbiz.de/10005860566

Numerics of Implied Binomial Trees

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...

Persistent link: https://www.econbiz.de/10005860517

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang; Trück, Stefan; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

Persistent link: https://www.econbiz.de/10005861246

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...

Persistent link: https://www.econbiz.de/10005861277

Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary...

Persistent link: https://www.econbiz.de/10005861278

An Iteration Procedure for Solving Integral Equations Related to Optimal StoppingProblems

Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...

Persistent link: https://www.econbiz.de/10005861316

Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

Persistent link: https://www.econbiz.de/10005861418

Spectral calibration of exponential Lévy Models [2]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for the good performance of any calibration procedure. Recent empirical...

Persistent link: https://www.econbiz.de/10005861421

Spectral calibration of exponential Lévy Models [1]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...

Persistent link: https://www.econbiz.de/10005861424

DSFM fitting of Implied Volatility Surfaces

Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of...

Persistent link: https://www.econbiz.de/10005862106