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Analytic American Option Pricing and Applications

Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...

Persistent link: https://www.econbiz.de/10011090493

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

Magis, P.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis.We show how much a ¯rm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing...

Persistent link: https://www.econbiz.de/10011090631

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Driessen, Joost; Melenberg, Bertrand; Klaassen, P. - Tilburg University, Center for Economic Research - 2000

type of data -interest rate data or derivative price data- should be used to estimate the model parameters to obtain the ….Also, estimation on the basis of derivative prices leads to more accurate out-of-sample prediction of cap and swaption prices than …

Persistent link: https://www.econbiz.de/10011091164

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis

de Jong, Frank C. J. M.; Driessen, Joost; Pelsser, A. - Tilburg University, Center for Economic Research - 2000

calibration.We show that the Libor Market Models in general lead to better prediction of derivative prices that were not used for … derivative prices, and adding a second factor only decreases pricing errors to a small extent.We also find that models that are … chosen to exactly match certain derivative prices are overfitted. Finally, a regression analysis reveals that the pricing …

Persistent link: https://www.econbiz.de/10011091867

Structural RFV : Recovery Form and Defaultable Debt Analysis

Guha, R.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

Receiving the same fractional recovery of par at default for bonds of the same issuer and seniority, regardless of remaining maturity, has been labelled in the academic literature as a Recovery of Face Value at Default (RFV).Such a recovery form results from language found in typical bond...

Persistent link: https://www.econbiz.de/10011092403

Exchange rate target zones : A new approach

de Jong, Frank C. J. M.; Drost, Feike C.; Werker, Bas J.M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011090368

A Preference-Free Formula to Value Commodity Derivatives

Rodríguez, Juan Carlos - Tilburg University, Center for Economic Research - 2007

This paper studies a new model of commodity prices in which the stochastic convenience yield is an affine function of past commodity returns. While preserving market completeness, the model exhibits price nonstationarity and mean reversion under the martingale measure, and, as a consequence, it...

Persistent link: https://www.econbiz.de/10011091124

Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?

Calcagno, R. - Tilburg University, Center for Economic Research - 2000

We consider a model in which the principal-agent relation between inside shareholders and the management affects the firm value.We study the effect of financing the project with risky debt in changing the incentive for a risk-neutral shareholder (the principal) to implement the project-value...

Persistent link: https://www.econbiz.de/10011091167

New Evidence on Price and Volatility Effects of Stock Option Introductions

Kabir, M.R. - Tilburg University, Center for Economic Research - 1997

This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,...

Persistent link: https://www.econbiz.de/10011091201

Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options

ter Horst, Jenke; Veld, C.H. - Tilburg University, Center for Economic Research - 2002

Since 1998, large investment banks have flooded the European capital markets with issues of call warrants.This has led to a unique situation in the Netherlands, where now call warrants, traded on the stock exchange, and long-term call options, traded on the options exchange, exist.Both entitle...

Persistent link: https://www.econbiz.de/10011091378