construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

is a combination of an analytic approach and a binomial tree approach. We constructa binomial tree for the forward risk …

Turnbull (1990), our empiricalfindings strongly suggest the existence of a non-zero risk premum for stochasticvolatility of … stock returns. Allowing for non-zero risk-premium of stochasticvolatility and based on implied volatility, the SV models can …

portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option …. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …

. Assumptions on risk neutrality, efficient bargaining, and theefficient resolution of hold up problems allow investment and …

. Moreover, one interesting implication is that the implied average risk aversion of investor for a storage contract increases … hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the … values of the options in our framework are driven by systematic and idiosyncratic risk factors. Instead of linearly (delta …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as …