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Kraft, Holger - 2013

This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10013085928

Option Prices in a Model with Stochastic Disaster Risk

Seo, Sang Byung - 2013

Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exercise price of the … option and are often higher than realized volatilities. We explain both facts in the context of a model that can also explain … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

Persistent link: https://www.econbiz.de/10013073202

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Duffie, Darrell - 2008

for intensityy-based models of default, as well as a wide range of option-pricing applications. An illustrative example … examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option …

Persistent link: https://www.econbiz.de/10012774824

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2007

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable...

Persistent link: https://www.econbiz.de/10012778140

Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S&P 500 Options

Santa-Clara, Pedro - 2005

. We find that the average premium that compensates the investor for the risks implicit in option prices, 10.1 percent, is …

Persistent link: https://www.econbiz.de/10012785090

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

Engle, Robert F. - 2010

In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....

Persistent link: https://www.econbiz.de/10012763182

Rethinking the Effects of Financial Liberalization

Broner, Fernando - 2011

During the last few decades, many emerging markets have lifted restrictions on cross-border financial transactions. The conventional view was that this would allow these countries to: (i) receive capital inflows from advanced countries that would finance higher investment and growth; (ii) insure...

Persistent link: https://www.econbiz.de/10013132044

Capital Flows to Emerging Markets : Liberalization, Overshooting, and Volatility

Bacchetta, Philippe - 2008

The paper analyzes the impact of financial liberalizations and reforms in emerging markets on the dynamics of capital flows to these markets, using a simple model of international investors' behavior. We first show that the gradual nature of liberalizations, combined with the cost of absorbing...

Persistent link: https://www.econbiz.de/10012774900

Foreign Speculators and Emerging Equity Markets

Bekaert, Geert - 2008

A number of countries have delayed the opening of their capital markets to internationalquot; investment because of reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross-sectional time-series model that attempts toquot;...

Persistent link: https://www.econbiz.de/10012774923

Volatility Dependence and Contagion in Emerging Equity Markets

Edwards, Sebastian - 2001

In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and...

Persistent link: https://www.econbiz.de/10012787582