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Growth Options and Firm Valuation
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/10012459825
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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Asset pricing under information with stochastic volatility
Düring, Bertram - In: Review of derivatives research 12 (2009) 2, pp. 141-167
Persistent link: https://www.econbiz.de/10003874309
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Pricing average options under time-changed Lévy processes
Yamazaki, Akira - In: Review of derivatives research 17 (2014) 1, pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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The evaluation of Europe Griebschan compound option prices under stochastic volatility using Fourier transform techniques
Griebsch, Susanne A. - In: Review of derivatives research 16 (2013) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10009774402