We derive closed-form expressions to price European calls and puts assuming the cash flows of the underlying asset or project are normally distributed. This approach has important advantages in the context of real options applied to infrastructure projects when compared to the Black-Scholes...

Credit ratings play an important role in the fixed income market as the entire regulatory framework of this market segment is based on them and a significant part of what investors can and cannot do is dictated by ratings. Also, a number of ratings-based metrics are employed globally to estimate...

We identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation. Also, we derive some useful closed-form expressions that are suitable when the collateral consists of only one painting. To...

We analyze the guarantees that art-auction houses offer from an options viewpoint. This approach allows us to derive analytical expressions to value the positions involved in such arrangements. We further validate these formulas with a Monte Carlo simulation applied to a realistic example....

We examine the annual returns based on auction data for two groups of artists (Surrealists and Impressionists) and two individual artists (Picasso and Renoir) using hedonic pricing models in combination with a wild bootstrap statistical technique. With this approach we estimate confidence...

The Capital Asset Pricing Model (CAPM) has been used in a number of studies to explore the features of the art market (or individual artists). We claim that such studies have been based on unsuitable estimates of art market returns in the context of the CAPM methodology. The CAPM calls for...

This paper introduces a new financial metric for the art market. The metric, which we call Artistic Power Value (APV), is based on the price per unit of area (dollars per square centimeter) and is applicable to two-dimensional art objects such as paintings. This metric has several advantages...

Notwithstanding almost forty years of efforts, the market for paintings still lacks a widely accepted price index. In this paper, we introduce a simple and intuitive metric to construct such index. Our metric is based on the price of a painting divided by its area. This formulation rests on a...

This paper introduces a new financial metric for the art market. The metric, which we call Artistic Power Value (APV), is based on the price per unit of area (dollars per square centimeter) and is applicable to two-dimensional art objects such as paintings. In addition to its intuitive appeal...