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The market premium for the option to close: Evidence from Australian gold mining firms
Kelly, Simone - 2004
This paper assesses whether the market valuation of gold mining firms contain a premium for the option to close. Tests … paper assesses the relevancy of the option to close for mining firm valuation. This is achieved by examining 41 Australian … degree of association between the actual (market determined) and theoretical option premiums on the basis of the overall …
Persistent link: https://www.econbiz.de/10009441756
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Options Pricing and Accounting Practice
Calomiris, Charles W.; Hubbard, R. Glenn - American Enterprise Institute - 2009
The establishment of new accounting rules for expensing options would likely do more harm than good.
Persistent link: https://www.econbiz.de/10010941130
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Options Pricing and Accounting Practice
Hubbard, R. Glenn; Calomiris, Charles W. - American Enterprise Institute - 2004
The establishment of new accounting rules for expensing options would likely do more harm than good.
Persistent link: https://www.econbiz.de/10010949204
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Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 335-357
We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that include options and is a useful ex ante indicator that can be...
Persistent link: https://www.econbiz.de/10010679172
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Investment under Uncertainty
Dixit, Avinash K.; Pindyck, Robert S. - Princeton University Press
investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the …
Persistent link: https://www.econbiz.de/10011115766