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Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

Persistent link: https://www.econbiz.de/10010907433

Modelo de opciones reales y aplicación al mercado petrolero

Hernández del Valle, Adrián; García, Martínez; … - In: El Trimestre Económico LXXIV (2) (2007) 294, pp. 329-348

We build a Conditional Real Options model VORC which allows for cashflows to be probabilistic and contingent on the average behavior of an external variable; and we apply our model to the crude oil market where the inflows on an investment project are contingent on the state of the base -the...

Persistent link: https://www.econbiz.de/10005025307

Comments on 'a Reconsideration of Tax Shield Valuation'

Fernandez, Pablo - 2004

Although Arzac and Glosten (2005) affirm that the value of tax shields depends upon the nature of the equity stochastic process, which, in turn depends upon the free cash flow process, I prove that the value of tax shields depends only upon the nature of the stochastic process of the net...

Persistent link: https://www.econbiz.de/10012737796

Market Imperfections, Investment Optionality and Default Spreads

Tompaidis, Stathis; Tsyplakov, Sergey; Titman, Sheridan - 2002

This paper develops a structural model that determines default spreads on risky debt. In contrast to previous research, the value of the debt's collateral is endogenously determined by the borrower's investment choice, as well as by a market demand variable that has permanent as well as...

Persistent link: https://www.econbiz.de/10012741698

Economic Evaluation of the Mediterranean Dead Sea Project : An Application of Real Options Theory

Otoiu, Adrian - 2008

This paper uses real options theory to value an investment opportunity known as the Mediterranean-Dead Sea hydroelectric project. We employ a discrete time model to:-quantify simultaneous variation of three decision variables over the useful life of the project;-value options to: postpone the...

Persistent link: https://www.econbiz.de/10012728074

Valuation Methods and Shareholder Value Creation

Fernández, Pablo - 2004

Valuation Methods and shareholder value creation is a complete book about business valuation and value creation. The book explains the nuances of different valuation methods and provides the reader with the tools for analyzing and valuing any business, no matter how complex. With 631 pages...

Persistent link: https://www.econbiz.de/10012785366

Volatility Smirk as an Externality of Agency Conict and Growing Debt

McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … management and investors. It is predicted that the higher is the compensation of the manager, the steeper will be the volatility … other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

Persistent link: https://www.econbiz.de/10011162550

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

Persistent link: https://www.econbiz.de/10011268659

Comparative statics for real options on oil: What stylized facts to use?

Lund, Diderik; Nymoen, Ragnar - Økonomisk institutt, Universitetet i Oslo - 2013

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993–2008, these changes are …

Persistent link: https://www.econbiz.de/10010785540

When do firms invest in corporate social responsibility? A real option framework

Cassimon, Danny; Engelen, Peter-Jan; Van Liedekerke, Luc - Instituut voor Ontwikkelingsbeleid en -beheer (IOB), … - 2014

In this paper, the process for firms to decide whether or not to invest in corporate social responsibility is treated from a real option perspective. We extend the Husted (2005) framework with an important extra parameter that allows us to understand the timing of CSR investment and explain why...

Persistent link: https://www.econbiz.de/10010933363