Approach to modeling evolution of market of civil aircraft is proposed. The study of prospects of the US passenger traffic is carried out on the basis of the constructed econometric model of oligopoly in airline industry. Scenarios of key indicators of the market (market structure, revenue...

In this paper we present a model for valuing European and American options, which incorporates both default and interest rate risks. We develop a framework that permits evaluation of three kinds of options: (i) options issued by default-free counterparties on risky bonds, (ii) options issued by...

Motivated by the empirical findings that asset returns or volatilities are predictable, this paper studies the pricing of European options on stock or volatility, the instantaneous changes of which depend upon an autoregressive moving average (ARMA) process. The pricing formula of an ARMA-type...

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...

After Black and Scholes’s groundbreaking work, the literature concerning pricing options has become a very important area of research. Numerous option valuation methods have been developed. This paper shows how one can compute option prices using Sign RCA-GARCH models for the dynamics of the...

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

This paper derives efficient pricing formulae for renewable energy Feed-in Tariff (FiT) designs that incorporate exposure to uncertain market prices by using option pricing theory. Such FiT designs are presented as a means to delineate market price risk amongst investors and policymakers when...

An anchoring adjusted option pricing model is put forward in which the risk of the underlying stock is used as a starting point that gets adjusted upwards to estimate call option risk. Anchoring bias implies that such adjustments are insufficient. Black-Scholes formula is a special case with no...