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Does the market correctly value investment options? : editor's choice
Lyandres, Evgeny; Matveyev, Egor; Zhdanov, Alexei - In: Review of finance : journal of the European Finance … 24 (2020) 6, pp. 1159-1201
Persistent link: https://www.econbiz.de/10012403833
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Understanding asset price dynamics in the presence of option hedging, circuit breakers and cash flow growth
Ulmann, Florian Michael Till - 2021
Persistent link: https://www.econbiz.de/10014232908
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Generalized bounds on the conditional expected excess return on individual stocks
Chabi-Yo, Fousseni; Dim, Chukwuma Chijioke; Vilkov, Grigory - In: Management science : journal of the Institute for … 69 (2023) 2, pp. 922-939
Persistent link: https://www.econbiz.de/10014295173
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A derivation of the Black-Litterman formula and its symmetry property
Wey, Matthew A. - In: Economics letters 231 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014461242
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Real options with information costs : a synthesis
Bellalah, Mondher; Pariente, Georges - In: International journal of business 12 (2007) 2, pp. 155-179
Persistent link: https://www.econbiz.de/10003463394
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Valuation of futures and commodity options with information costs
Bellalah, Mondher - In: The journal of futures markets 19 (1999) 6, pp. 645-664
Persistent link: https://www.econbiz.de/10001410394
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Evaluation of Real Options with Information Costs
Sahut, Jean-Michel - 2011
This paper presents a simple framework for the analysis, valuation and simulation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton's (1987) model of capital market equilibrium with incomplete...
Persistent link: https://www.econbiz.de/10013130202
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Learning and index option returns
Bernales, Alejandro; Cortazar, Gonzalo; Salamunic, Luka; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 327-339
Persistent link: https://www.econbiz.de/10012262478
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Pricing derivatives in the presence of shadow costs of incomplete information and short sales
Bellalah, Mondher - In: Risk management decisions and wealth management in …, (pp. 389-411). 2018
Persistent link: https://www.econbiz.de/10011871645
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Optimal selling of an asset with jumps under incomplete information
Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610
Persistent link: https://www.econbiz.de/10010235555