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Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns

Bhamra, Harjoat Singh - 2016

Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...

Persistent link: https://www.econbiz.de/10013007739

The Heston Stochastic-Local Volatility Model : Efficient Monte Carlo Simulation

van der Stoep, Anthonie - 2018

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by...

Persistent link: https://www.econbiz.de/10012938458

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

Persistent link: https://www.econbiz.de/10012115106

Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Stentoft, Lars - 2012

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …

Persistent link: https://www.econbiz.de/10014212073

Real option valuation of power transmission investments by stochastic simulation

Pringles, Rolando; Olsina, Fernando; Garcés, Francisco - In: Energy economics 47 (2015), pp. 215-226

Persistent link: https://www.econbiz.de/10011527490

Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects

Vianello, Juliano Melquiades; Costa, Letícia de Almeida; … - In: Energy economics 45 (2014), pp. 10-18

Persistent link: https://www.econbiz.de/10010504801

Superiority of Monte Carlo simulation in valuing real options within public-private partnerships

Berk, Ales S.; Podhraski, Dejan - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011859007

Contingent convertible lease modeling and credit risk management

Triki, Ons; Abid, Fathi - In: Financial innovation : FIN 8 (2022), pp. 1-29

contingent lease. Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate …

Persistent link: https://www.econbiz.de/10013413113

Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations

Amin, Ahsan - 2018

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

Persistent link: https://www.econbiz.de/10012925940

Multilevel Dimension Reduction Monte-Carlo Simulation for High-Dimensional Stochastic Models in Finance

Dang, Duy-Minh - 2015

One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we develop a highly efficient Monte Carlo (MC) method for pricing European options under a N-dimensional one-way coupled model, where N is arbitrary. The method is based on a combination of (i) the...

Persistent link: https://www.econbiz.de/10013029894

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