Narrow search
Showing 1 - 10 of 7,463
Cover Image
Voluntary Contributions to Reduce Expected Public Losses
Keser, Claudia; Montmarquette, Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2002
In this experimental study we examine behavior relating to voluntary contributions to reduce expected losses associated, for example, with the occurrence of natural disasters or major industrial accidents. We ask subjects to allocate tokens between a private investment and a public investment....
Persistent link: https://www.econbiz.de/10005100545
Cover Image
The Effect of Noise Barriers on the Market Value of Adjacent Residential Properties
Julien, Benoit; Lanoie, Paul - Centre Interuniversitaire de Recherche en Analyse des … - 2002
This paper provides the first study on the impact of noise barriers on the price of adjacent houses based on a repeat sale analysis (RSA), arguably the best methodology to address this question. Essentially, a repeat sale analysis examines the differential between the prices of houses sold...
Persistent link: https://www.econbiz.de/10005100989
Cover Image
Future of option pricing: use of log logistic distribution instead of log normal distribution in Black Scholes model
Raja, Ammar - Volkswirtschaftliche Fakultät, … - 2009
Options are historically being priced using Black Scholes option pricing model and one of the prominent features of it … is normal distribution. In this research paper I will calculate European call options using log logistic distribution … compared to normal distribution. In this research paper I have used historic data on stocks, value European call options using …
Persistent link: https://www.econbiz.de/10011259299
Cover Image
The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets
Kang, Jangkoo; Park, Hyoung-Jin - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 227-254
, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer …
Persistent link: https://www.econbiz.de/10005080730
Cover Image
An Improved Estimator For Black-Scholes-Merton Implied Volatility
Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Persistent link: https://www.econbiz.de/10010730867
Cover Image
Informed Option Trading Strategies
de Jong, de Jong, C.M. - Erasmus Research Institute of Management (ERIM), … - 2001
lower price errors in the underlying. The more popular options are, the more quickly information is incorporated in the …
Persistent link: https://www.econbiz.de/10010731401
Cover Image
Alternative Formulas to Compute Implied Standard Deviation
Ang, James S.; Jou, Gwoduan David; Lai, Tsong-Yue - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 159-176
value of the exercise price. Extension of the second formula's approach to third options value derives the third formula. A …
Persistent link: https://www.econbiz.de/10004964026
Cover Image
The Use of Options in Corporate Risk Management
Bartram, Söhnke M. - Volkswirtschaftliche Fakultät, … - 2004
This paper investigates the motivations and practice of nonfinancial firms with regard to using financial options in … use of derivatives in general and options in particular by nonfinancial corporations across different underlyings and … countries. Overall, a significant number of 15%-25% of the firms outside the financial sector use financial options. This …
Persistent link: https://www.econbiz.de/10005835643
Cover Image
Option-Based Credit Spreads
Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014
empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the …
Persistent link: https://www.econbiz.de/10011145468
Cover Image
Incertitude en économie de l'environnement
Tallon, Jean-Marc; Vergnaud, Jean-Christophe - HAL - 2007
Nous proposons dans cet article un panorama des modélisations de la prise de décision dans des situations de risque ou d'incertain. Une attention particulière est portée aux incertitudes environnementales. Après avoir rappelé les modèles canoniques d'espérance d'utilité, nous...
Persistent link: https://www.econbiz.de/10010750623