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The market premium for the option to close: Evidence from Australian gold mining firms

Kelly, Simone - 2004

This paper assesses whether the market valuation of gold mining firms contain a premium for the option to close. Tests … paper assesses the relevancy of the option to close for mining firm valuation. This is achieved by examining 41 Australian … degree of association between the actual (market determined) and theoretical option premiums on the basis of the overall …

Persistent link: https://www.econbiz.de/10009441756

Cooperative Risk Management: Rationale and Effectiveness

Manfredo, Mark R.; Richards, Timothy J. - 2003

utility, futures, option, risk management, value at risk. …

Persistent link: https://www.econbiz.de/10009444150

Optionen - Grundlagen, Funktionsweisen und deren professioneller Einsatz im Bankgeschäft

Bacher, Urban; Specht, Mikolaj - 2001

Jeder wirtschaftlich Interessierte hat schon einmal von Optionen und Optionsscheinen gehört. Was Optionen und Optionsscheine genau sind und wie sie funktionieren, das wissen allerdings nur wenige. Der vorliegende Beitrag gibt einen Einblick in die Funktions- und Wirkungsweise dieser...

Persistent link: https://www.econbiz.de/10012506978

A note on Wick products and the fractional Black-Scholes model

Björk, Tomas; Hult, Henrik - 2005

In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...

Persistent link: https://www.econbiz.de/10010281205

On the use of numeraires in option pricing

Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a …

Persistent link: https://www.econbiz.de/10010281218

The shape of option implied volatility: a study based on market net demand pressure

Mo, Tianyu; Zheng, Zhenlong; Lin, William T. - In: China Finance Review International 2 (2012) 1, pp. 27-52

Purpose – Due to disequilibrium between supply and demand in the option market, the option market‐maker is under … exposure to certain risks because of their net option positions. This paper aims to pay attention to whether the risk award … affects the option price and the shape of implied volatility in the market‐maker system. Design/methodology/approach – The …

Persistent link: https://www.econbiz.de/10014694466

Supporting Decision for Environment-Friendly Practices in the Agri-Food Sector: When Argumentation and System Dynamics Simulation Complete Each Other

Thomopoulos, Rallou; Moulin, Bernard; Bedoussac, Laurent - In: International Journal of Agricultural and Environmental … 9 (2018) 3, pp. 1-21

High-level decision-making, such as policy making, needs to take into account the often-conflicting interests of different stakeholders with the goal of finding solutions to provide trade-offs and build consensus towards the adoption of so-called win-win solutions. In this article, the authors...

Persistent link: https://www.econbiz.de/10012042790

Real options analysis

Legrand, Jason B. (contributor) - 2012

Persistent link: https://www.econbiz.de/10009495656

Kalkulation von impliziten Optionsrechten des Kunden in der privaten Wohnungsbaufinanzierung

Gramatke, Wolf Christoph - 2011

Persistent link: https://www.econbiz.de/10009499053

Risiko-Management mit Optionen

Cordero, Ricardo - 1989

Persistent link: https://www.econbiz.de/10009587107