The volatility of an asset price measures how uncertain we are about future asset price movements. It is one of the factors affecting option price and the only input into the Black–Scholes model that cannot be directly observed. Thus, estimating volatility properly is vital. Two approaches to...

This paper explores the impact of volatility estimation methods on theoretical option values based upon the Black-Scholes-Merton (BSM) model. Volatility is the only input used in the BSM model that cannot be observed in the market or a priori determined in a contract. Thus, properly calculating...

A model of the term structure of lease rates in a frictionless economy is developed and its predictions are compared with data on residential leases in Japan. The model shows that the initial lease rate for a cancellable lease must be set higher than that for a non-cancellable lease because the...

Статья посвящена проблемам оценки инвестиций в инновационные проекты. Авторами были описаны и классифицированы основные виды реальных опционов, произведена...

Time to build is a very important factor in a real estate development venture. Delay in completion of a project not only affects the financing costs and the rental revenue but also it may, on a more strategic note, determine the success or failure of a project. A time to build option model...

In a common value auction in which the information partitions of the bidders are connected, all rings are core-stable. More precisely, the ex ante expected utilities of rings, at the (noncooperative) sophisticated equilibrium proposed by Einy, Haimanko, Orzach and Sela (Journal of Mathematical...

A random variable is difference-form decomposable (DFD) if it may be written as the difference of two i.i.d. random terms. We show that densities of such variables exhibit a remarkable degree of structure. Specifically, a DFD density can be neither approximately uniform, nor quasiconvex, nor...

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...