Search Results - isPartOf:"Discussion Papers in Finance"

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Weber, Michael; Prokopczuk, Marcel - Henley Business School, University of Reading - 2010

This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation...

Persistent link: https://www.econbiz.de/10008542373

Estimating Optimal Hedge Ratio with Unknown Structural Breaks

Hatemi-J, Abdulnasser; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008605843

The Performance of Socially Responsible Investments Across Different Market Regimes

Cheung, W K Adrian; Li, Huimin; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008872233

Is Corporate Sustainability valued by Australian Investors?

Cheung, W.K. Adrian; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008872235

The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach

Roca, Eduardo; Wong, Victor; Tularam, Gurudeo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008682822

Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?

Murgulov, Zoltam; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008682823

Macroeconomic Conditions and Capital Structure: Evidence from Taiwan

Yeh, Hsien-Hung; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008682824

Economies of Scale and Scope in Australian Superannuation Funds

Higgs, Helen; Worthington, Andrew C. - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008682825

An Empirical Investigation of Consumption CAPMs in the Australian Market

Li, Bin; Liu, Benjamin; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008682826

Enhancing Contrarian Strategies: Evidence from Developed Markets Indices

Malin, Mirela; Bornholt, Graham - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008456254