Showing 1 - 10 of 24
Persistent link: https://www.econbiz.de/10012543209
Persistent link: https://www.econbiz.de/10011581788
Persistent link: https://www.econbiz.de/10012015068
Despite their popularity as proxies of expected returns, the implied cost of capital's (ICC) measurement error properties are relatively unknown. Through an in-depth analysis of a popular implementation of ICCs by Gebhardt, Lee, and Swaminathan (2001) (GLS), I show that ICC measurement errors...
Persistent link: https://www.econbiz.de/10009772282
This paper presents a method for valuing power derivatives using a supply-demand approach. Our method extends work in the field by incorporating randomness into the base load portion of the supply stack function and equating it with a noisy demand process. We obtain closed form solutions for...
Persistent link: https://www.econbiz.de/10005022909
We use a supply-demand approach to value energy products exposed to emission cost uncertainty. We find closed form solutions for a number of popularly traded energy derivatives such as: forwards, European call options written on spot prices and European Call options written on forward contracts....
Persistent link: https://www.econbiz.de/10008494702
Persistent link: https://www.econbiz.de/10014390404
Persistent link: https://www.econbiz.de/10012703031
Persistent link: https://www.econbiz.de/10012231034
Persistent link: https://www.econbiz.de/10014632060