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Intuitive Betrachtung der Zusammenhänge wichtiger Optionsbewertungsansätze
Rousseva, Luba; Volkart, Rudolf; Zeder, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2004
Ziel dieses Beitrages ist es, die Zusammenhänge zwischen den Binomialmodellen der Operationsbewertung (Replikation bzw. Methode der risikoneutralen Wahrscheinlichkeiten) und dem Black/Scholes Modell aufzuzeigen und zu analysieren...
Persistent link: https://www.econbiz.de/10005856980
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GARCH Options in Incomplete Markets
Barone-Adesi, Giovanni; Engle, Robert; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich>; … - 2007
hedging in the presence of large volatility shocks. … pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the filtered historical … innovations. A new simplified delta hedging scheme is presented based on conditions usually foundin option markets, namely the …
Persistent link: https://www.econbiz.de/10005858303
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Pricing Bermudan Swaptions in a Stochastic-Volatility LIBOR Market Model
Valchev, Stoyan; Matache, Ana-Maria - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
from a given set defined by the parametric volatility specification and the structure of a continuous time Markov chain that … modulates the volatility function. The first stochastic volatility specification generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second specification allows, in addition, for …
Persistent link: https://www.econbiz.de/10005858312
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Optionstheoretische Überlegungen zur Kapitalstrukturgestaltung und zur Kreditfinanzierung
Volkart, Rudolf - Institut für Schweizerisches Bankwesen <Zürich> - 1998
Die Kapitalstruktur, insbesondere das Finanzierungsverhältnis Fremdkapital/Eigenkapital (Financial Leverage), hat einen …
Persistent link: https://www.econbiz.de/10005857037
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Personal Taxes, Leverage, and Real Investment
Morellec, Erwan; Schürhoff, Norman - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper examines the impact of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenouslyand jointly determined. Our analysis shows that...
Persistent link: https://www.econbiz.de/10005858029
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Financing and Takeovers
Morellec, Erwan; Zhdanov, Alexei - Institut für Schweizerisches Bankwesen <Zürich> - 2006
relates the dispersion in leverage ratios to various industry characteristics, such as cash flow volatility or bankruptcy …
Persistent link: https://www.econbiz.de/10005858240
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The Informational Content of Equity Offerings with Rights and Firm Value
Dubois, Michel; Jeanneret, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The aim of this study is to test whether the relation between the informational content of equity offering announcements and their impact on the firm value depends on the motive of the offering. The use of the proceeds allows differentiating the equity issues according to the theories that...
Persistent link: https://www.econbiz.de/10005858305
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What are the Determinants of the Capital Structure? : Some Evidence for Switzerland
Drobetz, Wolfgang; Fix, Roger - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
also closelyrelated to tangibility of assets and the volatility of a firm’s earnings. Fi-nally, estimating a dynamic panel …
Persistent link: https://www.econbiz.de/10005858714
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Stock Market Performance andthe Term Structure of Credit Spreads
Demchuk, Andriy; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We build a two-factor structural model of default where the stock market index is one of the stochastic factors. In the model, we allow the firm to adjust its leverage in response to changes in the firm value and changes in the business climate, for which the return of the stock market index...
Persistent link: https://www.econbiz.de/10005858716
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Capital Gains Taxes, Irreversible Investment, and Capital Structure
Schürhoff, Norman - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper studies the corporate policy distortions caused by realization-based capital gains taxation at the personal level in a dynamic trade-off theory model. The lock-in effect of embedded capital gains creates severe conflicts of interest between incumbent and new investors. The firms...
Persistent link: https://www.econbiz.de/10005858786