This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free nancial markets. A pricing formula is obtained for contingent claims written on n underlying assets following general Itô processes and without any...

The aim of this paper is to present a two-factor pricing model for convertible bonds, paying particular attention to the impact of volatility in the valuation process as suggested in previous studies. The model here proposed is discrete and the sources of uncertainty are the risk-free spot rate...

<title>Abstract</title> Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and...

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. In...

Questo lavoro propone due modelli per la valutazione di obbligazioni convertibili in ipotesi stocastica della struttura per scadenza e del valore dell'azienda nelle cui azioni il titolo può essere convertito. I modelli proposti vengono sviluppati in ipotesi di dipendenza tra i processi...

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into...

In recent years both practitioners and academics have realized that traditional discounted cash flow models erroneously consider the option value embedded in firms. Hence equity and debt valuation methodologies based on option theory have recently become quite popular. Such methodologies take...

Structural models' main source of uncertainty is the stochastic evolution of the firm's asset value. These models are commonly used to value corporate debt at the issue and hence to determine its yield given the amortization plan. This paper proposes two discrete models to value securities...