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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285

Valuing Real Options in the Volatile Real World - A Generalized Implied Binomial Tree Approach

Harikae, Seiji - 2018

dramatic volatility and project values can become negative, this paper presents a generalized framework for solving a …

Persistent link: https://www.econbiz.de/10012929117

Default Prone Bond Prices, Valuable Growth Options and the Option to Re-Organize

Colak, Osman - 2019

There is a wide body of literature in corporate finance that examines the tradeoffs between liquidation and re-organization for creditors in financially distressed firms (Kahl (2002), Hotchkiss (1995), Gertner and Scharfstein (1991)). We incorporate salient elements from this literature into a...

Persistent link: https://www.econbiz.de/10012906066

Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … provide all the information required for estimating how the standard deviation and volatility of the stochastic process change …

Persistent link: https://www.econbiz.de/10013123815

Blockbuster Antivirals and Vaccines : Real Options in a Flu Pandemic

Koh, Wilson - 2014

Avian flu has been the focus of significant attention since 2004, when there were reports of human infections in Asia from the avian flu H5N1 strain. To prevent the catastrophic mortality of mankind, several governments are stockpiling antivirals and pharmaceutical firms are increasing their...

Persistent link: https://www.econbiz.de/10014206383

Real R&D Options in Paradise and Purgatory

Koh, Wilson - 2012

We examine the impact on an R&D valuation and its investment timing of abrupt events, options facing paradise (blockbusters) and purgatory (catastrophes). We show that the presence of a special case of Lévy jumps can model positive and negative effects in the investment opportunity even when...

Persistent link: https://www.econbiz.de/10013117073

Optimal Hedging Strategies for Options in Electricity Futures Markets

Hess, Markus - 2021

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

Persistent link: https://www.econbiz.de/10013232821

Auctions of Real Options

Cong, Lin William - 2019

Governments and corporations frequently auction assets with embedded real options using both cash and contingent bids. I characterize equilibrium bidding and option exercise strategies, and find that the moral hazard associated with uncontractible investment timing inefficiently and...

Persistent link: https://www.econbiz.de/10012905552

Three-Dimensional Method of Assessing R&D Projects Using Real Put Options to Abandon a Projects

Yashin, Sergey - 2018

Despite a good number of scientific developments in innovation, most studies suggest that the most effective innovation project should be only selected for a group of economic indicators related to investment. In practice, it is necessary to create a method for assessing the effectiveness of...

Persistent link: https://www.econbiz.de/10012907798