In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate …

reversibility option on the coordination outcome. Such an option can either enhance or hamper efficient coordination, and we …

costs and benefits. The Arrow–Fisher–Hanemann–Henry quasi-option value and the Dixit–Pindyck option value both measure how … relation between the two option values and explains that the quasi-option value captures the value of learning conditional on … preservation, whereas the Dixit–Pindyck option value captures the net value of preservation under learning. We show how either of …

latest advances in behavioral finance, real option valuation, and game theory, this unique playbook explains how to express …

latest advances in behavioral finance, real option valuation, and game theory, this unique playbook explains how to express …

equilibrium, the option of delaying one’s' actions harms coordination and can induce severe coordination failures: if agents are … large returns. The risk-dominant equilibrium of the corresponding one-shot game is selected when the option to delay effort … is commensurate with the option to wait longer for others’' actions. In an application to innovation processes, we show …

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …