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On the Dangers of Modelling through Continuous Distributions : A Bayesian Perspective

Fernández, C.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1997

We point out that Bayesian inference on the basis of a given sample is not always possible with continuous sampling models, even under a proper prior. The reason for this paradoxical situation is explained, and its empirical relevance is linked to coarse gathering of data, such as rounding. A...

Persistent link: https://www.econbiz.de/10011090902

Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options

ter Horst, Jenke; Veld, C.H. - Tilburg University, Center for Economic Research - 2002

options, traded on the options exchange, exist.Both entitle their holders to buy shares of common stock.We use the long …-term call options in order to price the call warrants.Using the model of Black and Scholes (1973), the Square Root model version …

Persistent link: https://www.econbiz.de/10011091378

Multivariate Option Pricing Using Dynamic Copula Models

Werker, Bas J.M.; van den Goorbergh, R.W.J.; Genest, C. - Tilburg University, Center for Economic Research - 2003

models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show …

Persistent link: https://www.econbiz.de/10011092166

Option Pricing and Momentum

Rodríguez, Juan Carlos - Tilburg University, Center for Economic Research - 2007

mo- mentum. This paper studies the pricing of options in such a situation, within a new model in which the dividend yield …, moreover, it renders preference-free formulas for European options. A momentum- inducing dividend yield implies that calls will … out-of-the money options. …

Persistent link: https://www.econbiz.de/10011092201

Real Options in an Aymmetric Duopoly : Who Benefits from your Competitive Disadvantage

Kort, Peter; Pawlina, G. - Tilburg University, Center for Economic Research - 2001

This paper considers the impact of investment cost asymmetry on the value and optimal real option exercise strategies of firms under imperfect competition.Both firms have an opportunity to invest in a project enhancing (ceteris paribus) the profit now.We show that three types of equilibria exist...

Persistent link: https://www.econbiz.de/10011090519

Risk Aversion, Price Uncertainty and Irreversible Investments

Huisman, Kuno; Kort, Peter; van den Goorbergh, R.W.J. - Tilburg University, Center for Economic Research - 2003

This paper generalizes the theory of irreversible investment under uncertainty by allowing for risk averse investors in the absence of com-plete markets.Until now this theory has only been developed in the cases of risk neutrality, or risk aversion in combination with complete markets.Within a...

Persistent link: https://www.econbiz.de/10011091407

Strategic Investment Under Uncertainty and Information Spillovers

Huisman, Kuno; Kort, Peter; Thijssen, J.J.J. - Tilburg University, Center for Economic Research - 2001

Persistent link: https://www.econbiz.de/10011092917

A Study on the Efficiency of the Market for Dutch Long Term Call Options

de Roon, F.A.; Veld, C.H.; Wei, J. - Tilburg University, Center for Economic Research - 1996

We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange … inefficiencies in the market for long term call options.This result is in line with previous studies on different kinds of call … options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of …

Persistent link: https://www.econbiz.de/10011092937

Reference Priors For Non-Normal Two-Sample Problems

Fernández, C.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1997

The reference prior algorithm (Berger and Bernardo, 1992) is applied to locationscale models with any regular sampling density. A number of two-sample problems is analyzed in this general context, extending the dierence, ratio and product of Normal means problems outside Normality, while...

Persistent link: https://www.econbiz.de/10011090629

Exchange rate target zones : A new approach

de Jong, Frank C. J. M.; Drost, Feike C.; Werker, Bas J.M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011090368