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Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
This paper focuses on valuing R&D projects using a twofold compound real option by including two knock-out barriers. However, the valuation of R&D...
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Option pricing in a sentiment-biased stochastic volatility model
This paper presents a Markov-modulated stochastic volatility model that captures the dependency of market regimes on investor sentiment. The main...
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Option Pricing and Valuation of Contingent Cash Flow
This chapter introduces the concept of option, the principle and method for option valuation or option pricing. Generally, discounting and option...
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A Fuzzy Jump-Diffusion Option Pricing Model Based on the Merton Formula
This paper proposes a fuzzy jump-diffusion (FJD) option pricing model based on Merton (J Financ Econ 3:125–144, 1976) normal jump-diffusion price...
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The effect of co-opted directors on real earnings management
Co-opted directors are those elected after a CEO takes office. In this paper, we examine how co-opted directors affect real earnings management. Our...
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Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options
This research delves into the empirical performance of deterministic option pricing models in the dynamic financial landscape of India. The primary...
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Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing
This paper proposes an approximate closed-form option-pricing model based on a non-linear GARCH process with Normal Inverse Gaussian (NIG) Lévy...
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Implied volatility surfaces: a comprehensive analysis using half a billion option prices
This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk...
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Option implied riskiness and risk-taking incentives of executive compensation
The riskiness developed by Aumann and Serrano (J Polit Econ 116:810–836, 2008) is a measure based on mean, standard deviation and higher order...
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Option-Implied Skewness and the Value of Financial Intermediaries
In this paper, we analyze the relationship among skewness, value, and stock returns for US financial intermediaries. Further, we compare skewness...
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On the Relevance of Employee Stock Option Behavioral Models
The behavioral framework has proven successful in explaining several puzzling aspects of executive-stock-based compensation contracts. Recent...
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Real Options
Chapter 11 dealt with the capital budgeting process in which a financial manager accepts a project only if the...
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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr (J Financ Econ, 120(1), 1–20,...
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Option Portfolio Strategies: Tools and Methods
As standard option pricing models rest on restrictive assumptions. additional tools which mitigate some of their deficiencies and facilitate their...
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Nonparametric estimates of option prices via Hermite basis functions
We consider approximate pricing formulas for European options based on approximating the logarithmic return’s density of the underlying by a linear...
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CEO confidence matters: the real effects of short sale constraints revisited
This paper investigates the role of managerial biases in the real effects of limits to arbitrage. In a natural experiment setting with Regulation...
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Does options trading deter real activities manipulation?
We examine whether and how options trading activity curtails real activities manipulation. Using a large sample of U.S. firms suspected of earnings...
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Fundamentals, real-time uncertainty and CDS index spreads
The high level of economic uncertainty linked to the pace of the recovery process can persist after a crisis and has implications for the market...
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Value Addition by Private Equity Investors: Real Estate
Tracing the history of funding in the real estate sector becomes important to understand how the financing needs of the sector have evolved. While...
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The role of independent directors’ tenure and network in controlling real-earnings management practices
Manipulating real activities is generally regarded as more damaging to a firm’s long-term growth and value than accrual-based manipulations. We...
