Concept
Real options valuation
Related publications (198)
Value Estimation versus Effort Mobilization: A General Dissociation between Ventromedial and Dorsomedial Prefrontal Cortex
Deciding on a course of action requires both an accurate estimation of option values and the right amount of effort invested in deliberation to reach suf fi cient con fi dence in the fi nal choice. In a previous study, we have provided evidence, across a s ...
Soc Neuroscience2024Machine Learning for Modeling Stock Returns
Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
EPFL2024How Integrated are Credit and Equity Markets? Evidence from Index Options
Pierre Collin Dufresne, Jan Benjamin Junge
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Hoboken2024Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024