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Ce travail s’intéresse aux rachats d’actions par des sociétés suisses qui distribuent à leurs actionnaires des options de vente (option put) gratuites et négociables (Transferable Put Rights). A l’issue de recherches sur les autres marchés, i ...
We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...
This book assembles coverage on all aspects of MIMO technology along with up-to-date information on key related issues. Contributors from leading academic and industrial institutions across the globe share their expertise and lend the book a global perspec ...
The internet presents people with an increasingly bewildering variety of choices. Online consumers have to rely on computerized search tools to find the most preferred option in a reasonable amount of time. Recommender systems address this problem by searc ...
Association for Computing Machinery, New York, NY 10036-5701, United States2006
We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...
This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...
Cet article donne une synthèse d’idées visant à intégrer certains éléments de la nouvelle approche par options réelles (real options) dans une démarche globale d’analyse de la décision multicritère. Les options réelles servent au calcul de la VAN étendue p ...
We derive analytically the first four conditional moments of the integrated variance implied by the GARCH diffusion process. From these moments we obtain an analytical closed-form approximation formula to price European options under the GARCH diffusion mo ...
This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...
This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...
