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Product Market Competition and Option Prices

Publications associées (98)

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Incomplete information, idiosyncratic volatility and stock returns

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When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...

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Hedging Electricity Swing Options in Incomplete Markets

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The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

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Explaining asset pricing puzzles associated with the 1987 market crash

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The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...

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Several regulatory changes in Europe's electricity sector have stimulated competition in the market. National power companies, with monopolistic structures, have evolved into competitive entities, creating increased choices for consumers. Electricity price ...

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Coopetition has been defined as an approach to managing that combines competition and cooperation. It transcends the traditional paradigms of competition and cooperation in an effort to achieve the advantages of both. As an inter-organizational relationshi ...

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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 ...

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Dynamic investment and financing under personal taxation

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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 ...

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Pricing expropriation risk in natural resource contracts – A real options approach

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We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...

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Real options valuation of fusion energy R&D programme

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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 ...

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