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Introduction aux options réelles en management de nouvelles technologies

Publications associées (35)

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Value Estimation versus Effort Mobilization: A General Dissociation between Ventromedial and Dorsomedial Prefrontal Cortex

Nicolas Clairis

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 Neuroscience2024

How 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 ...

Hoboken2024

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Markov cubature rules for polynomial processes

Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

ELSEVIER2020

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2020

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Kathrin Beatrice Glau

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

WILEY2019