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Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains
exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning
behavior ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2004)
Understanding equity option prices
(2012-12)
Trabalho apresentado por Kris Jacobs - University of Houston no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php
What do we know about individual equity options?
(Wiley-Liss Inc.info@wiley.com, 2020)
An Empirical Analysis of Payout Policy and Option Expensing.
(Centro de Investigaciones Comerciales e Iniciativas Académicas de la Facultad de Administración de Empresas. Forum Empresarial. Vol.14 Num.1, 2010)
Evolving Possibilistic Fuzzy Modeling For Equity Options Pricing
(IEEENew York, 2016)
Real options in the Brazilian power generation sector: are domestic equity research analysts blind-sighted, or is it just a temporary glitch?
(2021-12-16)
The Real Options theory (“ROT”) states that firms should be approached as a combination of real assets and real options. Even though a significant amount of research has been done on the topic, it is still unclear to which ...
It is not too late to achieve global covid-19 vaccine equity
(BMJ Publishing Group, 2022)
During the covid-19 pandemic, we have seen the best of international collective action and its limits. Global scientific cooperation drove the development of safe, highly effective covid-19 vaccines in under one year.1 Yet ...
Opções reais e compras alavancadas (leveraged buy-outs): um estudo de caso aplicado a magnesita
(2009-02-09)
O objetivo deste trabalho é propor um modelo de estruturação e avaliação de opções reais em um contexto de compra alavancada (LBO), através da aplicação em um estudo de caso. As opções reais foram aplicadas na modelagem e ...