共查询到20条相似文献,搜索用时 15 毫秒
1.
This study re-interprets the properties of the residual income model by highlighting the shareholders’ abandonment (liquidation
or adaptation) option. We estimate the value of this real option as an explicit component of abnormal earnings in the residual
income model and test the improvement in valuation after incorporating it into the model. Relative to the traditional specification
of the residual income model, this real options model has a stronger predictive power for future abnormal stock returns. We
also find that the superior return predictability of the real options model is pronounced in the set of firms with a high
probability of exercising liquidation options (for example, those with low profitability, low growth opportunities, high underlying
asset volatility, and low intangible assets), which is consistent with the importance of shareholders’ abandonment option
in equity valuation. The results are robust to extensive sensitivity checks. 相似文献
2.
Minqiang Li 《Review of Derivatives Research》2010,13(2):177-217
We present a quasi-analytical method for pricing multi-dimensional American options based on interpolating two arbitrage bounds,
along the lines of Johnson in J Financ Quant Anal 18(1):141–148 (1983). Our method allows for the close examination of the
interpolation parameter on a rigorous theoretical footing instead of empirical regression. The method can be adapted to general
diffusion processes as long as quick and accurate pricing methods exist for the corresponding European and perpetual American
options. The American option price is shown to be approximately equal to an interpolation of two European option prices with
the interpolation weight proportional to a perpetual American option. In the Black-Scholes model, our method achieves the
same efficiency as the quadratic approximation of Barone-Adesi and Whaley in J Financ 42:301–320 (1987), with our method being
generally more accurate for out-of-the-money and long-maturity options. When applied to Heston’s stochastic volatility model,
our method is shown to be extremely efficient and fairly accurate. 相似文献
3.
A fast Fourier transform technique for pricing American options under stochastic volatility 总被引:1,自引:1,他引:0
Oleksandr Zhylyevskyy 《Review of Derivatives Research》2010,13(1):1-24
This paper develops a non-finite-difference-based method of American option pricing under stochastic volatility by extending
the Geske-Johnson compound option scheme. The characteristic function of the underlying state vector is inverted to obtain
the vector’s density using a kernel-smoothed fast Fourier transform technique. The method produces option values that are
closely in line with the values obtained by finite-difference schemes. It also performs well in an empirical application with
traded S&P 100 index options. The method is especially well suited to price a set of options with different strikes on the
same underlying asset, which is a task often encountered by practitioners. 相似文献
4.
Rose Neng Lai Ko Wang Jing Yang 《The Journal of Real Estate Finance and Economics》2007,34(1):159-188
In this study we incorporate sticky rents into a real options model to rationalize the widely documented overbuilding puzzle
in real estate markets. Given the assumption that developers’ objective function is to maximize total revenue by selecting
an optimal occupancy level, our model provides a better explanation of the phenomena we observed in the real world than the
traditional market-clearance based real options models. We also show that developers’ exercise strategies can be affected
by the size and the type of property markets. In other words, developers’ exercise strategies could differ among markets and
under different conditions.
Submitted to Cambridge—Maastricht 2005 Symposium. 相似文献
5.
This article evaluates vulnerable American options based on the two-point Geske and Johnson method. In accordance with the
Martingale approach, we provide analytical pricing formulas for European and multi-exercisable options under risk-neutral
measures. Employing Richardson’s extrapolation gets the values of vulnerable American options. To demonstrate the accuracy
of our proposed method, we use numerical examples to compare the values of vulnerable American options from our proposed method
with the benchmark values from the least-square Monte Carlo simulation method. We also perform sensitivity analyses for vulnerable
American options and show how the prices of vulnerable American options vary with the correlation between the underlying assets
and the option writer’s assets.
相似文献
6.
Analytical research has confirmed that real options give rise to the kind of nonlinearities observed in practice between equity prices and the figures appearing on corporate financial statements. We develop these real option values in terms of a quasi 'supply-side' model of linear information dynamics based on simple discrete time binomial filtration processes. Our analysis shows that the linear models that pervade the empirical (and analytical) work of the area, will almost certainly suffer from an omitted variables problem. Parameter estimation will then be inconsistent and inefficient. 相似文献
7.
CEO stock options and analysts’ forecast accuracy and bias 总被引:1,自引:1,他引:0
Kiridaran Kanagaretnam Gerald J. Lobo Robert Mathieu 《Review of Quantitative Finance and Accounting》2012,38(3):299-322
This paper investigates the relationship between CEO stock options and analysts’ earnings forecast accuracy and bias. A higher
level of stock options may induce managers to undertake riskier projects, to change and/or reallocate their effort, and to
possibly engage in gaming (such as opportunistic earnings and disclosure management). These managerial behaviors result in
an increase in the complexity of forecasting and hence, less accurate analysts’ forecasts. Analysts’ optimistic forecast bias
may also increase as the level of stock options pay increases. Because forecast complexity increases with stock options pay,
analysts, needing greater access to management’s information to produce accurate forecasts, have incentives to increase the
optimistic bias in their forecasts. Alternatively, a higher level of stock options pay may lead to improved disclosure because
it better aligns managers’ and shareholders’ interests. The improved disclosure, in turn, may result in more accurate and
less biased analysts’ forecasts. Our empirical evidence indicates that analysts’ earnings forecast accuracy decreases and
forecast optimism increases as the level of CEO stock options increases. This evidence suggests that the incentive alignment
effects of stock options are more than offset by the investment, effort allocation and gaming incentives induced by stock
options grants to CEOs. 相似文献
8.
The real estate literature recognizes the real option to invest in capital expenditures (CAPEX) or sell a property but treats these options as independent. We show that these real options are interconnected. We provide empirical evidence that, consistent with the real option framework, CAPEX increases in income growth expectations but declines in their volatility; that CAPEX are partially capitalized into property market values; and that CAPEX significantly reduce the subsequent likelihood of sale. We also present evidence that, controlling for market timing, past property performance influences CAPEX but not disposition choices, consistent with a value-add investment strategy.
相似文献9.
The Black–Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results
suggest declining elasticity and, hence, a pricing kernel with at least two parameters. We price European-style options on
assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown
parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing
of these options: i.e. the relationship between the price of the option and the prices of the underlying asset and one other
option on the asset is the same as it would be under risk neutrality. In this class of models, the price of the underlying
asset and that of one other option take the place of the unknown parameters.
相似文献
10.
Hsuan-Chu Lin Ren-Raw Chen Oded Palmon 《Review of Quantitative Finance and Accounting》2012,38(1):109-129
There is much research whose efforts have been devoted to discovering the distributional defects in the Black–Scholes model,
which are known to cause severe biases. However, with a free specification for the distribution, one can only find upper and
lower bounds for option prices. In this paper, we derive a new non-parametric lower bound and provide an alternative interpretation
of Ritchken’s (J Finance 40:1219–1233, 1985) upper bound to the price of the European option. In a series of numerical examples, our new lower bound is substantially
tighter than previous lower bounds. This is prevalent especially for out of the money options where the previous lower bounds
perform badly. Moreover, we present how our bounds can be derived from histograms which are completely non-parametric in an
empirical study. We discover violations in our lower bound and show that those violations present arbitrage profits. In particular,
our empirical results show that out of the money calls are substantially overpriced (violate the lower bound). 相似文献
11.
This paper investigates the pricing of Nikkei 225 Options using the Markov Switching GARCH (MSGARCH) model, and examines its
practical usefulness in option markets. We assume that investors are risk-neutral and then compute option prices by using
Monte Carlo simulation. The results reveal that, for call options, the MSGARCH model with Student’s t-distribution gives more accurate pricing results than GARCH models and the Black–Scholes model. However, this model does
not have good performance for put options. 相似文献
12.
Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market 总被引:1,自引:0,他引:1
Yuval Arbel Danny Ben-Shahar Eyal Sulganik 《The Journal of Real Estate Finance and Economics》2009,39(3):316-335
Based on behavioral finance and economics literature, we construct a theoretical framework in which consumers of newly constructed
housing units perceive prices to follow a stochastic mean reversion pattern. Given this belief and the high carrying cost
maintained by real estate developers, potential buyers opt to either exercise immediately or defer the purchase. We simulate
the model within a real option framework by which we show that the optimal time to wait before exercising a purchase is positively
related to the price level; hence, a negative (positive) correlation between transaction volume and price level (yield) emerges.
Observing data on housing prices and new construction sales in Israel for the years 1998–2007, we apply an adaptive expectation
regression model to test consumers’ belief in both mean reversion and momentum price patterns. The empirical evidence shows
that while consumers’ demand pattern is simultaneously consistent with the belief in both momentum and mean reversion processes,
the effect of the latter generally dominates. Moreover, while the data does not allow for testing the volume and price-level
correlation, it does provide support to the positive volume-price yield correlation. 相似文献
13.
Bernd Engelmann Matthias R. Fengler Morten Nalholm Peter Schwendner 《Review of Derivatives Research》2006,9(3):239-264
We conduct an empirical comparison of static versus dynamic hedges of barrier options. Using more than five years of data,
we compare a number of static hedges from the literature with dynamic hedges based on the local volatility model. The main
result is that the variability of profit-and-loss distributions from certain static hedges is significantly smaller than that
of dynamic hedges and robust to changing market scenarios. Furthermore, these static hedges are able to provide a robust tracking
of barrier options’ sensitivities.
This article reflects the authors’ personal opinion and not necessarily the opinion of their employers. 相似文献
14.
Robert A. Grovenstein James B. Kau Henry J. Munneke 《The Journal of Real Estate Finance and Economics》2011,43(3):321-335
This paper combines an empirical methodology and a theoretical options approach to determine the real option values of development
and delay for vacant parcels of land in the City of Chicago. A theoretical options model provides an option price that incorporates
future uncertainty. The data allow for disaggregation down to specific land use categories and results show option values
vary across zoning categories and within zoning categories for specific land uses. 相似文献
15.
Chia-Chi Lu Weifeng Hung Jyh-Jian Sheu Pai-Ta Shih 《Review of Quantitative Finance and Accounting》2011,36(4):555-564
The purpose of this paper is to develop a real option model with a stochastic network size to simultaneously consider firm’s
investment and household’s consumption behaviors in an equilibrium framework. First, the consumer’s waiting-to-buy effect
is crucial in determining trigger network size of firm’s investment. Second, increasing network externality has an ambiguous
effect on trigger network size of firm’s investment. Third, using NPV rule not only underestimates trigger network size but,
also possibly results in the misleading relationship between network externality and trigger network size. 相似文献
16.
This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic
volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions
of the underlying assets and for pricing currency options based on a third order asymptotic expansion scheme; we do not model
a foreign exchange rate’s variance such as in Heston [(1993) The Review of Financial studies, 6, 327–343], but its volatility that follows a general time-inhomogeneous Markovian process. Further, the correlations among
all the factors such as domestic and foreign interest rates, a spot foreign exchange rate and its volatility, are allowed.
Finally, numerical examples are provided and the pricing formula are applied to the calibration of volatility surfaces in
the JPY/USD option market. 相似文献
17.
In this paper, the authors discuss the fractional option pricing with Black–Scholes formula, deduce the Fractional Black–Scholes
formula, show the empirical results by using China merchants bank foreign exchange call option price, and find when the volatility
is smaller, the asymptotic mean squared error of Fractional Black–Scholes is bigger than the Traditional Black–Scholes’, while
the volatility is bigger—the market mechanism has a full play, the result is reverse. Namely when the market mechanism is
given a full scope, the estimating effect of Fractional Black–Scholes is better than Traditional Black–Scholes’. 相似文献
18.
Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms 总被引:36,自引:0,他引:36
Under the standard real options approach to investment underuncertainty, agents formulate optimal exercise strategies inisolation and ignore competitive interactions. However, in manyreal-world asset markets, exercise strategies cannot be determinedseparately, but must be formed as part of a strategic equilibrium.This article provides a tractable approach for deriving equilibriuminvestment strategies in a continuous-time CournotNashframework. The impact of competition on exercise strategiesis dramatic. For example, while standard real options modelsemphasize that a valuable "option to wait" leads firms to investonly at large positive net present values, the impact of competitiondrastically erodes the value of the option to wait and leadsto investment at very near the zero net present value threshold. 相似文献
19.
Dean A. Paxson 《The Journal of Real Estate Finance and Economics》2007,34(1):135-157
Property development activities often occur in stages, which are appropriately modeled as sequential American exchange property
options, where there are interim expenditures required in order to keep the property development options “alive”. Normally
American exchange options require a numerical solution, but herein there is a new closed-form approximate solution, which
is computationally efficient and accurate. This method combines repeats of Margrabe European exchange and Geske compound option
solutions with tight upper boundaries of either American perpetuities or European exchange options with a high volatility.
Illustrations are provided of the sensitivity of the real sequential options and optimal timing to changes in several parameters,
which provide a framework for property policy (tax, subsidy and regulatory) guidelines and for property development strategy
evaluation. There are several plausible applications of these real option models in commercial and residential property development,
within commercial property leases, with regard to switching tenants, and agricultural alternatives. 相似文献
20.
Corporate managers tend to preserve cash with an expectation of a worse economy while spend cash to exercise growth opportunities with a favorable economic condition. Using three empirical proxies (book-to-market ratio, idiosyncratic volatility and return on asset) in the literature, we extract a real option component of corporate cash holdings, serving both functions of precautionary saving and exercising growth options. Our empirical results show this component, in aggregate, increases when the real GDP declines and decreases when GDP inflates. Also, stocks with returns declining more to a shock to the aggregate real option component of cash holdings earn higher future returns. Moreover, stock returns of firms with higher cash holdings positively comove with the shock to the aggregate real option component, suggesting investors prefer to hold firms with higher cash holdings when the economy is deteriorating. 相似文献