Keyword: options

Found 7 papers in total
Competing or coordinating: IT R&D investment decision making subject to information time lag
2011,
In this paper, we apply a dynamic option‐game framework to examine the impact...
Exact solutions for a strike reset put option and a shout call option
2012,
A strike reset put option is a European put option with the added feature that it...
Worst‐Case Value at Risk of Nonlinear Portfolios
2013,
Portfolio optimization problems involving value at risk (VaR) are often...
Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence
2011,
American options on the S&P 500 index futures that violate the stochastic...
Motivating Innovation
2011,
Motivating innovation is important in many incentive problems. This paper shows that...
Risk‐Neutral Models for Emission Allowance Prices and Option Valuation
2011,
The existence of mandatory emission trading schemes in Europe and the United States,...
Using equity options to imply credit information
2011,
The evolution of credit derivatives has inspired many researchers to investigate the...
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