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pro vyhledávání: '"David B. Colwell"'
We introduce a theoretical model of executives with insider information (insider-executives) granted incentivizing executive stock options (ESO). We show that while insider-executives optimize their wealth, using their insider information nullies ESO
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c448c0c2703239d4a578a4312be19bea
https://hal.science/hal-04116818/file/IITRSOIR23.04.22.pdf
https://hal.science/hal-04116818/file/IITRSOIR23.04.22.pdf
Publikováno v:
International Review of Finance. 21:430-446
This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes and applies the results to the problem of tracking stock indices. Sufficient conditions under which
Publikováno v:
Energy Economics. 50:207-214
In this paper, we develop a quantitative model of the US natural gas market that explores its multi-factor structure and its time-varying and seasonal risk premiums. With weekly spot and futures prices we show that three factors are preferred to desc
Publikováno v:
Journal of Economic Dynamics and Control. 53:161-191
To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio
Publikováno v:
Journal of Futures Markets. 35:776-793
In this article, we construct a stochastic model for electricity spot prices, derive a pricing formula for electricity forward contracts, and specify risk premia inherent in such contracts. Our spot price model accounts for seasonality, mean-reversio
Autor:
Donatien Hainaut, David B. Colwell
Publikováno v:
The European Journal of Finance. 22:1040-1062
This paper studies a switching regime version of Merton's structural model for the pricing of default risk. The default event depends on the total value of the firm's asset modeled by a switching Levy process. The novelty of this approach is to consi
Publikováno v:
International Review of Finance. 8:179-206
Trading is the mechanism of the economist’s ‘invisible hand,’ the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor
Publikováno v:
The Journal of Alternative Investments. 6:23-38
Conventional discounted cash flow valuation techniques are inappropriate for mining companies because operational flexibilities are deemed an essential component of mine values. In this article the authors review the real options literature on the va
Publikováno v:
SSRN Electronic Journal.
To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio
Autor:
David B. Colwell, Donatien Hainaut
Publikováno v:
SSRN Electronic Journal.
This paper presents a switching regime version of the Merton's structural model for the pricing of default risk. The default event depends on the total value of the firm's asset modeled by a Markov modulated Levy process. The novelty of our approach