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What Drives Option Prices?
In: The journal of trading: JOT, Band 7, Heft 3, S. 12-28
ISSN: 1559-3967
Option Prices Expansions and Applications
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Investor Taxes and Option Prices
In: The Journal of the American Taxation Association, Band 44, Heft 2
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Working paper
Option prices and subjective beliefs
In: Berichte zur Stochastik und verwandten Gebieten 96,5
EQUIVALENT OPTION PRICE WITH SUPPLY UNCERTAINTY
In: Bulletin of economic research, Band 66, Heft S1
ISSN: 1467-8586
ABSTRACTThis paper compares two ex ante measures of the benefits of a project with supply uncertainty: compensating option price, the willingness to pay for a project, and equivalent option price, the willingness to accept to forego a project. The paper shows that compensating option price does not generally rank three or more projects correctly, even when the projects only impose a change in a single good. Equivalent option price, like equivalent variation with certain outcomes, always ranks three or more projects correctly. This paper also presents a method to empirically estimate equivalent option price using estimates of the benefits of certain changes. This approach is practically important so that the same study results can be used to estimate equivalent option price even as new projects are developed or as changes occur in the scientific information regarding the probabilities of various project outcomes. An application of the empirical method estimates the benefits of a policy to improve air and water quality when there is uncertainty about the effectiveness of the policy.
Learning Option Prices With Corporate Events
In: Quant Finance Working Paper, Forthcoming
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Informative Starting Points and Option Prices
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Working paper
Equity Option Prices and Firm Characteristics
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Option Prices Sustained by Risk‐Preferences*
In: The journal of business, Band 78, Heft 5, S. 1683-1708
ISSN: 1537-5374
New Bounds on American Option Prices
In: KAIST College of Business Working Paper Series No. 2007-009
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