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The Value of embedded real options: evidence from consumer automobile lease c…
Under the common assumption of constant interest rates, we show that penalties for early termination of a lease are often structured in such a way that the cancellation option embedded in consumer automotive leases has little value. Furthermore, our estimates drawn from a sample of three popular car models over 1990 to 2000 indicate that the stand-alone value of the lease-end purchase option is…
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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A Nonlinear factor analysis of S&P 500 index option returns
Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable to volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as possible a setting, I estimate a flexible…
- Edisi
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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Options and the Bubble
Many believe that a bubble existed in Internet stocks in the 1999 to 2000 period, and that short-sale restrictions prevented rational investors from driving Internet stock prices to reasonable levels. In the presence of such short-sale constraints, option and stock prices could decouple during a bubble. Using intraday options data from the peak of the Internet bubble, we find almost no evidence…
- Edisi
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- ISBN/ISSN
- 221082
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
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