Essays about: "volatility model valuation"

Showing result 31 - 35 of 39 essays containing the words volatility model valuation.

  1. 31. Valuation Using Multiples - Accuracy and Error Determinants

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Johan Lillhage; Daniel Ek; [2012]
    Keywords : Valuation; Multiples; Accuracy; Error Determinants; Discounted Cash Flow model; DCF; Market Efficiency Hypothesis; Mispricing; Panel Data; Market to Book ratio; Firm Size; Volatility; R D.; Business and Economics;

    Abstract : The purpose of this thesis is to investigate how accurate multiple valuations are in relation to the DCF. Furthermore, the accuracy of equity and entity multiples will be compared. Finally, we will try to determine the factors underlying the valuation errors. READ MORE

  3. 32. Valuation in High Growth Markets: Capturing Country Risk in the Cost of Equity Capital

    University essay from IHH, Redovisning och finansiering

    Author : Gino Thomas Soeriowardojo; [2010]
    Keywords : Country Risk; Emerging Markets; Cost of Equity; Valuation; Country Risk Premium; Market Segmentation;

    Abstract : This paper adds to the understanding and transparency of equity pricing in emerging markets. Its novel contribution is that it empirically investigates the pricing of Country Risk in BRIC markets, using a two-factor intertemporal pricing model. READ MORE

  4. 33. Short Sale Constraints: Effects on Crashes, Price Discovery, and Market Volatility

    University essay from Internationella Handelshögskolan

    Author : Alexander Ivan Soffronow Pagonidis; [2009]
    Keywords : short-selling; market efficiency; regulation; valuation; crashes;

    Abstract : The recent SEC ban on short selling has presented an unrivaled opportunity to explore the effects of short selling constraints on crashes, market efficiency, and volatility. In this paper I carry out two groups of empirical tests on the individual banned stocks and a series of portfolios created from them: the first tests the hypothesis that short sale constraints increase the frequency and magnitude of crashes, by testing Hong & Stein’s (2003) model of market crashes. READ MORE

  5. 34. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Danijela Petkovic; [2008]
    Keywords : Variance swaps; Heston model; Stochastic volatility;

    Abstract : In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla options. In some papers the valuation with stochastic volatility models is discussed as well. Stochastic volatility is becoming more and more interesting to the investors. READ MORE

  6. 35. Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ekaterina Anisimova; Tomasz Lapinski; [2008]
    Keywords : SVJJ model; hyperbolic model;

    Abstract : In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. READ MORE