Based on a comprehensive sample of 1,641 funds, this article investigates the performance
of private equity funds of funds versus direct fund investments. On a risk-adjusted basis …

Quanto options allow the buyer to exchange the foreign currency payoff into the domestic
currency at a fixed exchange rate. We investigate quanto options with multiple underlying …

The valuation of Asian options is complicated because the arithmetic average of lognormal
random variables is no longer lognormal. Furthermore, the stochastic volatility inherent in …

This article models mergers as exchange options where acquirers offer stocks and/or cash
to target firms in exchange of acquiring some shareholding in target firms. Mergers analysed …

This study conceptualized and created the three-person cooperative game. To date, the
existing cooperative game is the two-person cooperative game by [Nash, J (1953). Two …

This study explores the beta factor in the South African real estate investment trust (REIT)
industry. Using MASCOFLAPEC, historical, and Monte Carlo (vanilla, antithetic, and quasi …

The synchronized relationship between financial and fundamental prices has been topical
for years now. It seems that option pricing theory has not been used to disentangle that …

The stock jumps of the underlying assets underpinning the Margrabe options have been
studied by Cheang and Chiarella [Cheang, GH and Chiarella C (2011). Exchange options …

The Real Option technique is the valuation method for the real investment which offers
management flexibility to respond to the future risks (Black & Scholes, 1973; Merton, 1973; …

The impact of new information on stock market prices has gained a lot of attention from
academics and policy makers alongside the development of the modern portfolio theories …