Comparative statics for real options on oil: What stylized facts to use?

Arbeitspapier

Comparative-statics results for financial options are often assumed to hold for real options. But the effects of higher volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are held constant. For real options, the rate-of-return shortfall may change. The CAPM is commonly used to determine this. In contrast with widespread assumptions, the empirical analysis shows that the correlation of the returns on oil and the stock market is nonpositive and not invariant to changes in volatility. For crude oil during 1993-2008, these changes are identified as three significant breaks.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Memorandum ; No. 14/2013

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Capital Budgeting; Fixed Investment and Inventory Studies; Capacity ; Nonrenewable Resources and Conservation: General ; Energy: General
• Thema: real options ; oil ; volatility ; CAPM ; comparative statics

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Lund, Diderik ; Nymoen, Ragnar
• Ereignis: Veröffentlichung
• (wer): University of Oslo, Department of Economics
• (wo): Oslo
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/90724
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ