Search Results - "Ronn, Ehud I."

Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments by Liu, Xiaoran, Ronn, Ehud I.

“…For the valuation and implementation of renewable energy investments, the issue of providing private investors with a financial incentive to accelerate their…”
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Valuation of Commodity-Based Swing Options by Jaillet, Patrick, Ronn, Ehud I, Tompaidis, Stathis

“…In the energy markets, in particular the electricity and natural gas markets, many contracts incorporate flexibility-of-delivery options known as "swing" or…”
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Commodity market indicators of a 2023 Texas winter freeze by Ronn, Ehud I.

“…Winter storm Uri impacted large swaths of the Continental United States, including the State of Texas, over the period Feb. 13–Feb. 17, 2021. This research…”
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Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance by Roncoroni, Andrea, Prokopczuk, Marcel, Ronn, Ehud I.

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The global equity premium revisited: What human rights imply for assets' purchasing power by Białkowski, Jędrzej, Ronn, Ehud I.

“…In this paper, we argue that past computations of the equity risk premium did not properly account for the financial implications of political collapse on…”
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Characterizing the hedging policies of commodity price‐sensitive corporations by Boroumand, Raphaël H., Goutte, Stéphane, Ronn, Ehud I.

“…Many corporations face price and quantity uncertainty in commodities for which existing futures and options contracts permit corporations to hedge their risks…”
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Computing the market price of volatility risk in the energy commodity markets by Doran, James S., Ronn, Ehud I.

“…In this paper, we demonstrate the need for a negative market price of volatility risk to recover the difference between Black–Scholes [Black, F., Scholes, M.,…”
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The valuation and information content of options on crude-oil futures contracts by Murphy, Finbarr, Ronn, Ehud I.

“…Using market prices for crude-oil futures options and the prices of their underlying futures contracts, we calibrate the volatility skew using the Merton (J…”
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Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model by RONN, EHUD I., VERMA, AVINASH K.

“…This paper presents a methodology for arriving at empirical estimates of deposit insurance premiums from market data by using isomorphic relationships between…”
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Estimating the commodity market price of risk for energy prices by Kolos, Sergey P., Ronn, Ehud I.

“…The purpose of this paper is to estimate the “market price of risk” (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR…”
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Fine-Tuning a Corporate Hedging Portfolio: The Case of an Airline by Gerner, Mathias, Ronn, Ehud I.

“…Industrial companies typically face a multitude of risks that could cause significant fluctuations in their cash flow. This is a case study of the hedging…”
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The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets by Ronn, Ehud I., Sayrak, Akin, Tompaidis, Stathis

“…We consider the impact of “large” changes in asset prices on intra‐market correlations in domestic and international markets. Assuming normally distributed…”
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Valuation of Callable/Putable Corporate Bonds in a One-Factor Lognormal Interest-Rate Model by Goldberg, Robert S., Ronn, Ehud I., Xu, Liying

“…Whereas the callable-bond market used to emphasize primarily public debt—government agencies and investment grade and non-investment grade corporate debt—that…”
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The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets by Doran, James S., Ronn, Ehud I.

“…In this paper we examine the extent of the bias between Black and Scholes (1973)/Black (1976) implied volatility and realized term volatility in the equity and…”
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Oil futures volatility smiles in 2020: Why the bachelier smile is flatter by Galeeva, Roza, Ronn, Ehud

“…In this paper, we consider the response of the oil-futures option market to the onset of severe conditions in the aftermath of Feb. 15, 2020. Motivated in part…”
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A Characterization of the Daily and Intraday Behavior of Returns on Options by SHEIKH, AAMIR M., RONN, EHUD I.

“…The daily and intraday behavior of returns on Chicago Board Options Exchange options is examined. Option returns contain systematic patterns even after…”
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Comment on Empirical Tests of Two State-Variable Heath-Jarrow-Morton Models by Ronn, Ehud I.

“…The paper Empirical Tests of Two State-Variable Heath-Jarrow-Morton Models by Robert R. Bliss and Peter H. Ritchken makes a contribution to the growing…”
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Quantifying and Explaining the New-Issue Premium in the Post-Glass-Steagall Corporate Bond Market by Goldberg, Robert S, Ronn, Ehud I

“…The authors document and rationalize the premium paid by bond issuers in the corporate bond markets. Changes in the bond market over the past 30 years have…”
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A New Linear Programming Approach to Bond Portfolio Management by Ronn, Ehud I.

“…This paper derives and tests a new linear programming (LP) approach to bond portfolio management. The model elicits possible tax-clientele effects in the…”
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The Critical Role of the Magnitude and Sign of the Interest-Rate Term Premium in Optimal Asset Allocation by Goldberg, Robert S., Ronn, Ehud I.

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