Option pricing and foreign investment under political risk

Journal of International Economics

Volumn 55, Issue 2, 2001, Pages 359-377

  Cherian, Joseph A ^a   Perotti, Enrico ^b  

^a Bank of America Capital Management   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Implied volatility; International asset pricing; Option pricing; Peso premium; Political risk

Indexed keywords

ECONOMIC POLICY; FOREIGN DIRECT INVESTMENT; PRICING POLICY;

EID: 0035188141     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(01)00083-6     Document Type: Article

References (14)

1. Rules, discretion and reputation in a model of monetary policy
2. Reputation in a model of monetary policy with incomplete information
3. Information revelation and strategic delay in a model of investment
4. The valuation of options for alternative stochastic processes
5. Option pricing: A simplified approach
6. The pure theory of country risk
7. The value of waiting to invest
8. Credible privatization
9. Privatization, political risk and stock market development
10. A theory of credibility
11. Investing in terra incognita: Waiting and learning
12. Foreign direct investment and the risk of expropriation