Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue
Published Online:1 May 2008https://doi.org/10.1287/mnsc.1070.0826
References
- Spanning and derivative-security valuation. J. Financial Econometrics (2000) 55:205–238Crossref, Google Scholar
- Average rate claims with emphasis on catastrophe loss options. J. Financial Quant. Anal. (2002) 37:93–115Crossref, Google Scholar
- A new product growth model for consumer durables. Management Sci. (1969) 15:215–227Link, Google Scholar
- How critical are critical reviews? The box office effects of film critics, star power, and budgets. J. Marketing (2003) 67:103–117Crossref, Google Scholar
- Lévy Processes (1996) (Cambridge University Press, Cambridge, UK) Google Scholar
- Generalized autoregressive conditional heteroskedasticity. J. Econometrics (1986) 31:307–327Crossref, Google Scholar
- A conditionally heteroskedastic time series model for speculative prices and rates of return. Rev. Econom. Statist. (1987) 69:542–547Crossref, Google Scholar
- On the econometrics of the Bass diffusion model. J. Bus. Econom. Statist. (2005) 23(3):225–268Crossref, Google Scholar
- Pricing options on realized variance. Finance Stochastics (2005) 9(4):453–475Crossref, Google Scholar
- Mixing business with pleasure. Risk (1997) 10(February):7Google Scholar
- Valuing Asian and portfolio options by conditioning on the geometric mean. Management Sci. (1994) 40:1705–1711Link, Google Scholar
- Uncertainty in the movie industry: Does star power reduce the terror of the box office? J. Cultural Econom. (1999) 23(4):285–318Google Scholar
- Does Hollywood make too many R-rated movies?: Risk, stochastic dominance, and the illusion of expectation. J. Bus. (2002) 75(3):425–451Crossref, Google Scholar
- Motion picture profit, the stable Paretian hyothesis, and the curse of the superstar. J. Econom. Dynam. Control (2004) 28:1035–1057Crossref, Google Scholar
- The securitization of drug royalties: A new elixir? (2003) . Special report, Dechert LLP, New YorkGoogle Scholar
- Patent backed securitization: Blueprint for a new asset class. (2001) . Working paper, Gerling NCM, New YorkGoogle Scholar
- Demand and supply dynamics for sequentially released products: The case of motion pictures. Marketing Sci. (2003) 22:329–354Link, Google Scholar
- Film critics: Influencers or predictors? J. Marketing (1997) 61(2):68–78Crossref, Google Scholar
- The cost of outside equity control: Evidence from motion picture financing decisions. J. Bus. (2002) 79:681–711Crossref, Google Scholar
- Dynamic common agency and investment: The economics of movie distribution. Econom. Inquiry (2005) 43:773–784Crossref, Google Scholar
- Risk management: Coordinating corporate investment and financing policies. J. Finance (1993) 48:1629–1658Crossref, Google Scholar
- Bessel processes, Asian options and perpetuities. Math. Finance (1993) 7:349–375Crossref, Google Scholar
- Markov Chain Monte Carlo in Practice (1996) (Chapman and Hall, Boca Raton, FL) Crossref, Google Scholar
- Do firms hedge in response to tax incentives. J. Finance (2002) 57:815–839Crossref, Google Scholar
- Invisible parameters in option prices. Papers Proc. Amer. Finance Assoc. (1993) 48(3):933–947Google Scholar
- , Baltagi B. H. Collinearity. A Companion to Theoretical Econometrics (2001) (Blackwell Publishing, Malden, MA) 256–278Google Scholar
- Securitization of intellectual property: Recent trends from the United States. (2004) . Working paper, Washington/CORE, Bethesda, MDGoogle Scholar
- Incorporating distribution into new product diffusion models. Internat. J. Res. Marketing (1991) 8:91–112Crossref, Google Scholar
- Fourier transformation, martingale and the pricing of average rate derivatives. (1997) . Working paper, Department of Finance, University of Maryland, College Park, MDCrossref, Google Scholar
- Writing put options for brainwaves. Risk (2000) 13(June):14–15Google Scholar
- Defying the odds, hedge funds bet billions on movies. The Wall Street Journal (2006) April 29):A1Google Scholar
- Hollywood games people play. Bus. Week (2006) August 7Google Scholar
- Revenue recognition certificates: A new security. Financial Analysts J. (2006) 62(4):20–30Crossref, Google Scholar
- A study of some assumptions underlying innovation diffusion functions. Swedish J. Econom. (1973) 75:362–377Crossref, Google Scholar
- Monte Carlo Strategies in Scientific Computing (2001) (Springer, New York) Google Scholar
- Option pricing with VG martingale components. Math. Finance (1991) 1(4):39–55Crossref, Google Scholar
- The variance gamma model (V.G.) for share market returns. J. Bus. (1990) 63(4):511–524Crossref, Google Scholar
- The variance gamma process and option pricing. Eur. Finance Rev. (1998) 2:79–105Crossref, Google Scholar
- An analytic derivation of the efficient portfolio frontier. J. Financial Quant. Anal. (1972) 7:1851–1872Crossref, Google Scholar
- Applications of option-pricing theory: Twenty-five years later. Amer. Econom. Rev. (1998) 88:323–349Google Scholar
- Asian options, the sum of lognormals and the reciprocal gamma distribution. J. Financial Quant. Anal. (1998) 33:409–422Crossref, Google Scholar
- A Bayesian model to forecast new product performance in domestic and international markets. Marketing Sci. (1999) 182:115–136Link, Google Scholar
- Hedging Turkey risk. Risk (2004) 17(March):14Google Scholar
- The global export of risk: Finance and the film business. Competition Change (2004) 8:105–136Crossref, Google Scholar
- Information, blockbusters, and stars: A study of the film industry. J. Bus. (1999) 72:463–492Crossref, Google Scholar
- Managerial objectives, the R-rating puzzle, and the production of violent films. J. Bus. (2004) 77:155–192Crossref, Google Scholar
- A parsimonious model for forecasting gross box-office revenues of motion pictures. Marketing Sci. (1996) 15:113–131Link, Google Scholar
- Pricing time deformation risk, volatility risk, and Lévy jump-type risk. (2006) . Working paper, Duke University, Durham, NCGoogle Scholar
- Predicting movie grosses: Winners and losers, blockbusters and sleepers. Chance (2000) 13:15–24Crossref, Google Scholar
- Simulation for Lévy-Driven CARMA stochastic volatility models. J. Bus. Econom. Statist. (2005) 24(4):455–469Crossref, Google Scholar
- An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process. J. Functional Anal. (2001) 185:275–296Crossref, Google Scholar
- Who manages risk? An empirical examination of risk management practices in the gold mining industry. J. Finance (1996) 51:1097–1137Crossref, Google Scholar
- Modeling movie success when nobody knows anything: Conditional stable-distribution analysis of film returns. J. Cultural Econom. (2005) 29:177–190Google Scholar

