The value of embedded real options: Evidence from consumer automobile lease contracts

• 成果类型: Article
• 署名作者: Giaccotto, Carmelo; Goldberg, Gerson M.; Hegde, Shantaram P.
• 署名单位: University of Connecticut; Roger Williams University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01211.x
• 发表日期: 2007
• 页码: 411-445
• 关键词: Valuation; GOODS; PREPAYMENT; mortgages; default; MARKET; MODEL

摘要

Under the common assumption of constant interest rates, we show that penalties for early termination of a lease are often structured in such a way that the cancellation option embedded in consumer automotive leases has little value. Furthermore, our estimates drawn from a sample of three popular car models over 1990 to 2000 indicate that the stand-alone value of the lease-end purchase option is, on average, about 16% of the market value of underlying used vehicles, or about $1,462 per contract. Finally, we examine the sensitivity of our option value estimates to model parameters and default risk.