This study proposes a model to investigate the impact of performance-sensitive debt on the valuation of vulnerable options. Unlike previous studies where debt is a fixed amount upon option maturity, our proposed model assumes that debt obligation depends on the counterparty’s performance...

We examine whether the implementation of the information disclosure and transparency ranking system (IDTRS) affects frms’ value deviation in Taiwan using the annual reports of the listed companies for the period 2001–2004. Using firms value deviation as a proxy for information disclosure, we...

This paper investigates the role of corporate social responsibility (CSR) performance in forecasting companys' stock prices and future returns. The forecasting analysis identifies a negative association between CSR performance and proxies of price delay. The negative CSR–delay association is...

This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also...

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial...