The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

In this paper, we price American-style Parisian down-and-in call options under the Black-Scholes framework. Usually, pricing an American-style option is much more difficult than pricing its European-style counterpart because of the appearance of the optimal exercise boundary in the former....

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal investment strategy indicates that the agent should trade...

In this paper, we provide a closed-form solution to an optimal portfolio execution problem with stochastic price impact and stochastic net demand pressure. Specifically, each trade of an investor has temporary and permanent price impacts, both of which are driven by a continuous-time Markov...

We study the dynamic causal effects of the shareholding ratio of controlling shareholder on tunneling behavior in China. We use control-right-transfers as the event to conduct the study. We obtain 394 control-right-transfer samples in China corporate control market from 2001 to 2008. We use...

We study the dynamic causal effects of the shareholding ratio of controlling shareholder on tunneling behavior in China. We use control-right-transfers as the event to conduct the study. We obtain 394 control-right-transfer samples in China corporate control market from 2001 to 2008. We use...

Economic interdependency of wildlife or fish stocks is usually attributed to ecological interdependency, such as predator - prey and competitive relationships, or to density dependent migration of species between different areas. This paper provides another channel for economic interdependency...

The objective of this paper is to elicit stakeholder preferences in relation to different Multiple Use Offshore Platforms (MUOP) designs produced by the TROPOS project (www.troposplatform.eu) for the Liuqiu Island, Taiwan using the Choice Experiment (CE) method. To authors/ acknowledge, this is...