This paper estimates some of the parameters of the Schwartz and Moon (2001)) model using cross-sectional data. Stochastic costs, future financing, capital expenditures and depreciation are taken into account. Some special conditions are also set: the speed of adjustment parameters are equal; the...

This paper estimates some of the parameters of the Schwartz and Moon (2001)) model using cross-sectional data. Stochastic costs, future financing, capital expenditures and depreciation are taken into account. Some special conditions are also set: the speed of adjustment parameters are equal; the...

This paper values interest rate options using an improved parametric pricing kernel in the Merton (1973) intertemporal capital asset pricing model framework. The pricing kernel is driven by the real interest rate, the Jensen's alpha, and the market volatility. Parameters in the pricing kernel...

This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the Samp;P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan (1986) amp; Barone-Adesi...

This paper examines the ability of the jump diffusion models to explain systematic deviations in implicit distributions from the benchmark assumption of lognormality. Jumps that occur in the spot exchange rate due to supply and demand fluctuations in the currency market impose distributions for...

This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven...

We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized...

This paper investigates empirically whether emerging Asian markets stock prices can deviate from their fundamental values. Because standard tests are subject to size distortion, a more robust statistical test for non-cointegration due to Taylor and Peel (1998) is used here to test periodically...

Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. In this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency...

This paper analyzes the academic and regulatory studies on insider trading available in the finance literature. First, a review of the laws regulating insider trading is provided. The paper then takes a look at the parties involved in insider trading, and analyzes the theories of insider trading...