Showing 1 - 10 of 38
This paper examines how the informational efficiency of the Japanese stock markets changed with the introduction of ETFs(Exchange-Traded Funds) by looking at the arbitrage relationships between cash and futures of the Nikkei225. This paper is unique in that it uses tick data, which enable me to...
Persistent link: https://www.econbiz.de/10005039676
In this article, we consider a derivative pricing model for the stochastic volatility model under an incomplete information. The incomplete information in our works, supposes that the true value of the drift for the stock price process is a random variable, investors only have an information of...
Persistent link: https://www.econbiz.de/10005774303
This paper empirically studied the model-free implied volatility indices constructed from options prices of the Nikkei 225 index during 2005-2010. The concept of corridor volatility index is compared and contrasted with the methodology of the famous VIX index developed by the Chicago Board...
Persistent link: https://www.econbiz.de/10010837064
We develop a dynamic model in which a firm exercises an option to expand production on either a small or large scale with cash reserves and costly external funds. We show that the financing costs greatly distort the firmfs financing and investment behavior and result in a policy contingent on...
Persistent link: https://www.econbiz.de/10010837081
This paper derives a preemptive equilibrium in strategic investment in alternative projects. The problem is formulated in a real options model with a multidimensional state variable that represents project-specific uncertainty. The proposed method enables us to evaluate the value of potential...
Persistent link: https://www.econbiz.de/10005660131
This paper examines the institutional aspects of the Dojima rice exchange market. Especially, the role of governance mechanism was focused on. It is well known that the Dojima rice exchange market was established in 1730 in Osaka, and closed in 1869 due to the collapse of Tokugawa Shogunate. In...
Persistent link: https://www.econbiz.de/10005773280
This paper presents the tree construction approach to pricing a Bermudan swaption. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been exercised at any previous time in...
Persistent link: https://www.econbiz.de/10005774273
This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long...
Persistent link: https://www.econbiz.de/10005774277
In this paper, we theoretically look into various features of a chooser flexible cap. The chooser flexible cap is a financial instrument written on an underlying market interest rate index, LIBOR (London Inter-Bank Offer Rate). The chooser flexible cap allows a right for a buyer to exercise a...
Persistent link: https://www.econbiz.de/10005774281
This paper surveys the literatures on numerical methods from its origins to present to evaluate American-style claims. An extensive review of numerical meth- ods is provided. In particular, emphases is placed on recent trends and developments in the multi-grid and Galerkin method with the...
Persistent link: https://www.econbiz.de/10005774288