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We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A...
Persistent link: https://www.econbiz.de/10010933872
The aim of this paper is to examine whether the development of waste recycling activities can be a source of economic … fluctuation. We assume that the recycling sector has four fundamental characteristics. (i) The production factors are restricted …
Persistent link: https://www.econbiz.de/10010738592
implemented in France may allow the optimal application of recycling techniques, combined with waste-to-energy facilities … consequence will be the development of recycling at levels well below the objectives of policy makers. …
Persistent link: https://www.econbiz.de/10009372638
into a consumer surplus measure of tax burden. Carbon taxation is regressive before revenue recycling. However, taking into … account the benefits from congestion reduction induced by the tax mitigates regressivity. We show also that recycling …
Persistent link: https://www.econbiz.de/10008793313
This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the...
Persistent link: https://www.econbiz.de/10010821137
Oil nationalism cycle reflects the difficulties encountered by oil states, international oil companies (IOCs) and national oil companies (NOCs) in establishing order over and above the conflicts in upstream oil transaction. By drawing on transaction cost theory, this article identifies the...
Persistent link: https://www.econbiz.de/10010821194
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...
Persistent link: https://www.econbiz.de/10010821294
This article extends the previous literature on the Tobin tax and financial transaction tax. We investigate the linkages between trading volumes and transaction costs using both a linear and a nonlinear methodology. In stark contrast with previous studies, we consider the possibility that our...
Persistent link: https://www.econbiz.de/10010821381
This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the...
Persistent link: https://www.econbiz.de/10010899678
Douglass North, along with Ronald Coase and Oliver Williamson, transformed the early intuitions of new institutional economics into powerful conceptual and analytical tools that spawned a robust base of empirical research. NIE arose in response to questions not well explained by standard...
Persistent link: https://www.econbiz.de/10010930236