We develop a continuous-time real options pricing model to study managers’incentives to cheat in the presence of equity …-based compensation policies.We show that managers’ incentives to cheat are strongly influenced by theefficiency of the justice. Our model …’s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We finally …

preservation or enhancementof short term stock value around the earnings announcement has become a priority for managers …

constant volatility. In this paper, we examine the best performing parametric models against nonparametric alternatives. In … particular, we study the stochastic volatility (SV) and stochastic volatility randomjump (SVJ) models as parametric benchmarks …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the filtered historical … innovations. A new simplified delta hedging scheme is presented based on conditions usually foundin option markets, namely the … local homogeneity of the pricing function. We provide empirical evidence and we quantify the deterioration of the delta …

This paper extends the class of deterministic volatility Heath-Jarrow-Morton (1992) models to a Markov chain stochastic … volatility framework allowing for jump discontinuities and a variety of deformations of the term structure of forward rate … volatilities. Analytical solutions for the dynamics of the volatility term structure are obtained. Semimartingale decompositions of …

from a given set defined by the parametric volatility specification and the structure of a continuous time Markov chain that … modulates the volatility function. The first stochastic volatility specification generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second specification allows, in addition, for …

) estimation of the conditional mean vector and the conditional volatility matrix of a multivariate interest rate series. The … principal components, a multivariate CCC-GARCH model, or the exponential smoothing volatility forecasting technique used by the …