It is generally believed that security prices are determined by expectations concerning firm and economic variables. Despite this belief there is very little research examining expectational data. In this paper we examine how expectations concerning earning per share effect share price. We first...

Merton, Perrakis and Ryan, Levy, and Ritchken have established option pricing bounds under first and second stochastic dominance preferences. These bounds are particularly important for valuing contingent claims when continuous trading in the claim and/or underlying security does not exist. This...

The use of options in altering the return distribution of stock portfolios has found increasing interest among investment managers. The potential of options in forming portfolio return distributions that are more consistent with investor preferences has been well developed, but determining the...

Extracting sentiment from text is a hard semantic problem. We develop a methodology for extracting small investor sentiment from stock message boards. The algorithm comprises different classifier algorithms coupled together by a voting scheme. Accuracy levels are similar to widely used Bayes...

In this paper, we develop an efficient algorithm to value options under discrete-time GARCH processes. We propose a procedure based on dynamic programming coupled with piecewise polynomial approximation to compute the value of a given option, at all observation dates and levels of the state...

New lock box solution techniques have recently been suggested by Stone and Nauss-Markland. This paper briefly discusses these new methodologies and shows how the algorithms can be combined into a third solution procedure which exploits the computational efficiency of the Stone heuristic and...

This paper considers the so-called warehouse problem with both space and injection/withdrawal capacity limits. This is a foundational problem in the merchant management of assets for the storage of commodities, such as energy sources and natural resources. When the commodity spot price evolves...

This paper has two purposes. The first is purely expository: to introduce stochastic interest-rate models and security-evaluation methods in a simple mathematical setting. Specifically, we assume the uncertainties in the model are represented by a discrete-time, finite-state Markov chain....

We investigate the long-standing puzzle on the underpricings of convertible bonds. We hypothesize that the observed underpricing is induced by the possibility that a convertible bond might renegotiate on some of its covenants, e.g., an imbedded put option in financial difficulties. Consistent...