The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

This paper analyzes the importance of household perceptions of house price risk in explaining homeownership choice … rent are strongly correlated with perceptions of house price risk. Households' exposure to housing risk due to financial … buy are especially sensitive to their perception of house price risk, it might explain their delayed entry into home …

informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can …

User sanctions influence the legal risk for participants in illegal drug markets. A change in user sanctions may change … retail drug prices, depending on how it changes the legal risk to users, how it changes the legal risk to dealers, and the …

risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … agent with Epstein-Zin utility. In the applicable region, the elasticity of the put-options price with respect to maturity … is close to one. The elasticity with respect to exercise price is greater than one, roughly constant, and depends on the …

tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated …

Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exercise price of the … the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

The paper is a study of the price level and relative price effects of a policy to monetize gold and fix its price at a … given future time and at the then prevailing nominal price. Price movements are analyzed both during the transition to the …