A catastrophe put option is valuable in the event that the underlying asset price is below the strike price; in addition, a specified catastrophic event must have happened and influenced the insured company. This paper analyzes the valuation of catastrophe put options under deterministic and...

An asset pricing model is developed in which price of consumption good is unknown and investors have a general time and state nonseparable preference. It is shown that the expected return on an asset is determined by a weighted average of market risk, inflation risk and consumption risk. The sum...

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...

This paper investigates whether the foreign exchange risk is priced in the Pacific Basin equity markets. The test was performed in the conditional version which allows the world prices of market risk and exchange risk to vary over time. Being parsimonious, a principal component analysis is taken...

A general one-factor model for short-term interest rates is proposed. Besides the long memory fractionally integrated mean process, the model also consists of a power function of the interest rate as well as the GARCH effect in the conditional variance. The estimation results show that, while...

This article studies how the loss averse behaviour affects the term structure of real interest rates. Since the pro-cyclical conditional expected marginal rate of substitution, implied from the US consumption data, is consistent with the proposition of loss aversion, we incorporate the loss...