With the introduction of the accounting standards FAS 123 and IFRS 2 for executive stock options an important change towards fair value accounting' has taken place. As companies are now forced to value their stock options at grant date for accounting purposes, the robustness of prices against...

With the introduction of the accounting standards FAS 123 and IFRS 2 for executive stock options an important change towards quot;fair value accountingquot; has taken place. As companies are now forced to value their stock options at grant date for accounting purposes, the robustness of prices...

In this paper we extend an analysis by Lo and Wang (1995), who showed that predictability of asset returns affects derivatives prices through its impact on instantaneous volatility. We investigate how the whole instantaneous variance-covariance matrix of two assets returns is affected by typical...

We investigate the term structure of bond market illiquidity premia and show that the term structure varies greatly over time. Short and long end are strictly separated suggesting that different economic factors drive different parts of the term structure. We propose a stylized theoretical model...