This paper develops an option pricing model to value a project with taxes and incomplete information. We derive the value of the option to invest in the project and provide the threshold value of the project. Some numerical examples are given to show the characteristics of the optimal investment...

This paper investigates the long run relationship between macroeconomic indicators of terms of trade, oil prices, rate of interest, money supply (M3), index of industrial production and stock exchange prices indices for the USA Japan and China by focusing on the global financial recession. This...

We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements....

In this article, futures and commodity options are analyzed in the context of Merton's (1987) model of capital market equilibrium with incomplete information. First, following Dusak (1973) and Black (1976), the conditions under which Merton's model can be applied to the valuation of forward and...

The world is experiencing the development of new financial instruments to cope with natural catastrophes economic losses, this paper contributes to the forward movement of the discussion about the sustainability of one of these instruments known as non-life insurance linked securities. It shows...

This study examines the short and long run relationship between Domestic Credit to Private Sector (DCPS) and its selected determinants namely, Domestic Credit to Public Sector, Gross Domestic Savings, Gross Domestic Product, Industrial Value Addition, Money Supply (M2), and the Total Volume of...

This study aims to give the analysis of the determinants of banks’ profitability in the Kingdom of China over the period starting 2003. The paper investigates the co-integration and causal relationship between total assets (TA) and total equity (TE) of Saudi banks. The analysis employs...