A passport option, as introduced and marketed by Bankers Trust, is a call option on the balance of a trading account. The strategy that this account follows is chosen by the option holder, subject to position limits. We derive a simplified form for the price of the passport option using local...

The aim of this article is to find bounds on the prices of exotic derivatives, and in particular the lookback option, in terms of the (market) prices of call options. This is achieved without making explicit assumptions about the dynamics of the price process of the underlying asset, but rather...

This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk.As an example, and as our...

In the Seel–Strack contest (J Econ Theory 148(5):2033–2048, <CitationRef CitationID="CR11">2013</CitationRef>), <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>n</mi> </math> </EquationSource> </InlineEquation> agents each privately observe an independent copy of a drifting Brownian motion which starts above zero and is absorbed at zero. Each agent chooses when to stop the process she observes, and the winner of the...</equationsource></equationsource></inlineequation></citationref>

This paper studies a variant of the contest model introduced by Seel and Strack. In the Seel-Strack contest, each agent or contestant privately observes a Brownian motion, absorbed at zero, and chooses when to stop it. The winner of the contest is the contestant who stops at the highest value....

This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of adding a penalty associated with failure to follow a winning strategy....

In this study, we employ a dynamic time warping method to study the topology of similarity networks among 35 major currencies in international foreign exchange (FX) markets, measured by the minimal spanning tree (MST) approach, which is expected to overcome the synchronous restriction of the...

This paper gives a brief review on types of subsidies and how they work in theory. The paper identified three types of subsidies: subsidies that increase revenue, subsidies that lower the cost of production, and subsidies that are not linked to production or input. With the use of graphic...

Based on the structure models of options pricing on non-dividend-paying stock [16], this paper presents the choosing models and methods of optimal time of executing an American options for the first time. By using the models and methods, we can find the choosing criterion and optimal time to...

Using a panel dataset of 31 provinces in China, this paper computes the output-oriented Malmquist productivity indexes and their decomposition in China's agricultural sector over the period 1994–2008. In the second-stage regression, which uses the efficiency change and technical progress rates...