In this paper, we use a continuous-time contingent claims framework to study managers' incentives to cheat in the presence of equity-based compensation policies. When we consider a fully predictable legal process, we observe that managers will always have incentives to engage in illicit...

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

It is well known that shareholders in levered firms select more risky projects. Yet, Black and Scholes-Merton option pricing framework cannot explain these shareholders adverse risk incentives. Indeed, if they behave strategically they should always select infinite volatility projects. We...

How does uncertainty about the extent of global warming affect decisionmaking to reduce it? Which policy options to choose and how long to delay implementing them?Uncertainty is inherent in the analysis of global warming issues. Not only is there considerable scientific uncertainty about the...

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, and the European Emission Trading Scheme is an example. By means of dynamic optimization in the contest of firms covered by such environmental regulations, this article...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

In this study we re-examine the pricing of equity and the risk incentives of shareholders in levered firms. We derive a down-and-out call equity valuation model which rests on the assumption that shareholders choose the optimal investment and asset returns' volatility as a function of current...

The recent flows of immigrants to many countries has been categorised by both legal/illegal migrants. Such migration flows have occurred despite the presence of domestic unemployment of various categories of labour. It has also been observed that migration has lowered the reward of unskilled...