In this comment, we show that the existence of the preemption equilibrium in Fudenberg and Tirole (Review of Economics Studies, vol. 52, PP. 383-401, 1985)'s continuous-time games of timing is not guaranteed under their assumptions.

We consider the “airport problem”, which is concerned with sharing the cost of an airstrip among agents who need airstrips of different lengths. We investigate the implications of two properties, Left-endpoint Subtraction (LS) bilateral consistency and LS converse consistency, in the airport...

This study extends the Hull and White (1993) binomial method to construct a trinomial model for the valuation of American-style warrants whose strike price can be reset to a new price level. The reset criteria is conditioned upon the average underlying asset price hitting the reset barrier in a...

This study follows the approach of Ni, Pan and Poteshman (2008) ndash; based upon the vega-weighted net demand for volatility ndash; to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the...

In this paper we provide an accurate and efficient method for valuing Asian options that works well for the low and medium volatility as well as longer average time window. Numerical results show that our method significantly outperforms the other analytic approximation methods in the...

In this paper we re-examine the American-style option pricing formula of Geske and Johnson (1984) and extend the analysis by deriving a modified formula that can overcome the possibility of non-uniform convergence encountered in the original Geske-Johnson methodology. Furthermore, we propose a...

Most papers studying loan guarantee are under a one-borrower and one-guarantor framework. This study uses the option approach to construct models in which loan guarantees are analyzed under a multiple-borrower and one-guarantor framework and under a one-borrower and multiple-guarantor structure...

In this paper, we set out to investigate the information content of options trading using a unique dataset to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. We find that options volume, as a whole, carries no information on...