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price are endogenously determined. -- Game theory ; Nash equilibrium ; option pricing ; real option …The mainstream model of option pricing is based on an exogenously given process of price movements. The implication of … this assumption is that price movements are not affected by actions of market participants. However, if we assume that …
Persistent link: https://www.econbiz.de/10003941168
We present a model of risk averse exporting firm subject to liquidity constraints. The firm enters an unbiased futuresmarket to hedge exchange rate risk and may not be able to satisfy high margin calls. Then the firm is forced toprematurely liquidate the futures position. We show that...
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The paper analyzes the interactions between the precision of information, trade and welfare within a decision framework of an exporting firm. Information in a financial market is described in terms of a publicly observable signal. With higher transparency, the signal conveys more precise...
Persistent link: https://www.econbiz.de/10009228937
The paper examines the economic role of market transparency on the decision problems of an international firm. Transparency is described in terms of the informativeness of a publicly observable signal. With higher transparency, the signal conveys more precise information about the random foreign...
Persistent link: https://www.econbiz.de/10009229027
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This paper examines the behavior of a competitive exporting firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. The firm has to cross-hedge its exchange rate risk exposure because there is only a forward market between the domestic currency and one...
Persistent link: https://www.econbiz.de/10009310879
The paper revisits the impact of uncertainty on the decision problem of a bank. The bank extends risky loans to private investors and sells deposits to savers at fixed rates. The uncertainty under which deposit/loan-portfolios are chosen by banks is endogenized through an information system that...
Persistent link: https://www.econbiz.de/10009425842
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