This paper uses a market valuation model to explore why firms grant employee stock options. When insider managers and outside investors have different opinions about the future prospects of the firm, employee stock options can be used to capture future investor overvaluation and to save employee...

This paper is a part of the report Business Development of the Overseas Chinese – The Case of Four East Asian Countries sponsored by the National Science Foundation of China. In past years, research on overseas Chinese business has risen all over the world. The overseas Chinese who amount to...

Dependence modeling plays a critical role in pricing and hedging multi-asset derivatives and managing risks with a portfolio of assets. With the emerge of structured products, it has attracted considerable interest in using multivariate Levy processes to model the joint dynamics of multiple...

This paper embeds security design in a model of evolutionary learning. We consider a competitive and perfect financial market where agents, as in Allen and Gale (1988), have heterogeneous valuations for cash flows. Our point of departure is that, instead of assuming that agents are endowed with...

We analyse a bargaining game in which one party, called the buyer, has the option of choosing the sequence of negotiations with other participants, called sellers. When the sequencing of negotiations is confidential and the sellers' goods are highly complementary, efficient, non-dissipative...

We examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Through a process of evolutionary selection, each agent gravitates toward strategies that generate the highest payoffs....

We analyze a distressed firm indebted to many creditors. The firm's owners have the option of choosing the sequence of restructuring negotiations with the creditors. We show that sequencing flexibility is beneficial to firm owners, and that the optimal sequencing of restructuring negotiations...

We examine auction design in a context where symmetrically informed adaptive agents with common valuations learn to bid for a good. Despite the absence of private valuations, asymmetric information, or risk aversion, bidder strategies do not converge to the Bertrand–Nash equilibrium strategies...

In this chapter, we will price financial claims by allowing option pricing programs to evolve trough time via combining with each other, mutating randomly, and reproducing at rates based on the pressure of evolutionary selection. The specific technique we employ is Genetic Programming, an...

This article analyzes an economic experiment designed to measure the effect of “legal technology” on the economic efficiency of Coasian bargaining. In the experiment, the agreement of many agents (called “landowners”) to transfer their property rights to a single agent (called “the...