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new ways to banks to manage credit risk. In this paper we use a simple microeconomic model to show how a credit option of …
Persistent link: https://www.econbiz.de/10010291701
linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …
Persistent link: https://www.econbiz.de/10010322417
Incentive effects of performance-based compensation schemes for management may be weakened or biased by macroeconomic influences on remuneration. These influences can be seen as reflecting luck from the CEO's perspective. In this chapter we present a model for how to avoid compensating CEO for...
Persistent link: https://www.econbiz.de/10010320333
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10010281205
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a …
Persistent link: https://www.econbiz.de/10010281218
Jeder wirtschaftlich Interessierte hat schon einmal von Optionen und Optionsscheinen gehört. Was Optionen und Optionsscheine genau sind und wie sie funktionieren, das wissen allerdings nur wenige. Der vorliegende Beitrag gibt einen Einblick in die Funktions- und Wirkungsweise dieser...
Persistent link: https://www.econbiz.de/10012506978