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Three-Benchmarked Risk Minimization for Jump Diffusion Markets

Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011

benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

Persistent link: https://www.econbiz.de/10009357762

Pricing Foreign Currency and Cross-Currency Options Under GARCH.

Wei, J.Z.; Duan, J.C. - Rotman School of Management, University of Toronto - 1999

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and …

Persistent link: https://www.econbiz.de/10005664007

Empirical Tests of an Option Price Inversion Approach.

McIntyre, M. - Rotman School of Management, University of Toronto - 1999

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

Persistent link: https://www.econbiz.de/10005631243

How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement.

Stout, L.A. - Georgetown University Law Center - 1997

This paper presents a simple heterogenous expectations pricing model premised on investor disagreement, risk aversion …

Persistent link: https://www.econbiz.de/10005669938

A Market-Based Evaluation of Discretionary-Accrual Models.

Guay, W.; Kothari, S.P.; Watts, R.L. - William E. Simon Graduate School of Business … - 1996

Considerable research in accounting focuses on the role of accruals in capital market valuation and in contracting. The research shows accruals enable managers to improve on cash flows as a mesure of firm performance. However, since accruals provide managers with a means of managing...

Persistent link: https://www.econbiz.de/10005671984

The Economics of Financial Derivative Instruments

NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008

The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...

Persistent link: https://www.econbiz.de/10005621718

IFRS Adoption in Canada: An Empirical Analysis of the Impact on Financial Statements

Blanchette, Michel; Racicot, François-Éric; Sedzro, Komlan - Certified General Accountants Association of Canada - CGA - 2013

International Financial Reporting Standards (IFRS) has become the new dominant set of accounting standards; however the transition to the new regime may be fairly disruptive for users of financial statements as comparability and trend analysis may be impaired. The objective of this study is to...

Persistent link: https://www.econbiz.de/10010699681

Price Functionals with Bid-Ask Spreads: An Axiomatic Approach.

Jouini, E. - 1997

Under some minimal assumptions on the price functional, we prove that the prices of the contingent claim are necessarily in some minimal interval.

Persistent link: https://www.econbiz.de/10005035859

"A Stock-flow Approach to a General Theory of Pricing"

Pilkington, Philip - Levy Economics Institute - 2013

pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value … simultaneously assets. Meanwhile, contemporary theories of asset markets are flawed in that they either rely, implicitly or … properly general theory of pricing that can be applied to any marketâ€”whether financial, real, or a real market that has been …

Persistent link: https://www.econbiz.de/10010862122

Options Pricing and Accounting Practice

Calomiris, Charles W.; Hubbard, R. Glenn - American Enterprise Institute - 2009

The establishment of new accounting rules for expensing options would likely do more harm than good.

Persistent link: https://www.econbiz.de/10010941130

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