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The n-fold compound option
THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …
This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option on an option which he defined as a compound option. He developed a closed form expression for this kind of options. In this paper we will extend the notion of compound option to...
Persistent link: https://www.econbiz.de/10005824296
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Decomposition of the n-fold compound option
THOMASSEN, Liesbeth; VAN CASTEREN, Jan; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002
In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geske’s compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate...
Persistent link: https://www.econbiz.de/10005588127
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Beyond the Financial Crisis: Addressing risk challenges in a changing financial environment
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2009
Paper presented at "Strategies For Solving Global Crises Conference: The Financial Crisis and Beyond" (October 2009 …). Also published in "Corporate Finance: Governance, Corporate Control & Organization Journals" (July 2010) The Financial … the need to focus on unregulated instruments such as hedge funds, which are of systemic importance to the financial …
Persistent link: https://www.econbiz.de/10008529221
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A sensivity analysis for the n-fold compound option
THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002
In this paper we determine the dependence of the n-fold compound option to the value of the firm V and to the variance rate 2. For practical purposes some numerical results are added, calculated with Mathematica and with a Fortran procedure for multivariate integrals.
Persistent link: https://www.econbiz.de/10005824300
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Benoit Mandelbrot 1924 -2010: A Greek among Romans
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2010
physics to the individual and collective behavior in society, besides his contributions to the analysis of the financial …
Persistent link: https://www.econbiz.de/10008680319
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Demand for Self Control: A model of Consumer Response to Programs and Products that Moderate Consumption
Berg, Nathan; Kim, Jeong-Yoo - Volkswirtschaftliche Fakultät, … - 2010
, enroll in financial literacy programs, and purchase products aimed at improving financial decision making through cultivation …
Persistent link: https://www.econbiz.de/10008693565
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President's Message: Financial System Fragility - Inherent or Induced?
Lacker, Jeffrey M. - In: Econ Focus (2013) 2Q, pp. 1-1
Persistent link: https://www.econbiz.de/10010795591
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Remarks at Conference on Successful Strategies for Financial Literacy and Education
Evans, Charles L. - Federal Reserve Bank of Chicago - 2009
Remarks by Charles L. Evans, President and Chief Executive Officer, Federal Reserve Bank of Chicago Federal Reserve Bank of Chicago Chicago, IL
Persistent link: https://www.econbiz.de/10010769192
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Employment Protection Legislation, Capital Investment and Access to Credit: Evidence from Italy
Cingano, Federico; Leonardi, Marco; Messina, Julián; … - Dipartimento di Economia, Management e Metodi … - 2013
Employment protection may affect both productivity and capital investment because higher adjustments costs hamper allocative efficiency and may therefore affect both the optimal capital labor input mix and total factor productivity. To estimate the impact of dismissal costs on capital deepening...
Persistent link: https://www.econbiz.de/10010734637
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Financial Policy Coordination in a Keynesian Framework
Correa, Romar - In: Journal of Economic Integration 12 (1997), pp. 99-112
We propose a simple framework within which to examine the problem of policy coordination between two central banks. The context is the various components of a broad measure of the money supply. Consider two central banks, one'monetarist' and the other 'Keynesian'. In each economy there is...
Persistent link: https://www.econbiz.de/10010840707