In this paper we provide a closed form option pricing model with underlying uncertainty modeled as an exponential Lévy process. The stochastic structure of our model relaxes the restrictive assumption of zero covariance between the Brownian motion and Poisson process jump size found in all...

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov (2009) and correct the previous authors omission of certain components which contribute significantly to index option expected returns. This study provides a mathematically...

This paper proposes a new theory so called bilateral rent-seeking to explain the dramatic growth of foreign direct investment (FDI) inflow in China in the past several decades. We construct a Nash bargaining model to illustrate the relevance of how the reciprocal relationship between the local...

This paper uses a Nash bargaining framework to model the causes of the partial reform equilibrium syndrome that characterizes China's state sector. The model demonstrates the nature of the bargain between the principals (i.e., officials from China's State Asset Council) and the agents (large-SOE...