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This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general...
Persistent link: https://www.econbiz.de/10008456781
This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the...
Persistent link: https://www.econbiz.de/10011274017
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This paper discusses the economic impacts of climate change, including those on ecosystems, and whether a new backstop technology should be used under conditions of strict temperature targets. Using the dynamic integrated climate-economy (DICE) model, we developed a new model to calculate the...
Persistent link: https://www.econbiz.de/10015257012
This study investigated the relationship between corporate efficiency and corporate sustainability to determine whether firms concerned about environmental, social and governance (ESG) issues can also be efficient and profitable. We applied data envelopment analysis to estimate corporate...
Persistent link: https://www.econbiz.de/10015261440
This study examines the impact of board gender diversity on corporate environmental strategy and financial performance. Based on 12 corporate environmental policies in 3389 firms worldwide, we identified four types of corporate environmental strategies by using the latent class regression model:...
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