We present a new approach to the pricing of catastrophe event (CAT) derivatives that does not assume a fully diversifiable event risk. Instead, we assume that the event occurrence and intensity affect the return of the market portfolio of an agent that trades in the event derivatives. Based on...

This paper examines the optimal perfect hedging (super-replication) of an option by a cash-plus-riskless asset portfolio within the context of the binomial model. The cases discussed here were not covered by the earlier studies of Boyle and Vorst (1992) and Bensaid, Lesne, Pages and Scheinkman...

This paper examines the effects of the imposition of minimum quality standards (MQS) on a vertically differentiated natural duopoly with free entry. It is shown that the welfare effects of MQS are crucially dependent upon the timing of the quality choice with respect to the decision to enter the...

This article examines the theoretical and empirical implications of asymmetric information in commodity futures markets. In particular, it formulates and tests a theoretical model that recognizes two distinct categories of traders: hedgers, who participate in both spot and futures markets, and...

This paper provides a computational technique for the evaluation of the distribution of the net present value (NPV) of an investment, in which the cash inflows occur at random time points, as in the case of venture capital. The initial cash outlay is deterministic and the magnitudes of the cash...