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Persistent link: https://www.econbiz.de/10013422867
There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options. The proof involves a change of numeraire and time reversal of the Brownian motion. Symmetries are...
Persistent link: https://www.econbiz.de/10005212049
Non-U.S. firms frequently pay a substantial premium to have a U.S. bank lead their initial public offering of equity, even when the issuing firm is not seeking a listing on a U.S. exchange. We provide evidence that this decision reflects an expectation that U.S. banks deliver a higher quality...
Persistent link: https://www.econbiz.de/10005212050
We discuss the Monte-Carlo valuation of American options, using a technique due to Rogers which furnishes an upper bound. The method is illustrated and possible improvements to its accuracy are considered.
Persistent link: https://www.econbiz.de/10005212051
Using a sample of both U.S. and international IPOs we find evidence of the following: IPO allocation policies favor institutional investors both in the U.S. and worldwide. Constraints on the discretion bankers exercise in the allocation of IPO shares reduce institutional allocations. Constraints...
Persistent link: https://www.econbiz.de/10005212052
This paper examines the impact of a major change in dividend taxation introduced in the UK in July 1997. The reform was structured in such a way that the immediate impact fell almost entirely on the largest investor class in the UK, namely pension funds. We analyse the behaviour of share prices...
Persistent link: https://www.econbiz.de/10005212053
We discuss the `continuity correction' that should be applied to relate the prices of discretely sampled barrier options and their continuously-sampled equivalents. Using a matched asymptotic expansions approach we show that the correction of Broadie, Glasserman \& Kou (\emph{Mathematical...
Persistent link: https://www.econbiz.de/10005212054
We model underpricing as being endogenous to the wealth loss minimization problem encountered in a stock market flotation. The benefits of reducing underpricing depend on the entrepreneur's participation in the offering, via the secondary shares he sells, as well as the magnitude of the dilution...
Persistent link: https://www.econbiz.de/10005212055
We propose a metric of financial stability that is a weighted average of the probability of default and the equity of each country. The weights are obtained in the VAR and must reflect that the welfare changes due to financial instability are produced primarily through changes of the probability...
Persistent link: https://www.econbiz.de/10005212056
This paper develops a subordinated stochastic process model for the asset price, where the directing process is identified as information. Motivated by recent empirical and theoretical work, we make use of the under-used market statistic of transaction count as a suitable proxy for the...
Persistent link: https://www.econbiz.de/10005212057