This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient...

We examine the relation between firm value and managerial incentives in a sample of 1,487 U.S. firms in 1992-1997, for which the separation of ownership and control is complete. Unlike previous studies, we employ a measure of relative performance which compares a firm’s actual...

There is an extensive literature on the valuation of a fixed income contracts. The present work addresses the problem from a new outlook: we find upper and lower bounds for the value of a contract. Constraints are imposed on the evolution of a short-term interest rate and a liability is valued...

This paper develops a parametric model for liquidity effects due to trading. The liquidity parameterisation is defined to consist of a transaction cost effect and a price slippage effect, the latter felt by all participants in the market. The model is based on the CRR binomial trees and is...

In this paper we suggest derivative contracts related to the Greeks of options; we show how to value them and how they can be used to manage the risk of a portfolio of derivatives. We further describe certain types of these options, namely those related to the Delta and Gamma, which can be...

This paper examines the efficiency of stock based compensation by valuing stock and options from the executive's point of view. Companies give compensation in the form of stock in order to align incentives by providing a link between executive wealth and the stock price performance of the...

In an economy with a fixed exchange rate regime that suffers a random adverse shock, we study the strategies of imperfectly and sequentially informed speculators that may trigger an endogenous devaluation before it occurs exogenously. The game played by the speculators has a unique symmetric...

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

This paper reports a new test of capital structure theories. It uses a filtering technique to identify large investment spikes. We find that the spikes are predominantly financed with debt by large firms and with new equity by small firms. In the process of financing large projects, firms move...

We model corporate governance in a world with competitive securities markets as well as markets for corporate assets. We show that varying the liquidity and opacity of corporate assets, the vitality of the market for corporate control, and the costs of enforcing shareholder rights to cash flows...