This paper provides new evidence on the short-term pricing of Australian IPOs using daily data on 188 IPOs from January …

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and …

The problem of fair pricing of contingent claims is well understood in the context of an arbitrage free, complete … pricing interval, which is known to be too large to be of creat interest. We present here a new approach by exploiting partial …

binding foreign ownership limits, we explore the relative pricing of restricted and unrestricted shares with a variety of …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …