Showing 241 - 250 of 5,744
There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks in the economic and climate systems affect the social...
Persistent link: https://www.econbiz.de/10011268662
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical...
Persistent link: https://www.econbiz.de/10011268663
We address the problem of gauging the influence exerted by a given country on the global trade market from the viewpoint of complex networks. In particular, we apply the PWP method for computing indirect influences on the world trade network.
Persistent link: https://www.econbiz.de/10011268664
The distribution of firms' growth and firms' sizes is a topic under intense scrutiny. In this paper we show that a thermodynamic model based on the Maximum Entropy Principle, with dynamical prior information, can be constructed that adequately describes the dynamics and distribution of firms'...
Persistent link: https://www.econbiz.de/10011268665
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to capture the volatility skew evolution better than...
Persistent link: https://www.econbiz.de/10011269195
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general L\'evy stock price dynamics, we show that a...
Persistent link: https://www.econbiz.de/10011269196
We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of singular BSDE. Furthermore, we analyze the problem of...
Persistent link: https://www.econbiz.de/10011269197
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...
Persistent link: https://www.econbiz.de/10011082324
Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the...
Persistent link: https://www.econbiz.de/10011082325
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational...
Persistent link: https://www.econbiz.de/10011082326