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The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier condition is met rather than at maturity. We obtain...
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Leverage, Volatility and Executive Stock Options Abstract This paper studies how an optimal wage contract can be … investment policy, decreases in the volatility of return from the risky project, and increases in leverage. Second, for a fixed … investment policy, increases in the volatility of return from the risky project, and decreases in leverage. Several empirical …
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The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...
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