Progressive income taxation regimes can be modelled as a weighted portfolio of European Call options over an individual's gross taxable income. These options are struck at the tax bracket lower bound and weighted by the increment in the marginal tax rate. The government holds a long position in...

Haley & Walker (2010) suggest that their use of Cressie-Read family within Stutzer's (1996) non-parametric method for valuing European option might be extended to Alcock & Carmichael's (2008) non-parametric valuation of American options. We derive this suite of non-parametric methods to price...

Alcock and Carmichael (2008) introduce a nonparametric method for pricing American style options that is derived from the canonical valuation developed by Stutzer (1996). While the statistical properties of this nonparametric pricing methodology have been studied in a controlled simulation...

Price bubbles are a phenomenon of asset markets that contradicts market efficiency. In this paper we explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. The Australian market is a unique setting to test for price bubbles, given the regular...

Asymmetric dependence between stock returns and market returns is significantly priced in international equity returns. Of all the commonly considered factors, asymmetric dependence is the only factor priced in all 38 markets examined. Internationally, investors require additional compensation...

We examine firm valuation under the condition of volatile earnings growth. The Stochastic Earnings Valuation Model (Abaphai, Georgikopoulos, Hasnip, Jamie, Kim, and Wilmott, 1996; Li, 2003) is a relatively new model of equity valuation and is used here to derive a partial differential equation for...

A nonparametric method of pricing American options was recently developed that requires only historical underlying price data (Alcock and Carmichael, 2008). We derive an extension to this method to include conditioning information from a small number of observed option prices. This additional...

We explore the benefits gained by actively managing asymmetric dependence during the portfolio construction process. First, we determine the existing and nature of asymmetric dependency between international equity indices. Next, we illustrate how managing lower tail dependence between...

We introduce a nonparametric method to accurately price American style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. We test the accuracy of this method in a controlled experimental environment under both Black...

We demonstrate a means of incorporating asymmetric dependency structures during the portfolio construction process using copula functions. Specifically, we investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic...