This paper examines the price performance of call warrants in China's securities market. A recent sample of daily call warrant prices observed during the period from August 2005 to March 2007 is used. To the best of our knowledge this is the only recent study to using data from China and as such...

In this article we propose an extension of the classical Black-Scholes option in a multidimensional setup. The underlying financial asset is a basket of equity stocks on which a general European type option pay$-$off is considered. Using the distributional Fourier transform, we derive a general...

Employee stock bonuses (ESBs) and employee stock options (ESOs) are the means for high-technology companies in Taiwan to reward their employees. This research connects the Ohlson (1995) model and Linear Structural Relations (LISREL) model to investigate these effects of ESBs and ESOs,...

We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial differential equations governing this financial problem and...

Статья посвящена механизмам повышения конкурентоспособности промышленного предприятия. Обоснована целесообразность использования опционных контрактов для...

Статья посвящена механизмам снижения ценовых рисков промышленного предприятия. Обоснована целесообразность использования опционных контрактов для закупки...

The application of options pricing theory to value irreversible investment decisions has witnessed a marked increase over the last decade. For instructional and simplified applications, the Black-Scholes model is commonly demonstrated due to its tractability and acceptance in the finance...

Este es material de curso del libro Decisiones Empresariales bajo Riesgo e Incertidumbre. El nivel del libro es basico. Se usan muy pocas matematicas y puede ser usado por gerentes. En este decimo y ultimo capitulo se presenta una breve y sencilla introduccion a las opciones financieras y al...

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...