This paper numerically solves the call option valuation problem given a fairly general continuous stochastic process for return volatility. Statistical estimators for volatility process parameters are derived, and parameter estimates are calculated for several individual stocks and indices. The resulting estimated option values do not differ dramatically from Black-Scholes values in most cases, although there is some evidence that for longer-maturity index options, Black-Scholes overvalues out-of-the-money calls in relation to in-the-money calls.

Journal Article Real Estate Assets and Consumer Spending Get access Kul B. Bhatia Kul B. Bhatia University of Western Ontario Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 102, Issue 2, May 1987, Pages 437–444, https://doi.org/10.2307/1885072 Published: 01 May 1987

The purpose of this paper is to illustrate how a two-part compensation system composed of a rigid base salary and a flexible bonus can reduce turnover. It is shown that bonus pay is an effective retention device if it is risk reducing and is correlated with outside contract offers. For the first time, to the best of our knowledge, a model of bonus payments is tested with U.S. instead of Japanese data. The empirical results are suggestive of the conditions that give bonuses an important, even dominant, role in worker retention.

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"This paper designs a multiarmed bandit (MAB) sequential model for the analysis of the migration-job search process. The implications either are compatible with well-known migration behavior or, when novel, are also plausible. For example, regions with large wage variability attract migrants, and regions with large nonpecuniary returns increase both in migration and out migration. A major advantage of this approach is the relative ease with which martingale estimators can be derived from the martingale structure of the model. These martingale methods are exemplified for the return migration phenomenon."

Antitakeover amendments (shark repellents) restrict the transfer of corporate control. On average, the public announcement of antitakeover amendments by 600 firms in the period 1979–1985 has an insignificant effect on the value of announcing firms' shares. However, different types of amendments have varying effects. Non-fair-price amendments have an average significant negative effect of 2.95% on share prices, while fair-price amendments have an insignificant effect. The more harmful amendments have larger insider holdings and lower institutional holdings, suggesting a partial explanation of why shareholders approve these amendments.

Robert B. Thompson II, Chris Olsen, J. Richard Dietrich, Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index, Journal of Accounting Research, Vol. 25, No. 2 (Autumn, 1987), pp. 245-274

This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. The limiting distribution of the standardized estimator and the associated regression t statistic are found using functional central limit theory. New tests of the random walk hypothesis are developed which permit a wide class of dependent and heterogeneous innovation sequences. A new limiting distribution theory is constructed based on the concept of continuous data recording. This theory, together with an asymptotic expansion that is developed in the paper for the unit root case, explain many of the interesting experimental results recently reported in Evans and Savin (1981, 1984).

The duration of employment has been studied by Betancourt and Clague (1981), Winston and McCoy (1974) and Betancourt (1986). Results obtained, summarized in Section 3 below, supposed homotheticity of production functions and a constant speed or intensity of capital usage. The simultaneous cost minimising determination of speed and duration is studied here with an explicit analytical expression being developed relating duration to parameters of interest, including returns to scale and the substitution elasticity, both traditionally measured. The propositions of Betancourt, Clague and Winston and McCoy are then established using differential analysis.