A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 324 resources
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The author develops a simple, discrete time model to value options when the underlying process follows a jump diffusion process. Multivariate jumps are superimposed on the binomial model of J. C. Cox, S. A. Ross, and M. Rubinstein (1979) to obtain a model with a limiting jump diffusion process. This model incorporates the early exercise feature of American options as well as arbitrary jump distributions. It yields an efficient computational procedure that can be implemented in practice. As an application of the model, the author illustrates some characteristics of the early exercise boundary of American options with certain types of jump distributions.
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This paper presents an experimental test of the proposition that government contributions to public goods, funded by lump-sum taxation, will completely crowd out voluntary contributions. It is found that crowding-out is incomplete and that subjects who are taxed are significantly more cooperative. This is true even though the tax does not affect the Nash equilibrium prediction. This result is taken as evidence for alternative models that assume people experience some private benefit from contributing to public goods. Copyright 1993 by American Economic Association.
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Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. The authors show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence but that the theory fails to reproduce some of the other properties of the data–in particular, the strong autocorrelation of forward premiums.
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This paper uses a nonlinear arbitrage-pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage-pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage-pricing model does an adequate job of explaining the time-series behavior of a cross section of international returns.
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This study examines the behavior of a small stock market with circuit breakers and with a one-hour preauction order imbalance disclosure during the October 1987 crash. The crash and its aftershocks lasted for a week and selling pressure was concentrated in higher beta, larger capitalization, and lower leverage firm stocks. Circuit breakers when implemented reduced the next-day opening order imbalance and the initial price loss; however, they had no effect on the long-run response. Some price overreaction and reversal phenomena also are documented.
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In models of steady investment-driven growth, an individual's propensity to save depends on how much of his income is drawn from accumulated factors of production ('capital') rather than from nonaccumulated factors. When agents are heterogeneous in this respect, growth-oriented policies have distributional consequences and, in the absence of lump-sum redistribution, their implementation faces political constraints. If the median voter is capital-poor relative to the economy's representative agent, political interactions tend to slow down growth when policy acts on capital's income share and tend to accelerate it when investment subsidies are the policy instrument of choice. Copyright 1993 by American Economic Association.
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The authors explain the use of legally unenforceable, discretionary financial contracts in circumstances where legally enforceable contracts are feasible. A discretionary contract allows a contracting party to choose whether or not to honor the contract. It is shown that such a contract liquefies reputational capital by permitting it to be depreciated in exchange for the preservation of financial capital and information reusability in financially impaired states. In addition, discretionary contracts foster the development of reputation. This explains discretion among highly confident letters, holding-company relationships, mutual-fund contracts, bank loan commitments, and other financial and nonfinancial contracts. Copyright 1993 by American Economic Association.
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Endogenous-growth theory suggests that technological change tends to reinforce the position of the leading nations. Yet sometimes this leadership role shifts. The authors suggest a mechanism that explains this pattern of 'leapfrogging' as a response to occasional major changes in technology. When such a change occurs, the new technology does not initially seem to be an improvement for leading nations, given their extensive experience with older technologies. Lagging nations have less experience; the new technique allows them to use their lower wages to enter the market. If the new technique proves more productive than the old, leapfrogging of leadership occurs. Copyright 1993 by American Economic Association.
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