Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets

We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61–73] allows us to derive a closed-form formula for the fair value of discretely monitored Asian-style options. Our analysis encompasses the case of commodity price dynamics displaying mean reversion and jointly fitting a quoted futures curve and the seasonal structure of spot price volatility. Four tests are conducted to assess the relative performance of the pricing procedure stemming from our formulae. Empirical results based on natural gas data from NYMEX and corn data from CBOT show a remarkable improvement over the main alternative techniques developed for pricing Asian-style options within the market standard framework of geometric Brownian motion.     

Comparative Analysis of Text Data in Successful Face-to-Face and Electronic Negotiations

Various combination of Natural Language Processing and Machine Learning methods offer ample opportunities wherever texts are an important element of an application or a research area. Such methods discover patterns and regularities in the data, seek generalization and in effect learn new knowledge. We have employed such methods in learning from a large amount of textual data. Our application is electronic negotiations. The genre of texts found in electronic negotiations may seem limited. It is an important research question whether our methods and findings apply equally well to texts that come from face-to-face negotiations. In order to confirm such more general applicability, we have analyzed comparable collections of texts from electronic and face-to-face negotiations. We present our findings on the extent of similarity between these two related but distinct genres. In this study we have analyzed similarities in the text data of electronic and face-to-face negotiations. The results show that – in certain conditions – vocabulary richness, language complexity and text predictability are similar.This is an expanded version of a paper published in the Proceedings of FINEXIN 2005 (Workshop on the Analysis of Formal and Informal Information Exchange during Negotiations), 31–42, Ottawa, Canada, May 2005.     

Overtourism and degrowth: a social movements perspective

Abstract

Overtourism is a contemporary phenomenon, rapidly evolving and underlined by what is evidently excessive visitation to tourist destinations. This is obvious in the seemingly uncontrolled and unplanned occurrence of urban overtourism in popular destinations and arguably a consequence of unregulated capital accumulation and growth strategies heavily associated with selling cities as tourism commodities. The vested interests of social movements has converged into growing protests against overtourism and associated degrowth campaigns have emerged out of this activism that calls for alternative governance and management measures that eschew touristic monoculture and simplistic economic growth-oriented models. Accordingly, we explore the evolution of the tourism degrowth discourse among social movement activists in Barcelona, and in particular, where this is related to claims associated with overtourism and the extent to which this might be influencing a paradigm shift from ‘tourism growth’ to ‘tourism degrowth’. Methodologically, we draw from an overarching framework that leverages long-term ethnographic research in Barcelona. Here, we employ in-depth semi-structured interviews, participant observations, informal conversations and retrospective evaluation of field diary entries.     

Z-Transform and preconditioning techniques for option pricing

In the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral equations by using a z-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation into a linear system that we solve by iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure in pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to an exponential Lévy process.     

Benefits of Aesthetic Design as an Element of New Service Development*

The goal of this research is to investigate the benefits that may be gained from using aesthetic design in new service development. The research is performed in two phases. In the first phase, case research examining the use of aesthetic design in 16 new service development projects in new technology‐based firms is used to determine the objectives underlying managers' decisions to use aesthetic design in new service development. The results of the case research suggest that the objectives underlying managers' decisions to use aesthetic design in new service development are attracting new customers, creating and fostering a positive image of their firm in their market, retaining existing customers, and doing so at lower cost. In the second phase, the results of the case research are used to generate hypotheses that are tested using longitudinal survey data collected in 98 new technology‐based firms. The findings suggest that by and large the benefits expected by managers are realized. The practitioner implications of this research are that new technology‐based firms that emphasize the use of aesthetic design in new service development can expect to have a greater proportion of sales from new customers, be less dependent on a few large customers, be more successful in entering new markets, have a more favorable firm image, and enjoy higher turnover growth from existing customers and higher profits than comparable firms not using aesthetic design. The data do not provide support for the hypothesis that firms using aesthetic design in new service development will have customers that are less inclined to switch their allegiance to competitors, whereas it does support the hypothesis that firms using aesthetic design will enjoy higher turnover growth from existing customers than others. This could indicate that, although firms cannot expect to retain customer loyalty based on aesthetic design, they can expect to earn greater revenues from customers who do remain loyal if they emphasize aesthetic design.     

Academic spin-offs at different ages: A case study in search of key obstacles to growth

Support to enhance early growth of academic spin-off firms is at the core of many economic policies. Efficiency of this support has been recently questioned due to slow growth of spin-off firms in various European countries. However, despite many studies to improve support, there is virtually no empirical insight into resistance of obstacles that constrain growth over time and how this differs between distinct types of spin-offs. This article explores the incidence and nature of obstacles to growth in a cross-section and longitudinal approach, and uses Delft University of Technology (the Netherlands) as a case study. We find evidence that (1) the overall ability to overcome obstacles decreases at the age of four, most probably reflecting the rise of the so-called credibility juncture, and that (2) highly innovative spin-offs start with an accumulation of obstacles but move relatively quickly to sustainable growth. The paper concludes with recommendations for the design of new (renewed) incubation policies and for further research.     

Impact of Exchange Rate Uncertainty on Trade Flows: Evidence from Commodity Trade between the United States and the United Kingdom

Previous studies that investigated the impact of exchange rate volatility on the trade flows employed aggregate trade data and standard estimation techniques. They provided mixed results. In this paper we use disaggregated import and export data for 177 commodities traded between the United States and the United Kingdom to investigate whether volatility of the real bilateral dollar–pound exchange rate has any detrimental effect on trade flows at the commodity level. Additionally, we employ the bounds testing approach to cointegration and error‐correction modelling that is suitable for the models used mostly because it does not require pre‐unit‐root testing and variables in the model could be stationary, non‐stationary or a combination of the two. In most trade flow models estimated, we found a negative effect of exchange rate volatility on commodity trade.     

Dimensions of Luxury Brand Personality: Scale Development and Validation

Both the marketing industry and academia have been paying more attention to the growth and potential of the luxury market. This research developed a theoretical framework for understanding the dimensions of luxury brand personality and a reliable and valid scale that measures these dimensions. When 30 luxury brands, ranging from fashion to automobile and retail, were assessed on a set of diverse personality attributes, six dimensions representing luxury brand personality were identified: Excitement, Sincerity, Sophistication, Professionalism, Attractiveness, and Materialism. Findings indicate that while three dimensions, Sincerity, Excitement, and Sophistication, share similar qualities with those identified in Aaker's (1997) scale for general brand personality, the other three dimensions, Professionalism, Attractiveness, and Materialism, reflect meanings unique and specific to luxury brands. Altogether, the results of this research hold the notion that luxury brands serving as consumption symbols provide both utilitarian benefits and symbolic meanings to contemporary consumers.