Pricing Options on an Asset with Bernoulli Jump-Diffusion Returns

The price movements of certain assets can be modeled by stochastic processes that combine continuous diffusion with discrete jumps. This paper compares values of options on assets with no jumps, jumps of fixed size, and jumps drawn from a lognormal distribution. It is shown that not only the magnitude but also the direction of the mispricing of the Black-Scholes model relative to jump models can vary with the distribution family of the jump component. This paper also discusses a methodology for the numerical valuation, via a backward induction algorithm, of American options on a jump-diffusion asset whose early exercise may be profitable. These cannot, in general, be accurately priced using analytic models. The procedure has the further advantage of being easily adaptable to nonanalytic, empirical distributions of period returns and to nonstationarity in the underlying diffusion process.     

Rates of Return to Schooling in China

This study uses data from a 1988 survey of Chinese individuals to estimate rates of return to schooling in China. The Mincer-type rate of return to schooling was estimated at 4.02 percent in the rural areas and 3.29 percent in the urban areas; these are fairly low estimates compared with similar estimates in other countries. The rate of return to schooling for females was significantly higher than that for males in urban areas. In addition, members of the Communist Party in urban areas had significantly lower returns to schooling compared with non-members.     

Economic relations between the EU and East Asia: Past, present and future

Present economic linkages between the European Union and East Asia are relatively underdeveloped despite the fact that a number of EU member states have deep historical associations within the region. It is imperative that EU business engages itself more intensively in East Asia if Europe is not to become marginalised in an emergent “Pacific century”. *** DIRECT SUPPORT *** A02GP109 00002     

The Proactive Corporation: Its Nature and Causes

We argue that the stakeholder perspective on corporate social responsibility is in the process of being enlarged. Due to the process of institutional isomorphism, corporations are increasingly adopting organizational features designed to promote proactivity over mere reactivity in their stakeholder relationships. We identify two sources of pressure promoting the emergence of the proactive corporation -- stakeholder activism and the recognition of the social embeddedness of the economy. The final section describes four organizational design dimensions being installed by the more proactive corporations today -- cooperation, participation, negotiation, and direct anticipation.     

The Why's of Business Revisited

One can determine the nature of something by asking what it is for. For example one understands what a chair is when one understands it is for sitting on. This involves understanding its purpose. One type of corporation is the for-profit-corporation. This seems to indicate that this type of corporation, the business corporation, has as its purpose to make a profit. Is that as obvious as it first appears? The favorite way for philosophers to arrive at the "purpose" of anything is to ask the question "Why?" But there are at least two answers to the question "Why"? when addressed to a social practice such as business. One might be asking for a psychological account (explanation) of "Why" a person does business, and this is primarily answered by discovering the motives behind business activity; or one might be asking for a justificatory reason (justification) for the practice – what purpose legitimates business as a human activity. These two answers are often conflated and thus the purpose of business is often considered to be answered by giving the psychological account of the self-interested profit-making motive. This paper will attempt to highlight the importance of making the distinction between motive and purpose clearly, show what confusions arise when the distinction is ignored, and hint at some of the structural philosophical reasons why the distinction got blurred in the first place.