Asymptotic and exact pricing of options on variance

We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of the underlying log-price. Here, we characterize the small-time limits of options on both objects. We find that the difference between them strongly depends on whether or not the stock price process has jumps. Subsequently, we propose two new methods to evaluate the prices of options on the discretely sampled realized variance. One of the methods is approximative; it is based on correcting prices of options on quadratic variation by our asymptotic results. The other method is exact; it uses a novel randomization approach and applies Fourier?CLaplace techniques. We compare the methods and illustrate our results by some numerical examples.     

Expatriate career support: predicting expatriate turnover and performance

This study aimed at explaining why multinational companies have difficulty retaining their repatriates as well as how multinational companies can improve in- and expatriate performance. In the study 100 in- and expatriates of a multinational company operating in the food and personal care industry reported the career support they experienced, their perceived career prospects within and outside the home organization, their intentions to leave, and their performance. As predicted, it was found that perceived career support negatively related to intentions to leave. Additionally, it was found that perceived career support positively related to perceived career prospects within the home organization and expatriate performance. Interestingly, no relationship was found between perceived career prospects outside the home organization and intentions to leave. Implications and directions for future research and HR practices in multinational companies are discussed.     

The power of apology

How should firms react to customer complaints after an unsatisfactory purchase? In a field experiment, we test the effect of different reactions and find that a cheap-talk apology yields significantly better outcomes for the firm than offering a monetary compensation.     

» Performance ist das beste Rezept für Loyalität «

Spitzenleistungen im Marketing gelingen dann am besten, wenn Unternehmen nicht nur strategisch gut aufgestellt sind, sondern auch taktisch agieren und schnell auf Ideen reagieren k?nnen. Entscheidend ist auch die konsequente Ausrichtung an den Kundenbedürfnissen. Dem Technologieführer für H?rger?te Phonak ist es gelungen, seine Leadership in einen klaren und wahrnehmbaren Kundennutzen zu verwandeln. Alexander Zschokke, Vice President Marketing in der Sonova Gruppe, beschreibt, was Phonak im Marketing besser macht als andere.     

Risk-adjusted value allocation for (non-traded) assets with performance ratios

We propose a new valuation principle for possibly non-traded assets based on an implicit definition of a benchmark. The valuation principle allows taking (default and shortfall) risk constraints explicitly into account. The resulting risk-adjusted value functional is monotonic, positively homogeneous, partially concave and allows for an additive allocation of risk-adjusted values of non-traded assets in a portfolio. The valuation principle is applied to the problem of hedging and pricing in incomplete markets. Furthermore, accounting for non-traded assets is considered and we derive a risk-adjusted balance sheet for non-deterministic cash streams.     

Is success hereditary? Evidence on the performance of spawned ventures

A common phenomenon in entrepreneurship is that employees turn away from employment to found their own businesses. Prior literature discusses the former employers’ characteristics that influence the creation of entrepreneurial ventures. An investigation of whether these characteristics also affect the success of the spawned ventures is missing so far. This paper contributes to the literature by showing that entrepreneurial ventures spawned by well performing firms are financially more successful than ventures stemming from poorly performing firms. This suggests that spawned entrepreneurs are able to exploit valuable knowledge from their previous employers which impacts their ventures’ performance positively. The analysis is based on a linked employee–employer data set for the Netherlands for the period 1999–2004.     

Product involvement in do-it-yourself maintenance injury

Abstract

PROBLEM Numerous activities to promote bicycle safety have been implemented in Norway. The overall effect of these activities has not been evaluated.

method Information about cases of bicycle-related injuries occurring in 1990-1993 was obtained from prospective registration of all injuries treated by hospitals and emergency clinics in four urban centers in NORWAY. Incidence was calculated per number of cyclists, based on data obtained from the 1992 National Bicycle Survey. Temporal changes in injury severity and in age-specific incidence (per bicycle riders) of all injuries, upper-head injuries, other injuries, injuries due to bicycle-motor vehicle collision, and injuries leading to inpatient treatment were analyzed by logistic regression analysis.

RESULTS 3,893 injuries occurred in the study population in 1990-1993. The average annual incidence was 33.1 per 10,000 population aged 4 years and higher, or 47.9 per 10,000 bicyclists. No significant secular trends were found for any of the analyzed parameters.

CONCLUSIONS Bicycle safety promotion measures implemented during 1990-1993 did not significantly reduce the risk of bicycle-related injury in Norway. Effective bicycle safety programs should be implemented, based on the positive experiences from other countries. Injury surveillance systems appear to be a useful tool for evaluating injury prevention programs.     

Corporate giving in the Netherlands 1995-2003: exploring the amounts involved and the motivations for donating

• Corporate giving as an expression of corporate social responsibility (CSR) has been researched less than the more general theme of CSR. In addition, much of the research in this area focuses on countries with an Anglo cultural tradition.
• The study outlined in this paper offers a comprehensive longitudinal study of corporate giving in the Netherlands. An overview is provided of corporate giving in the Netherlands in the period from 1995 till 2003.
• The data are gathered by means of a biennial survey of Dutch companies as part of the ‘Giving in the Netherlands’ project. Based on these findings, recent developments in corporate giving can be sketched out.
• Moreover, literature on motives for corporate giving behavior is focused upon and applied in exploring Dutch managers' motivations for offering donations. Nonprofit organizations could use this knowledge to increase the efficiency of their fund raising.

Copyright © 2006 John Wiley & Sons, Ltd.