Confined exponential approximations for the valuation of American options

We provide an alternative analytic approximation for the value of an American option using a confined exponential distribution with tight upper bounds. This is an extension of the Geske and Johnson compound option approach and the Ho et al. exponential extrapolation method. Use of a perpetual American put value, and then a European put with high input volatility is suggested in order to provide a tighter upper bound for an American put price than simply the exercise price. Numerical results show that the new method not only overcomes the deficiencies in existing two-point extrapolation methods for long-term options but also further improves pricing accuracy for short-term options, which may substitute adequately for numerical solutions. As an extension, an analytic approximation is presented for a two-factor American call option.     

Linking Theory and Context: ‘Strategy Research in Emerging Economies’ after Wright et al. (2005)

Emerging economies provide a laboratory for investigating the interaction between firm strategies and local contexts. Mike Wright and colleagues have shaped this research agenda by creating legitimacy for this line of research, and by outlining how research in four types of strategy contexts can advance theories. We assess how this agenda has progressed in eight leading journals in the past decade, particularly during the five years following their review, with the aims to identify broad trends of theorizing, and to outline future research challenges. Emerging economy contexts challenge some of the assumptions of theories originally developed for markets that are relatively stable and efficient. Researchers have advanced several theoretical perspectives by addressing these challenges. Wright and colleagues focused on institutional theory as a major foundation for such work, and we find it continuing to be the most popular theoretical perspective. In addition, new perspectives have emerged, focusing on learning, relationships, real options, and spillovers as focal concepts for theorizing.     

Harsh Evaluations of Entrepreneurs Who Fail: The Role of Sexual Orientation,Use of Environmentally Friendly Technologies,and Observers' Perspective Taking

Although there is a pervasive anti‐failure bias in society, we investigate why some entrepreneurs who fail are evaluated more harshly than others. Building on attribution theory and the literatures on prejudice, pro‐social intentions, and perspective taking, we offer an evaluation model of entrepreneurial failure and test this model on 6,784 assessments made by 212 observers. We find that variance in the harshness of failure evaluations depends on both the attributes of the entrepreneur and the attributes of the observer, and the interaction between the two. Specifically, entrepreneurs who are homosexual are evaluated more harshly by some observers and entrepreneurs who use environmentally friendly technology are evaluated less harshly. Moreover, observers high in perspective taking are more ‘lenient’ in their failure evaluations of those who use environmentally friendly technology than those low in perspective taking.     

The Market Performance of Socially Responsible Investment during Periods of the Economic Cycle – Illustrated Using the Case of FTSE

The debate about socially responsible investment (SRI) portfolio performance compared with its non‐SRI counterparts remains inconclusive. This paper contributes to the debate by adding a new approach, examining the issue of a full economic circle through economic boom, recession and recovery. We compare stock performance of two value‐weighted investment portfolios: FTSE4Good (SRI portfolios) and FTSE 350 (conventional portfolios) from 2004 to 2011 including 2007 to 2009 financial crash. The results indicate the SRI portfolio performed better and recovered its value quicker in post‐crisis than the non‐SRI portfolio, indicating that SRI portfolios are more resilient to economic turmoil and market shocks. Copyright © 2015 John Wiley & Sons, Ltd.     

基于星敏感器指向的船载雷达轴系误差分离模型

针对现有船载雷达动态标校方法的不足,提出了一种基于星敏感器的船载雷达轴系误差标校方法。该方法以精确的星敏感器地平指向为比对基准,解算船载雷达的轴系误差。设计了基于星敏感器的船载雷达动态标校方案,分析了船摇测量误差对雷达测角精度的影响,推导了天线座垂向变形引起的雷达测角误差修正模型。根据测量目标的不同,分别建立了联合测星与跟踪目标时的船载雷达轴系误差分离模型。最后通过联合测星试验对轴系误差分离模型进行了验证。试验结果表明,利用动态标校成果修正后的船载雷达方位、俯仰系统残差分别为3″和9″,随机残差分别为40″和45″,满足雷达轴系误差标定要求,具有较高的实用价值。     

Combining stated and revealed choice research to simulate the neighbor effect: The case of hybrid-electric vehicles

According to intuition and theories of diffusion, consumer preferences develop along with technological change. However, most economic models designed for policy simulation unrealistically assume static preferences. To improve the behavioral realism of an energy–economy policy model, this study investigates the “neighbor effect,” where a new technology becomes more desirable as its adoption becomes more widespread in the market. We measure this effect as a change in aggregated willingness to pay under different levels of technology penetration. Focusing on hybrid-electric vehicles (HEVs), an online survey experiment collected stated preference (SP) data from 535 Canadian and 408 Californian vehicle owners under different hypothetical market conditions.Revealed preference (RP) data was collected from the same respondents by eliciting the year, make and model of recent vehicle purchases from regions with different degrees of HEV popularity: Canada with 0.17% new market share, and California with 3.0% new market share. We compare choice models estimated from RP data only with three joint SP–RP estimation techniques, each assigning a different weight to the influence of SP and RP data in coefficient estimates. Statistically, models allowing more RP influence outperform SP influenced models. However, results suggest that because the RP data in this study is afflicted by multicollinearity, techniques that allow more SP influence in the beta estimates while maintaining RP data for calibrating vehicle class constraints produce more realistic estimates of willingness to pay. Furthermore, SP influenced coefficient estimates also translate to more realistic behavioral parameters for CIMS, allowing more sensitivity to policy simulations.     

Continuous rainbow options on commodity outputs: what is the real value of switching facilities?

We develop real rainbow option models to value an operating asset with the flexibility to choose between two commodity outputs. We provide a quasi-analytical solution and a numerical lattice solution to a model with continuous switching opportunities between two commodity outputs, taking into account operating and switching costs. The models are applied to an illustrative case, demonstrating that the quasi-analytical solution and the lattice approach provide near identical results for the asset valuation and optimal switching boundaries. We find that the switching boundaries generally narrow as prices decline. In the presence of operating costs and temporary suspension, however, the thresholds diverge for low enough prices. A fertilizer plant with flexibility between selling ammonia and urea is valued in an empirical section using our real option models. Despite the high correlation between the two alternative commodities, ammonia and urea, there is significant value in the flexibility to choose between the two. Both strategic and policy implications for stakeholders in flexible assets are discussed, with some generalisations outside the fertilizer industry.     

A dynamic perspective on the impact of process innovation upon competitive strategies

The paper lays the foundation for building a dynamic theory of the impact of process innovation upon competitive strategies. An innovation is tracked over two and a half decades to observe changing patterns in competition resulting from ongoing innovation development, emerging complementary technologies, and expanding use. The study finds that the innovation created competitive opportunities and threats for both firms that adopted it and those that did not.     

提升研发产能 获取企业最大收益

杰克·韦尔奇总喜欢提醒GE的管理层,业务的目标并不复杂,而应专注于增加股东价值。推动股东价值增长的最大因素之一就是高产研发。具有高产研发能力的企业能持续推出满足或超越市场需求的新产品或服务,同时保持比竞争对手更低的研发成本,便可获得更大的利润与更高的股东价值。