We compute the limiting hedging error of the Leland strategy for the approximate pricing of the European call option in a
market with transactions costs. It is not equal to zero in the case when the level of transactions costs is a constant, in
contradiction with the claim in Leland (1985). 相似文献
The economic life (EL) method of asset replacement is analyzed under improving technology that impacts the maintenance cost, new asset cost, and salvage value. In particular, we prove that the asset EL is constant when all these costs decrease with the same rate. If these costs decrease geometrically, then the EL method with a corrected capital recovery factor calculates the optimal asset lifetime over the infinite horizon for arbitrary age-dependent deterioration and salvage value. In a general case, the EL method delivers an optimal replacement decision when the relative rate of technological change is less than 1%. For larger rates, we recommend to minimize the annual cost over two future replacement cycles, which was earlier proposed and implemented by Christer and Scarf, Journal of the Operational Research Society 45, 1994. 相似文献
ABSTRACT This article studies the application of fuzzy logic to the risk analysis of a new software product development and marketing in specific case of a small size IT company. Identification and analysis of external and internal risk factors show that this type of business activity could be evaluated as high-risk enterprise. So, the purpose of the paper is to develop robust method to evaluate probability of occurrence of major risk events and their impact on the company financial health. The fuzzy logic is used to estimate degrees of threat of each relevant risk factor due to lack of reliable statistical data. The novelty of proposed approach is the inclusion into the model the risk event time. 相似文献
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across financial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agent-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received wisdom, interbank credit has the capacity to remove the inner limits of monetary system capacitance. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on financial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances.
A supermartingale deflator (resp. local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp. local martingales). A supermartingale numéraire (resp. local martingale numéraire) is a wealth process whose reciprocal is a supermartingale deflator (resp. local martingale deflator). It has been established in previous works that absence of arbitrage of the first kind (\(\mbox{NA}_{1}\)) is equivalent to the existence of the (unique) supermartingale numéraire, and further equivalent to the existence of a strictly positive local martingale deflator; however, under \(\mbox{NA}_{1}\), a local martingale numéraire may fail to exist. In this work, we establish that under \(\mbox{NA}_{1}\), a supermartingale numéraire under the original probability \(P\) becomes a local martingale numéraire for equivalent probabilities arbitrarily close to \(P\) in the total variation distance. 相似文献
This paper empirically analyzes inertia in the position of the dollar as the key currency. We extend a money-in-the-utility model to one with parallel international currencies. We use an extended model to estimate a parameter in the utility function. Also, given the estimated parameter, we simulate a relation between depreciation and share of the dollar. The result indicates that the share of the dollar will not decrease even if the dollar depreciates at a moderate rate. Thus the dollar will keep its position as the key currency – inertia works in the key currency. 相似文献
This note contains ramifications of results of Delbaen et al. (2002). Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show, without further assumption, that in the case of exponential utility the optimal portfolio process is a martingale with respect to each local martingale measure with finite entropy. Moreover, the optimal value always can be attained on a sequence of uniformly bounded portfolios. 相似文献
Since the 1990s, UK has been progressively adopting a governmental accounting reform purporting to interpret and mimic accounting standards and practices from the private sector. Since 2009, the UK set of accounting standards applicable to the whole of governmental entities is based upon the HM Treasury's official interpretation of the international accounting standards initially designed for commercial enterprises, the latter standards having extensively inspired the International Public Sector Accounting Standards. This article analyses some representational concerns raised by its application of a balance sheet accounting approach to the public administration, pointing to consolidation perimeter, current value measurement of assets and liabilities and the case of public–private partnerships. This theoretical analysis develops relevant implications for representation and control of public spending and borrowing in UK and in general. 相似文献