Alternative methods to derive option pricing models: review and comparison

The main purposes of this paper are: (1) to review three alternative methods for deriving option pricing models (OPMs), (2) to discuss the relationship between binomial OPM and Black–Scholes OPM, (3) to compare Cox et al. method and Rendleman and Bartter method for deriving Black–Scholes OPM, (4) to discuss lognormal distribution method to derive Black–Scholes OPM, and (5) to show how the Black–Scholes model can be derived by stochastic calculus. This paper shows that the main methodologies used to derive the Black–Scholes model are: binomial distribution, lognormal distribution, and differential and integral calculus. If we assume risk neutrality, then we don’t need stochastic calculus to derive the Black–Scholes model. However, the stochastic calculus approach for deriving the Black–Scholes model is still presented in Sect. 6. In sum, this paper can help statisticians and mathematicians understand how alternative methods can be used to derive the Black–Scholes option model.     

Short‐selling pressure and last‐resort debt finance: evidence from 144A high‐yield risk‐adjusted debt

This study examines why non‐financial publicly traded firms knowingly issue wealth destroying Rule 144A debt, which is associated with a negative announcement return and a higher yield. We provide a plausible ‘demand‐side’ explanation (i.e. last‐resort debt financing) for the motivation for issuing such debt. We also provide evidence as to what drives this negative reaction. Our findings suggest that the negative market impact is mainly driven by short‐selling pressure from convertible bond arbitrageurs.     

Corporate Life Cycle and Earnings Benchmarks

We examine whether and how corporate life cycle significantly influences meeting or beating earnings benchmarks (MBE). We find that corporate life cycle plays a significant role in a firm's meeting or beating earnings benchmarks behaviour. Developing strategies that fit into the stage of corporate life cycle is crucial for corporate success. MBE is an important financial goal that requires strategies. In this study, we examine whether and how corporate life cycle significantly influences MBE. Specifically, we focus on the incentives of MBE in growth and mature firms. We find that corporate life cycle significantly influences a firm's tendency to meet or beat zero earnings, prior earnings and analysts’ earnings forecasts. Based on logit regressions for the period from 1988 to 2008, the results indicate that growth firms are more likely to meet or beat all three earnings benchmarks. Overall, the results of this study indicate that a firm's MBE behaviour should be examined in the context of its life cycle stage.     

Financial constraints,board governance standards,and corporate cash holdings

This study examines whether financial constraints and board governance play substitution roles in lowering agency concerns in corporate cash holdings. Using four firm-specific characteristics of financial constraints and 28 forward-looking board governance standards, we find that board governance mitigates agency concerns in cash holdings more significantly for financially less-constrained firms. Consistently, financially less-constrained firms increase the level of board governance and adopt more board governance standards. A natural experiment with the 2007 financial crisis provides robustness to our findings. Our evidence suggests that financial constraints interrelate with the effectiveness of board governance on corporate cash holdings.     

Comparison of Cramer–Rao lower bounds of variances for at least equal protection of respondents

In this paper, a new randomized response model is proposed, which is shown to have a Cramer–Rao lower bound of variance that is lower than the Cramer–Rao lower bound of variance suggested by Singh and Sedory at equal protection or greater protection of respondents. A new measure of protection of respondents in the setup of the efficient use of two decks of cards, because of Odumade and Singh, is also suggested. The developed Cramer–Rao lower bounds of variances are compared under different situations through exact numerical illustrations. Survey data to estimate the proportion of students who have sometimes driven a vehicle after drinking alcohol and feeling over the legal limit are collected by using the proposed randomization device and then analyzed. The proposed randomized response technique is also compared with a black box technique within the same survey. A method to determine minimum sample size in randomized response sampling based on a small pilot survey is also given.     

Line Managers’ Rationales for Professionals’ Reduced‐Load Work in Embracing and Ambivalent Organizations

This study examines line managers’ rationales regarding reduced‐load work (RLW), an emerging talent management practice allowing professionals to reduce their workload and take a pay cut, while actively remaining on a career path. Unlike flextime and telework, RLW addresses professionals’ core problems of rising work hours and workloads. Interviews with 42 managers in 20 North American employers suggested that managers were more likely to support RLW for employees whom they saw as (1) high‐performers, (2) flexible in their use of RLW, and (3) doing conducive jobs. Interviews with 20 HR experts and 24 senior executives revealed four dimensions of organizational support, two cultural (senior management support and discourse on career penalties) and two structural (adaptation of HR systems and organizational diffusion). In embracing organizations there was a higher frequency of more supportive managers than there was in ambivalent organizations. Managers’ rationales were connected to their organizational contexts, albeit loosely, suggesting managerial implementation agency. The same rationales were more likely to be used in supportive ways in embracing contexts and in less supportive ways in ambivalent contexts. This study suggests that managerial and organizational support for flexible talent management practices dovetail in nuanced and important ways. © 2015 Wiley Periodicals, Inc.     

Statistical Inference,Learning and Models in Big Data

The need for new methods to deal with big data is a common theme in most scientific fields, although its definition tends to vary with the context. Statistical ideas are an essential part of this, and as a partial response, a thematic program on statistical inference, learning and models in big data was held in 2015 in Canada, under the general direction of the Canadian Statistical Sciences Institute, with major funding from, and most activities located at, the Fields Institute for Research in Mathematical Sciences. This paper gives an overview of the topics covered, describing challenges and strategies that seem common to many different areas of application and including some examples of applications to make these challenges and strategies more concrete.     

Motivational antecedents of leader-member exchange differentiation: Evidence from South Korea

Researchers have focused on the group-level leader-member exchange (LMX) differentiation in order to develop a more comprehensive view of within-group variability of LMX. Although the group-level LMX differentiation has been thought to have significant impacts on both individual and group outcomes, we know little about what makes leaders have differential relationships with their members. Drawing on both motives theory and interpersonal interaction theory, we examined the antecedents of LMX differentiation in a sample of 94 group leaders and 553 members of design companies in South Korea. Results indicated that whereas leaders high in affiliation motives had less differential relationships, leaders high in power motives had more differential relationships. We also found that the negative relationship between leaders’ affiliation motives and LMX differentiation was stronger when members’ affiliation and power motives were higher. Theoretical and practical implications are discussed.