Pricing continuously sampled Asian options with perturbation method

This article explores the price of continuously sampled Asian options. For geometric Asian options, we present pricing formulas for both backward‐starting and forward‐starting cases. For arithmetic Asian options, we demonstrate that the governing partial differential equation (PDE) cannot be transformed into a heat equation with constant coefficients; therefore, these options do not have a closed‐form solution of the Black–Scholes type, that is, the solution is not given in terms of the cumulative normal distribution function. We then solve the PDE with a perturbation method and obtain an analytical solution in a series form. Numerical results show that as compared with Zhang's ( 2001 ) highly accurate numerical results, the series converges very quickly and gives a good approximate value that is more accurate than any other approximate method in the literature, at least for the options tested in this article. Graphical results determine that the solution converges globally very quickly especially near the origin, which is the area in which most of the traded Asian options fall. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:535–560, 2003     

B‐TO‐B E‐COMMERCE: A CONTENT ANALYTICAL ASSESSMENT OF MOTOR CARRIER WEBSITES

An Internet presence is a critical early component in the process of building towards a fully operational and unified e‐commerce strategy. E‐commerce has significantly impacted logistics/supply chain strategies and the development and implementation of a website have become key issues for many firms within the transportation industry. This study provides an overview of website content within the motor carrier industry. Content analysis was used to assess the site design, informational content, and the interactive content of 152 motor carrier websites, and to compare the features offered on the Top 100 motor carrier firm websites with those offered on the sites of smaller carrier firms.     

Does brand name imprinting in memory increase brand information retention?

This article introduces and explores the concept of brand name imprinting. Brand name imprinting is the process of creating and strengthening the brand name node in the brand memory network through brand name exposure. Brand name imprinting at a time prior to the presentation of specific brand information is posited to improve the retention of that information by strengthening the association between the brand name and brand information. The effect is proposed to be automatic and independent of other known means to strengthen memory associations (e.g., level of attention, cognitive elaboration, stimuli vividness, and stimuli distinctiveness). This research also proposes that brand names with neutral meaning better facilitate the imprinting effect, because they do not carry perceptual baggage that can interfere with the creation of new brand name–information associations. An experiment involving brand name imprinting and the learning of brand information supports these assertions. Implications for communication strategy and brand name selection are discussed. © 2003 Wiley Periodicals, Inc.     

The impact of skewness in the hedging decision

The impact of skewness in the hedger's objective function is tested using a model of hedging derived from a third‐order Taylor Series approximation of expected utility. To determine the effect of price skewness upon hedging and speculation, analytical results are derived using an example of cotton storage. Findings suggest that when forward risk premiums and price skewness in the spot asset have opposite signs, speculation increases relative to the mean‐variance model. When the signs are identical, speculation will decrease, contradicting findings of mean‐variance models. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:503–520, 2006     

Position limits for cash‐settled derivative contracts

Cash settlement of derivative contracts makes them susceptible to manipulation by traders who expect to close large positions upon final settlement. Cash settlement also increases underlying volatility when hedgers unwind their hedges if they have no incentives to control their trading costs. Limits on the positions that traders can carry into final settlement can be used to mitigate associated economic inefficiencies when surveillance is insufficient. This article develops a model that regulators can use to set these limits that is based upon microstructure theory. The empirical findings indicate that existing position limits are largely inconsistent with those suggested by the model. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:945–965, 2005     

The structural and economic implications of urbanization

"This study surveys the policy issues associated with urbanization following the abolition of the pass laws [in South Africa]. The demographic background is briefly sketched. Using neo-classical analysis as a starting point, particular attention is paid to the present inefficiencies of city form associated with segregation. It is argued that current planning procedures are in danger of perpetuating or even worsening the situation. Obstacles to employment generation are considered and transport, local government and housing issues are discussed. On every front, urbanization policy is unstable and, even in the short term, there will be pressures to change it."     

Health and development∗

The linkage between development and health is clearly spelt out in the definition of primary health care by the World Health Organisation. There is a widespread and growing disillusionment with the traditional Western approach to health care which fails to meet the real demands of the Third World situation.

This paper looks briefly at conditions in the developing world and the strategy proposed by the W H O to attempt to meet the objective of health for all by the year 2000 and refers to the South African situation.     

Income distribution,economic structure and employment in South Africa

This paper discusses the impact of a redistribution of current income from the White to the Black population on the distribution of sectoral output, and total employment by means of a semi‐closed input‐output model.

The results show that a redistribution of current income towards Black households — which no doubt will have positive social and political repercussions — has a non‐negative effect on GDP and a definite positive effect on the performance of sectors with a high private consumption expenditure component, as well as on total employment.