A modified static hedging method for continuous barrier options

This study modifies the static replication approach of Derman, E., Ergener, D., and Kani, I. (1995, DEK) to hedge continuous barrier options under the Black, F. and Scholes, M. (1973) model. In the DEK method, the value of the static replication portfolio, consisting of standard options with varying maturities, matches the zero value of the barrier option at n evenly spaced time points when the stock price equals the barrier. In contrast, our modified DEK method constructs a portfolio of standard options and binary options with varying maturities to match not only the zero value but also zero theta on the barrier. Our numerical results indicate that the modified DEK approach improves performance of static hedges significantly for an up‐and‐out call option under the BS model even if the bid–ask spreads are considered. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

A Systematic Study of Change Management During CMMI Implementation: A Modified Activity Theory Perspective

This study proposed a modified activity theory framework, complemented by a dynamic time axis, to analyze each organizational change stage of a two‐phase capability maturity model integration (CMMI) maturity level adoption case. The study revealed the following results: At the planning stage, the involvement of senior executives determined the positive attitude toward change. At the getting started stage, employees' clear recognition of change objectives determined the change effectiveness. At the letting go stage, department heads got involved, understood, and provided both support and mediating activities to achieve the actual benefits. At the completion stage, performance was used as a measurement tool to help internalize the change into new capabilities.     

On the rate of convergence of binomial Greeks

This study investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth price convergence models in the literature, including the binomial Black–Scholes (BBS) model of Broadie M and Detemple J ( 1996 ), the flexible binomial model (FB) of Tian YS ( 1999 ), the smoothed payoff (SPF) approach of Heston S and Zhou G ( 2000 ), the GCRR‐XPC models of Chung SL and Shih PT ( 2007 ), the modified FB‐XPC model, and the modified GCRR‐FT model. We prove that the rate of convergence of the CRR model for computing deltas and gammas is of order O(1/n), with a quadratic error term relating to the position of the final nodes around the strike price. Moreover, most smooth price convergence models generate deltas and gammas with monotonic and smooth convergence with order O(1/n). Thus, one can apply an extrapolation formula to enhance their accuracy. The numerical results show that placing the strike price at the center of the tree seems to enhance the accuracy substantially. Among all the binomial models considered in this study, the FB‐XPC and the GCRR‐XPC model with a two‐point extrapolation are the most efficient methods to compute Greeks. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

An Empirical Examination of the Role of Trust in Consumer and Supplier Relationship of Little Direct Contact: A Structural Equation Modeling Approach

In view of the growing interest in consumer trust, this article examines the determinants and consequence of trust in the relationship between business and consumers with little direct contact. By using structural equation modelling, a framework of consumer trust was developed, and the effect of trust and its determinants was assessed. The findings suggest that provision of trust information, integrity, and benevolence are crucial in building up trust, whereas competence affects trust building indirectly through the provision of trust information. Consumer trust was confirmed to have a positive effect on the consumer's intention for future purchase. Within the limitations of the study, the implications of these results are discussed and further research is suggested.     

The Effects of Audience Knowledge on Message Processing of Editorial Content

Marketing communications practitioners of modern enterprises recognize that creating mediated messages to audiences is a strategic communication to be leveraged, not simply managed. This study investigates how audiences' knowledge structures affect their message processing of editorial content. A set of laboratory experiments finds support for the proposed hypotheses in the domain of subjective and objective knowledge and message processing of editorial content. While audiences' objective knowledge determines how much elaboration they actually are able to perform, their subjective knowledge facilitates general thoughts. Audiences' knowledge structures direct how they process received messages while objective knowledge rather than subjective knowledge predicts audiences' conation; high levels of objective knowledge have a detrimental impact on audiences' purchase intents.     

Making Reservations Online: The Impact of Consumer-Written and System-Aggregated User-Generated Content (UGC) in Travel Booking Websites on Consumers’ Behavioral Intentions

This study examines how consumer-written and system-aggregated user-generated content (UGC) on travel booking websites jointly influence consumer behavior. The purpose of this research is to test the effects of different types of UGC on various consumer behavior outcomes. Experiment 1 found a significant interaction effect between UGC type (consumer-written versus system-aggregated) and valence (positive versus negative) on product evaluation, perceived information value, and satisfaction. Experiment 2 found a significant interaction between consumer-written and system-aggregated UGC valences. When consumer-written UGC was negative, consumers demonstrated more negative product evaluation and lower buying intention, regardless of system-aggregated UGC valence. When consumer-written and system-aggregated UGC valences matched, consumers indicated greater perceived information value, satisfaction, and future behavioral intention. Trustworthiness partially mediated the effect of the fit between consumer-written and system-aggregated UGC on consumer satisfaction.     

Integrative effects of firms' price and endorsement strategies on consumers' loyalty intention

This research examines the effects of price and brand endorsement that are adopted by firms from a consumer-based viewpoint, and provides practical brand management discussions as a reference for both manufacturer brands and retail store brands. According to the findings, manufacturer brands support high prices and boost those vivid impressions which are helpful in engendering consumer loyalty intention. Without a careful evaluation process, a brand-endorsing strategy may prove detrimental to the manufacturer. Retail store brands follow distinct pricing policies and carry out brand-endorsed strategies. Price/endorsement stimuli influence consumer brand loyalty through the partial mediating effect of brand impression. Manufacturers and retailers could define appropriate price premiums on products with a potential for a manufacturer–retailer brand co-branding as identified by market research, thus increasing the sales of both.     

Maternal labour supply and childhood obesity in Canada: evidence from the NLSCY

Abstract.  This paper investigates the socioeconomic factors affecting childhood overweight and obesity in Canada using data from the National Longitudinal Survey of Children and Youth. In particular, I attempt to address the issue of whether an increase in the mother's work intensity is associated with an increase in the risk of the child's becoming overweight or obese. I also attempt to evaluate the causality of this relationship and the mechanisms that might facilitate this link. The results suggest that an increase in the mother's work intensity when she first returned to work in the period after the child's birth and before the child started school is associated with an increase in the risk of the child's becoming overweight or obese later in childhood. Conditional on the mother returning to work in the period between the child's birth and the start of school for the child, a 10-hour increase in the number of hours worked per week when the mother first returned to work is associated with an increase in the probability that the child later becomes overweight or obese that is in the range of 2.5 to 4 percentage points.