Hedging of Asian options under exponential Lévy models: computation and performance

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and delta–gamma hedges in an incomplete market; particular attention is paid to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in the hedging portfolio for the reduction of this risk.     

Association Between Discretionary Accruals and Audit Fees and the Role of the Size of the Audit Firm: European Evidence

International Advances in Economic Research - This study seeks to contribute to the analysis of discretionary accruals and audit fees in two pairs of European countries, Germany and France, and...     

Railway transport liberalization in the European Union: Freight,labor and health toward the year 2020 in Spain

The year 2010 is a key year for European railway transport as it marks the liberalization of the railway sector in a context of economic crisis. The railway sector is a driving force behind the economy of any country. In the case of Spain, in particular, the sector is undergoing a process of liberalization following large public investments that have provided the country with one of the most extensive high-speed railway networks in Europe. Using a methodological approach that seeks a balance between future studies and constructivist studies on the interaction between technology and society, we examine the present and future consequences of railway transport liberalization, in the case-study of Spain, focusing on a key aspect of the process: changes in occupational health and safety conditions in a sector that must ensure full passenger, worker and freight safety. Through a comparison of actual risks, perceived risks and foreseeable risks, we analyze the main shortcomings of the liberalization model that is currently being implemented and strategies for dealing with foreseeable risks in a scenario of change.     

An improved convolution algorithm for discretely sampled Asian options

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow [Risk, 1990, 3(4), 25–29], Benhamou [J. Comput. Finance, 2002, 6(1), 49–68], and Fusai and Meucci [J. Bank. Finance, 2008, 32(10), 2076–2088], and, if we restrict our attention only to log-normally distributed returns, also Ve?e? [Risk, 2002, 15(6), 113–116]. While the existing convolution algorithms compute the density of the underlying state variable by moving forward on a suitably defined state space grid, our new algorithm uses backward price convolution, which resembles classical lattice pricing algorithms. For the first time in the literature we provide an analytical upper bound for the pricing error caused by the truncation of the state space grid and by the curtailment of the integration range. We highlight the benefits of the new scheme and benchmark its performance against existing finite difference, Monte Carlo, and forward density convolution algorithms.