In this paper, the valuation of stock and index options is analyzed in the context of Merton's model of capital market equilibrium with incomplete information. It is possible to derive a partial differential equation for options in such a context. The derivation gives more understanding of the way an option's future payoff is discounted to the present. In order to estimate some of its parameters, the model is calibrated to market prices. It is tested using market prices and the authors' valuation formula. It is found that model prices are not significantly different from market prices, especially when out-of-the-money and deep-in-the-money options are considered. The model gives an explanation to the “strike bias” and the “smile effect.” Simulations of models based respectively on stochastic volatilities and gamma processes, are in accordance with the findings in this paper concerning biases in the Black and Scholes model, especially for pricing deep-in-the-money and out-of-the-money options. Even if the estimation method has its drawbacks, the costs of gathering and processing information regarding the option and its underlying asset play a central role in explaining the biases observed in the Black and Scholes model and help also the understanding of the U-shaped curve known as the smile of volatilities. 相似文献
ABSTRACTReward gap is the difference in the number and nature of rewards allocated to specific customer groups (or tiers) in a hierarchical loyalty programme. Building on the social comparison, equity and attribution theories, and two experiments conducted in a retailing context, we investigate the effect of reward gap size and visibility on both bottom-tier (BT) and top-tier (TT) customers. Findings from Study 1 show that a large reward gap reduces loyalty to the programme in BT customers, while it enhances it in TT customers. These effects are mediated by perceived fairness and perceived control. Findings from Study 2 show that a non-visible large reward gap increases loyalty to the programme in BT customers without affecting it in TT customers. This effect is mediated only by perceived fairness. Altogether, the findings highlight the mechanisms that explain the effect of the reward gap on BT and TT customers’ loyalty to the programme. 相似文献
Background and objective Venous thromboembolism (VTE) is associated with long-term clinical and economic burden. Clinical guidelines generally recommend at least 3 months of anticoagulation, but, in clinical practice, concerns over bleeding risk often limit extended treatment. Apixaban was studied for extended VTE treatment in the AMPLIFY-EXT trial, demonstrating superiority to placebo in VTE reduction without increasing risk of major bleeding. This study assessed the long-term clinical and economic benefits of extending treatment with apixaban when clinical equipoise exists compared to standard of care with enoxaparin/warfarin and other novel oral anti-coagulants (NOACs) for the treatment and prevention of recurrent VTE in Canada.Methods A Markov model was developed to follow patients with VTE over their lifetimes. Efficacy and safety for apixaban and enoxaparin/warfarin were based on AMPLIFY and AMPLIFY-EXT, while relative efficacy to other NOACs was synthesized by network meta-analysis (NMA). Dosages for NOACs and enoxaparin/warfarin were based on their respective trials and were given up to 18 months and up to 6 months, followed by no treatment, respectively. Patient quality adjusted life years (QALYs) were based on published studies, and costs for resource utilization were from a Ministry of Health perspective, expressed as 2014 CAD ($).Results Extended treatment with apixaban compared to enoxaparin/warfarin resulted in fewer recurrent VTEs, VTE-related deaths, and bleeding events, but at slightly increased cost. The incremental cost-effectiveness ratio was $4828 per QALY gained. Compared to other NOACs, apixaban had the fewest bleeding events, similar recurrent VTE events, and the lowest overall cost, which was driven by the strong bleeding profile. In scenario analyses of acute and lifetime treatments, apixaban was cost-effective against all strategies.Conclusions Extended treatment with apixaban can offer substantial clinical benefits and is a cost-effective alternative to enoxaparin/warfarin and other NOACs. 相似文献
This article contributes to the existent literature on corporate debt maturity by studying a new channel through which firms may mitigate the effects of a major economic downturn such as the 2008 global financial crisis. More specifically, using a sample of 208 listed firms in the Gulf Cooperation Council (GCC) region, we find that an increase in firms’ current ratios after the crisis is associated with an increase in long-term financing. We also find that a financially constrained firm can still access long-term financing if its current ratio after the crisis is beyond a specific threshold. Additionally, we highlight the differences in the typical drivers of debt structure between GCC countries and industries. 相似文献
Aims: Non-vitamin K antagonist oral anticoagulants (NOACs) and vitamin K antagonists (VKAs) are used to prevent stroke in patients with atrial fibrillation (AF). This paper aimed to evaluate the clinical efficacy and safety of NOACs when compared to VKAs by calculating the number needed to treat (NNT) at 2 years using incidence rates and hazard ratios (HRs) derived from a meta-analysis of studies conducted in real-world settings.
Materials and methods: HRs were sourced from a published systematic literature review and a meta-analysis of real-world evidence on the use of NOACs vs VKAs. Rivaroxaban, dabigatran, and apixaban vs VKAs were investigated. The efficacy outcomes included: a composite of ischaemic stroke and systemic embolism (IS/SE), ischaemic stroke (IS), and all-cause mortality. The safety analysis assessed major bleeding and intracranial haemorrhage (ICH).
Results: Superiority of NOACs vs VKAs was observed in 10/15 comparisons. Treating patients with rivaroxaban and dabigatran was associated with a reduced risk of IS and all-cause mortality compared to VKAs, with one death prevented every 22 and 32 patients, respectively, and one IS prevented every 206 and 166 patients, respectively. Rivaroxaban was significantly associated with a reduced risk of IS/SE compared to VKA (NNT: 107). No significant differences were observed between apixaban and VKAs. Dabigatran and apixaban were associated with a reduced risk of major bleeding compared to VKA (NNT: 59 and 38, respectively). No significant difference was observed between rivaroxaban and VKAs regarding major bleeding. Rivaroxaban, dabigatran, and apixaban were significantly associated with a reduced risk of ICH (NNT: 205, 115, and 108, respectively).
Limitations: Heterogeneity in definitions of major bleeding across studies.
Conclusions: The NNT calculation, when approached and interpreted properly, is a practical measure of the effectiveness of a treatment. The calculation based on HRs showed that NOACs are safe and effective alternatives to VKAs in real life. 相似文献
This paper investigates how tariff liberalization has affected exporting at the product‐destination level in emerging countries. We use a highly disaggregated (six‐digit level of the harmonized system—HS—classification) bilateral measure of market access to compare tariffs applied in 1996 and 2006, which includes the timing of the Uruguay Round and episodes of bilateral liberalization. Our econometric estimations consider impacts of tariff cuts on three components of the trade margins: extensive margin of entry (new trade relationships at the product‐destination level), extensive margin of exit (disappearance of existing relationships) and intensive margin of trade (deepening existing relationships). Our main estimates indicate that a reduction of bilateral applied tariffs of 1 percentage point increases the extensive margin of entry by 0.1% and the intensive one by 2.09%, while it reduces the extensive margin of exit by 0.25%. 相似文献
This study investigates the effect of competitive advertising within store flyers on both manufacturers and retailers. Prior research implies that competitive advertising may be detrimental for manufacturers and beneficial for retailers. Findings from an intersubject experiment that uses various familiar and unfamiliar competing brands confirm that store flyers’ competitive advertising improves consumers’ perceptions of the variety of the retailer’s assortment, which has a positive impact on intentions to visit the store and buy. However, increasing the number of competing brands does not harm manufacturers; rather, it enhances recognition of brands, especially for well-known brands. This article concludes with a discussion of the theoretical and managerial implications of these findings for the design of store flyers. 相似文献
International trade can affect the environment in different ways. This may justify the introduction of border measures by the importing countries. In addition to various dispositions in the GATT, GATS, TRIPs agreements, as well as in the Agreement on Agriculture, this issue is regulated by the agreements on Technical Barriers to Trade (TBT) and on the application of Sanitary and Phyto‐sanitary standards (SPS). Despite these rules, abuse of environmental arguments for protectionist reasons remains an open issue. In order to disentangle protectionism from dispositions justified on the grounds of true environmental concerns, we systematically review notifications of SPS and TBTs by importing countries at the tariff line level. Trade is considered as being potentially affected when an environmental SPS/TBT is notified on grounds of environmental concerns. Affected trade is defined as imports by countries notifying such barriers. Protectionist use of environmental barriers is likely when only a limited number of countries impose an environmental obstacle on the imports of a given product. Considering data for 2001, we find that 88 per cent of the value of world trade is in products potentially affected by such measures, while 39 per cent of the value of world imports is potentially subject to a protectionist use of such measures. Agriculture, the automobile industry, the pharmaceutical industry and many other sectors are concerned. 相似文献