منابع مشابه
Sticky Prices and Costly Credit∗
This paper has two related goals: (i) construct a model where money and credit coexist; (ii) pursue in this setting a theory of endogenous sticky prices that can be taken to the data. Search frictions generate price dispersion, and lead to monetary equilibria where profit-maximizing sellers set nominal prices they sometimes keep fixed when aggregate conditions change. Buyers can use cash or cre...
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In this paper, I develop an option-pricing model that formally incorporates a disclosure event. The model suggests that an understanding of a firm’s disclosure policies can aid in effi ciently pricing its options. The reason is that these policies impact the distributions of jumps in the firm’s equity price, which affect the expected payoff to the firm’s options. Specifically, I find that 1) mo...
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We consider auction environments where bidders must incur a cost to learn their valuations. The seller chooses a mechanism which indicates for each period, as a function of the bids in previous periods, which new potential buyers should be asked to bid; it must also induce buyers both to acquire and to reveal truthfully their valuations. We prove a very general “full extraction of the surplus” ...
متن کاملCostly Interpretation of Asset Prices
We propose a model in which investors cannot costlessly process information from asset prices. At the trading stage, investors are boundedly rational and their interpretation of prices injects noise into the price system, which serves as a source of endogenous noise trading. Compared to the standard rational expectations equilibrium, our setup features price momentum and yields higher return vo...
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In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2909473