introduction: risk is an essential component in the production and sale of agricultural products. due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of prices. on the other hand, the firms that process agricultural products also face fluctuation of price of agricultural inputs. given that the can...

We consider the fair valuation of a participating life insurance policy with surrender options when the market values of the asset are modelled by Markov-modulated Geometric Brownian Motion (GBM). We reduce the dimension of the optimal stopping problem for the policy by changing probability measures. We also provide a decomposition result for the value of the policy. The Barone-Adesi-Whaley app...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. In equilibrium, the efficiency of asset prices is linked to the efficiency of the asset management market: (1) if investors can find managers more easily then more money is allocated to active management, fees are lower, and asset pri...

We develop a flexible simulation-based optimization (SBO) method for the construction of optimal portfolios including hedge funds and other types of alternative investments. This method takes into account the skew and kurtosis of asset returns, the time series structure of asset returns, and the asymmetric nature of investor preferences for gains versus losses. Johnson (1949) translation is use...

The online retail sales are expected to reach $191 billion in 2011 from a meager $36 billion in 2001 (Schonfeld 2010). Different business models have emerged with numerous pure-play online players (e.g., Amazon.com) competing with dual-channel (i.e., brick-and-mortar and online channel) firms (e.g., Best Buy and Wal-Mart). Online channel can reduce search costs of buyers (Bakos 1991) and provid...

This paper aims to highlight the relevance of quality management in well-being a firm and its influence on market valuation. The study which is based Indian Pharmaceutical Industry, measures employs Management directorship, together with Return Capital Employed (ROCE), assess valuation efficiency assets employed. forty companies that are listed Bombay Stock Exchange, for period 12 years from fi...

In this paper we examine the structure of American option valuation problems and derive the analytic valuation formulas under general underlying security price processes by an alternative but intuitive method. For alternative diffusion processes, we derive closed-form analytic valuation formulas and analyze the implications of asset price dynamics on the early exercise premiums of American opti...

The present context of the electric industry, characterized by competitive markets, privatization, and regulatory of technical requirements forces the power utilities to optimize their asset management practices and develop the requisite decision plans techno-economically. Practically approaching, this paper devises a new support tool based on a multiattribute decision making (MADM) framework i...