In this paper we provide valuation formulas for several types of American options on two or more assets. Our contribution is twofold. First, we characterize the optimal exercise regions and provide valuation formulas for a number of American option contracts on multiple underlying assets with convex payoff functions. Examples include options on the maximum of two assets, dual strike options, sp...

We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to life–insurance products and can be considered as alternatives to a direct investment in the underlying benchmark portfolio. In particular, the effects of modelling a roll–over savings pla...

Many companies rely increasingly on licensed standard software for system software and applications. Beside the regulation of the usage conditions the software licensing agreements incrementally include charged services, such as software upgrades and user training, as a part of the contract or optional with a fee, which can be drawn by the licensee during the term of the contract at a reduced p...

This paper analyses the optimal wage contract when firms face demand uncertainty and workers care about employment stability. Workers choose the firm that offers the highest utility taking into account the future lay-off probabilities; firms choose the wage contract that maximises the residual share of the gains from production. For risk-neutral workers this occurs with any efficient wage contr...

Veterinarians can serve some of their more progressive commercial cow-calf clients by introducing them to the option of becoming an embryo transfer (ET) contract recipient herd. Contract recipient herds receive embryos from owners of purebred herds, have those embryos transferred to their synchronous recipient cows, calve and raise those ET calves to weaning when they are sold back to the embry...

Linear and quadratic discriminant analysis are considered in the small sample high-dimensional setting. Alternatives to the usual maximum likelihood (plug-in) estimates for the covariance matrices are proposed. These alternatives are characterized by two parameters, the values of which are customized to individual situations by jointly minimizing a sample based estimate of future misclassificat...

Options are an important tool in financial markets for managing and transmitting risk, while also providing investors with the opportunity to earn returns. This paper first introduces basic concepts characteristics of options, including definition option, buyer seller, strike price, expiration date. Next, differences between European American Asian Brazilian options discussed. Then, development...

Although stock options are commonly observed in chief executive officer (CEO) compensation contracts, there is theoretical controversy about whether stock options are part of the optimal contract. Using a sample of Fortune 500 companies, we solve an agency model calibrated to the company-specific data and we find that stock options are almost always part of the optimal contract. This result is ...

T complexity and scope of outsourced information technology (IT) demands relationship-specific investments from vendors, which, when combined with contract incompleteness, may result in underinvestment and inefficient bargaining, referred to as the holdup problem. Using a unique data set of over 100 IT outsourcing contracts, we examine whether contract extensiveness, i.e., the extent to which f...

This paper investigates a dynamic CAPM in which investors may trade in put option contracts which are zero in net supply. In each period, stock and option prices are endogenously and simultaneously determined by market clearing in the respective markets. We investigate how these endogenously formed option prices impact on prices and portfolio allocations. The introduction of a put-option market...