We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a modelindependent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a super-linearly growing payoff-function, e.g., a pow...

Starting a firm with expansive potential is an option for educated and high-skilled workers. This option serves as an insurance against unemployment caused by labor market frictions and hence increases the incentives for education. We show within a matching model that reducing the start-up costs for new firms results in higher take-up rates of education. It also leads, through a thick-market ex...

The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation) has been developed that gives the general formalism for determining the option price and the optimal trading strategy (optimal control policy) that reduces t...

The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation) has been developed that gives the general formalism for determining the option price and the optimal trading strategy (optimal control policy) that reduces t...

A general framework is developed to treat optimal control problems for a generalized BlackScholes model, which is used for option pricing. The volatility function is retrieved from a set of market observations. The optimal volatility function is found by minimizing the cost functional measuring the discrepancy between the model solution (pricing) and the observed market price, via the unconstra...

It is difficult to eliminate all market power in electricity markets and it is therefore frequently suggested that some market power should be tolerated: extra revenues contribute to fixed cost recovery, facilitate investment, and increase security of supply. This suggestion implicitly assumes all generation technologies benefit equally from market power. We assess a mixture of conventional and...

A common practice in real estate markets is the sale of housing development units before completion, and in some cases even before beginning of the actual construction, known as presale. Developers that choose to presell units are subject to default on the part of the buyers if market conditions become unfavorable. In recent years, court rulings in Brazil have established that developers must r...

saffron is one of the most valuable crops and the world's most expensive spice among the plants that suit the particular climates and latitudes with low water requirements, the strategic importance of high social and economic impacts in many producing countries such as afghanistan, that has this feature in particularly high and a special influence in the international market. due to these reaso...