In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of the specific model chosen for the ...

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...

Most countries are using some kinds of pharmaceutical policies, like external reference-based pricing, to control the costs of medicines. This policy could be implemented in different ways and there is no systematic method for selecting reference countries. In this study, we tried to identify and classify the factors affecting the selection of reference countries in Iran. Delphi method was empl...

this paper develops positive mathematical programming (pmp) model to determine the optimum cropping pattern and water demand function in six regions of lower part lands of shirindarre dam in north khorasan province of iran and then estimates the expected pay for water in each region. the quantity of water supplied from such different water resources as dams, wells, and rivers in different scena...

this research was carried out on corn in the orzuiyeh region of kerman province over two consecutive seasons (2005-6 to 2007-8). the experiment was done as a split plot with a completely randomized block design and four replications. four levels of consumed water (60%, 80%, 100% water requirement, water use based on regional custom) and three varieties (404sc, 700sc, 704sc) were the main factor...

earnings management has inverted the main objective of financial reporting through the distortion of the actual economic performance of companies and prevented the complete transfer of information to market. given the importance of subject of research, incentives that cause earnings management have been reviewed from various aspects. the main purpose of this research is to examine the relations...

When Fourier techniques are employed to specific option pricing cases from computational finance with non-smooth functions, the so-called Gibbs phenomenon may become apparent. This seriously impacts the efficiency and accuracy of the pricing. For example, the Variance Gamma asset price process gives rise to algebraically decaying Fourier coefficients, resulting in a slowly converging Fourier se...