Option pricing is mainly based on ideal market conditions which are well represented by the Geometric Brownian Motion (GBM) as market model. We study the effect of non-ideal market conditions on the price of the option. We focus our attention on two crucial aspects appearing in real markets: The influence of heavy tails and the effect of colored noise. We will see that both effects have opposit...

This paper assesses the impact of housing market conditions on the theoretically motivated and empirically observed negative relationship between loan to value ratios and home maintenance expenditures. If the relationship is causal, then a down housing market will result in significantly decreased upkeep in the housing stock. The large rise and fall in home prices during the 2001-2009 period al...

The Japanese pharmaceutical market, the world's second largest, is traditionally renowned for the domination of patented drugs and the weakest generics share among major established economies. An in-depth observation of published evidence in Japanese/English language provided closer insight into current trends in Japanese domestic legislation and pharmaceutical market development. Recent govern...

This paper presents an empirical assessment of the degree of competition within the Jamaican banking sector during the period 1998 to 2009. We employ a dynamic version of the Panzar Rosse Model to estimate market power among the sample of banks that constitute over 90 percent of the banking market. Using the conventional statistical tests, we are unable to reject monopoly/perfect collusion for ...

Chapter 1—Introduction I. Outline of the Book II. Characterization of Broadband Telecommunications Market A. Scale of Investment B. Scale of Market Size and Reward C. Regulatory Conditions D. Customer Driven Factors E. Market Trends F. Influence of Computing on the Telecommunications Market III. Market Analysis for ATM Technology A. Residential Market B. Business Market C. Bandwidth Cost Trend ...

Firstly, a game model is established under unconstrained market conditions to illustrate the basic evolutionary rule of the market of e-commerce payment method. It is concluded that the establishment of e-commerce payment market is not normative under the unconstrained market conditions, which shows the importance of the introduction of the third party payment for the establishment of standardi...

Article history: Received 5 September 2012 Received in revised form 13 July 2013 Accepted 15 July 2013 Available online 24 July 2013 This paper provides micro-level evidence on the relationship between labor market conditions and social insurance participation among Chinese industrial firms. I find that the increased scarcity of labor over this period was a quantitatively important driver of pa...

We provide novel evidence that hedge fund performance is persistent following periods of relative hedge fund market weakness, but not following periods of relative market strength. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioning on whether the overall hedge fund market return is below or above its sample median. After adjusting for risk and f...

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the macroeconomic information available (and/or forecasts) is used in the parameter estimation process. Based on...

BACKGROUND: The mental health services literature includes assertions that workers with mental illness are at earlier risk of unemployment than other workers when the economy contracts. This possibility is important for several reasons. One is that such a phenomenon would support the argument that the lives of mentally ill persons are made unnecessarily stressful by the stigma of mental illness...