This paper examines how an option plan that rewards managers for firm performance relative to some market or industry benchmark should be structured. Relativeperformance-based compensation advocates contend that conventional stock options do not adequately discriminate between strong and weak managers, typically suggesting “indexed options,” that is, options with an exercise price linked to a m...

Option pricing is one of the most important problems contemporary quantitative finance. It can be solved in complete markets with non-arbitrage option price being uniquely determined via averaging respect to a unique risk-neutral measure. In incomplete markets, an adequate achieved by determining interval prices as region negotiation between seller and buyer option. End points this characterise...

Rainbow option refers to the whose payoff depends on at least two underlying risky assets, which is justifiably one of most significant tool hedge risk brought by uncertainty from financial market. Hence, pricing problem always an issue with great attention. In this paper, we assume that multiple dynamic stock prices obey uncertain differential equations without sharing dividends in framework t...

I investigate the e¤ects of switching costs on the market outcome in network industries using a dynamic duopoly model of price competition in the presence of an outside option. I …nd that the role of switching costs depends on network e¤ects and the outside option. Without a viable outside option, high switching costs can neutralize the tendency towards high market concentration associated with...

Real estate developers are facing a dynamic and volatile market when making their investment decisions. In this study, a real option-based adaptive formulation is adopted so as to incorporate market uncertainties in simulating developer behaviors such as when, where, what type, and how much built space to build within an agent based, integrated land use and transportation simulation framework. ...

We consider a large investor hedging a long or short options position, whose trades generate adverse market impact. Unlike the complete-market or proportional transaction cases, the agent no longer finds it tenable to be perfectly hedged or even within a fixed distance of being hedged. Instead, he may find himself arbitrarily mishedged and optimally trades towards the classical Black-Scholes de...

This paper develops a multi-attribute competition model for procurement of short life cycle products. In such an environment, the buyer installs dedicated production capacity at the suppliers before demand is realized. Final production orders are decided after demand materializes. Of course, the buyer is reluctant to bear all the capacity and inventory risk, and thus signs flexible contracts wi...

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...

Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock at a reduced price. In such a marketplace a broker acts as intermediary betwee...

The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...