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Putting the Empirical Commodity Storage Model Back on Track: Crucial Implications of a "Negligible" TrendJEL codes
(AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2022)
Pricing and spread components at the Lima Stock Exchange
(United Nations Publications, 2015-08-18)
This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the ...
A dynamic model of price competition with switching and search costs
(2011-07-04)
Em modelos de competição de preços, somente um custo de procura positivo por parte do consumidor não gera equilíbrio com dispersão de preços. Já modelos dinâmicos de switching cost consistentemente geram este fenômeno ...
On choice of technique in the Robinson-Solow-Srinivasan model
(Escola de Pós-Graduação em Economia da FGV, 2003-10-08)
We report results on the optimal \choice of technique' in a model originally formulated by Robinson, Solow and Srinivasan (henceforth, the RSS model) and further discussed by Okishio and Stiglitz. By viewing this vintage-capital ...
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
(Elsevier, 2015)
We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...
Price stickiness in Ss models: New interpretations of old results
(Elsevier, 2007)
What is the relation between infrequent price adjustment and the dynamic response of the
aggregate price level to monetary shocks? The answer to this question ranges from a one-to-one link
[Calvo, G., 1983. Prices in a ...
Term structure movements implicit in Asian option prices
(2008)
In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...
On pricing of multiple bundles of products and services
(ELSEVIER SCIENCE BV, 2010)
This paper considers the pricing decision faced by a seller of bundles composed of a service and an associated product offered to customers on a subscription basis using a two-part tariff scheme. An optimal pricing policy ...
Option pricing, stochastic volatility, singular dynamics and constrained path integrals
(Elsevier, 2014)
Stochastic volatility models have been widely studied and used in the financial world. The
Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue.
These stochastic volatility models are ...
Signaling Quality in the Presence of Observational Learning
(2019)
We study the optimal pricing strategy for a privately informed monopolist in the presence of observational learning. Early adopters learn quality before purchasing the product. Late adopters learn quality from frst-period ...