The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
This paper studies debt holders' belief updating and equity owners' financing decisions under asymmetric information during financial distress. This is done within a continuous-time framework, where the relevant state variable is assumed to follow an arithmetic Brownian motion (ABM). ABM can take negative values and has very realistic feature compared with geometric Brownian motion (GBM). Using Chapter...
The language of choreography, WS-CDL, is a W3C candidate recommendation standard, which is an interactive description from global view but the language lacks formal semantics. WorkUnit in WS-CDL plays a crucial role because of reusable principle. In this paper, we propose process algebra for WS-CDL (PA4WS), which equips workunit. The semantics of PA4WS are presented based on structural operational...
By the theory of stochastic dynamic programming, we provide the methods for deriving the optimal rules. In this paper, we make two models in dynamic state process to maximize the expected utility of the agent and then obtain the famous Hamilton-Jacobi-Bellman equation. Furthermore, we derive explicit form solution and closed-form solution of the optimal equations for given utility functions.
This paper examines the effect of uncertainty on investment in a real option model. By introducing the contingent claims analysis the opportunity to invest is modeled as an American call option with expiring time. By the use of penalty function, the American option model can rationally analyze the uncertainty-investment relationship. We show that the optimal exercise boundary exhibits a U-shaped pattern...
By the martingale theory and transformation of probability measures, this paper obtains the analytical solution of the price of the convertible bond whose conversion price may reset at a predetermined time. The interest rate here follows an extended Vasicek model. In the numerical result, we find that the Monte Carlo method is efficient. Numerical result also shows that the correlated coefficient...
In this paper, we provide a fast algorithm for solving the pricing of American options, which is easier to apply and implement in computer comparing with general difference method. Our research substantially reduces the computational time as well as improves the computational efficiency and accuracy considerably. Furthermore, we propose and implement a numerical procedure for computing the pricing...
In this paper, we get the pricing framework of the convertible bond (CB) with call clause in exponential variance Gamma (EVG) model rather than the classical Black-Scholes (BS) model. From numerical calculation, we conclude that the new approach does lead to a different pricing method, but the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.