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  • Pricing Bounds for Bivariate Options with Super- and Submodular Payoff Function

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    Description:
    We first introduce the concept of copulas and advocate its use for multivariate option pricing. We focus on four types of bivariate options: basket, rainbow-max, rainbow-min, and spread options. We derive expressions for these options as a function of the copula. We then construct pricing bounds for these bivariate options...
    Keyword:
    Economics and Finance
    Subject:
    Economics
    Creator:
    Jesse De Lille
    Owner:
    Scholarly Digital Publishing
    Date Uploaded:
    09/20/2018
    Date Modified:
    09/20/2018
    Date Created:
    2008-11-26
    Resource Type:
    Dissertation

  • Do Stock Mergers Create Value for Acquires?

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    Description:
    This dissertation studies whether stock mergers creates value for acquirers. The first chapter of this dissertation conducts a comprehensive review of the existing merger literature relevant to this topic. It includes existing merger theories, empirical studies on whether mergers are value destroying or value creating, and methodological issues on empirical...
    Keyword:
    Economics and Finance
    Subject:
    Finance
    Creator:
    Qi Lu
    Owner:
    Scholarly Digital Publishing
    Date Uploaded:
    09/17/2018
    Date Modified:
    09/17/2018
    Date Created:
    2008-10-02
    Resource Type:
    Dissertation

  • Essays on Optimal Contracting

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    Description:
    The first chapter of this dissertation studies a continuous-time agency model where the agent controls the drift of the geometric Brownian motion firm size. The changing firm size generates partial incentives, analogous to awarding the agent equity shares according to her continuation payoff. When the agent is as patient as...
    Keyword:
    Economics and Finance
    Subject:
    Finance
    Creator:
    Zhiguo He
    Owner:
    Scholarly Digital Publishing
    Date Uploaded:
    08/31/2018
    Date Modified:
    08/31/2018
    Date Created:
    2008-04-23
    Resource Type:
    Dissertation

  • Essays on Household Finance

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    Description:
    This thesis comprises three essays addressing theory and evidence on the household response to tax-favored saving incentive schemes, with a particular emphasis on household risk taking. The US tax code and related regulatory institutions offer a variety of incentives to encourage US households to save and participate in risky investment...
    Keyword:
    Economics and Finance
    Subject:
    Economics
    Creator:
    Damien Leslie Moore
    Owner:
    Scholarly Digital Publishing
    Date Uploaded:
    06/05/2018
    Date Modified:
    06/05/2018
    Date Created:
    2007-05-14
    Resource Type:
    Dissertation