This paper develops a family of option pricing models when the underlying stock price dynamic is modelled by a regime switching process in which prices remain in one volatility regime for a random amount of time before switching over into a new regime. Our family includes the regime switching...

Introduction -- The development of an institutional costs framework for security and intelligence -- Counterterrorism and cooperative success and failure in the intelligence and security spheres -- Counterterrorism, collaboration, and direction and oversight -- The paradoxical case of...

This article presents a modification of Merton’s (1976) ruin option pricing model to estimate the implied probability of default from stock and option market prices. To test the model, we analyze all global financial firms with traded options in the US and focus on the subprime mortgage crisis...

We Consider Four Utility Functions, Each Of Which Incorporates A Benchmark To Better Capture The Motivations Of Today's Portfolio Managers. Assuming Instrument Returns Are Normally Distributed, We Establish Conditions Under Which Optimal Portfolios For These Utilities Are Mean-Variance Efficient...