King-Fullerton methodology cannot assess the minimum-asset tax (MAT) because it cannot handle uncertainty. We present an alternative based on option pricing, and show how carry-over rules, depreciation conventions and uncertainty affect the MAT burden. Using Brazilian data, we show that: (a)...

The paper analyzes foreign investment and asset prices in a context of uncertainty over future government policy. The model endogenizes the process of learning by foreign investors facing a potentially opportunistic government, which chooses strategically the timing of a policy reversal in order...

We present a pricing model for secondary market debt designed to assess the impact of debt reduction on valuation of remaining claims and to value guarantees in various forms. The technique used, option pricing, accounts explicitly for the sources and natures of risks on secondary market pricing...

In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...

We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in time, namely i = 1,…, N observed at dates t = 1,…, T:...

In recent years the British National Health Service (NHS) has experienced an acute shortage of qualified nurses. This has placed issues of recruitment and retention in the profession high on the political agenda. In this Paper, we investigate the determinants of job satisfaction for nurses and...