This paper examines the linkages between the two emerging stock exchanges in mainland China and the established markets in Hong Kong and in the US by a multivariate GARCH approach. We use a four-variable asymmetric GARCH in the line of the BEKK model proposed by Engle and Kroner (1995) to...

In the present article, we analyse two effective nontraditional performance-based stock option schemes which we call Parisian and constrained Asian executives' stock option plans. Both options have a criterion on the terminal value similar to a call option, but in addition impose a restriction...

Contemporary pension plans are often hybrid pension plans, a mixture of defined benefit and defined contribution plans. In this article, we model a continuum of stylized hybrid pension plans in a run-off pension fund and value these pension liabilities taking account of both equity and interest...