Purpose – The purpose of this paper is to investigate the long-term and short-term asymmetric effects of the price transmission relationships between agricultural futures and the agriculture index in China. Design/methodology/approach – The paper adopts a threshold autoregressive (TAR) model...

This study proposes a Dynamic Option Simulation (DOS) approach to evaluate natural resource investment projects that contain several embedded options and limited reserves. To construct a practical pricing model, DOS combines simulation and dynamic programming techniques that can value natural...

This study applies the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple...

This paper examines the hypothesis that the timing of lockup expiration is crucial to earnings management (EM) behavior in the period after an initial public offering (IPO). Taiwan's unique two-stage lockup regulations make the Taiwanese sample an excellent candidate for examining this...

The option pricing method is used to analyze the agency problem between airlines and travel agencies. An Airline Agency Option Pricing model is employed whereby different ticket price processes, the quantity targets of tickets sold, the correlation between the ticket price and ticket quantity,...