In this paper, we extend the Merton's structured approach to incomplete market economy, in which investors may have irrational or distorted belief about the corporate's future cash flow. Our theoretical model implies irrational belief generates an additional risk. In detail, as distorted belief...

In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method...

Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for...

This paper proposes a procurement mechanism for a research and development (R&D) project, in which the stochastic nature of R&D is incorporated, and the potential agents needed to invest prior to the agent are selected. The incentive contract aims to attract the investment of potential agents...

To protect the conversion privilege from being called away too soon, the bond indenture commonly contains hard call constraint and soft call constraint, which makes the valuation for the convertible bond more complicated. In this paper, a valuation model for a callable convertible bond with...

We define decreasing higher-degree Ross risk aversion and provide an intuitive interpretation for it. We show that all deteriorations of background risk in the sense of n-th risk increase raise risk aversion in the Arrow–Pratt sense if and only if decreasing (n+1)-th degree Ross risk aversion...

This article focuses on the pervasive impact of culture on language and learning with the acknowledgment of individual differences. It explores international students‟ complex cultural and learning adaptation processes with a case-study approach consisting of participant observation, a...

The present study sought to (1) obtain expert opinion on the importance of low-risk limits for the field of gambling; and (2) establish the face validity for a tentative set of low-risk limits empirically derived from a recent analysis of population data on gambling (Currie <italic>et al.</italic>, 2006)....