Die Bewertung von Derivaten über ein replizierendes Portfolio führt häufig zu einer Differentialgleichung, welche analytisch nicht lösbar ist. Eine Lösung kann nur mit Hilfe von numerischen Verfahren gefunden werden. Finite Differenzenverfahren sind insbesondere geeignet,...

In this paper it is illustrated how option-based valuation can be used to determine whether and when a firm should patent and adopt an Innovation if the arrival time of competitors is stochastic. Four distinct strategies are derived: Apply for a patent without introducing the new technology...

Contrary to a continuous-time model, in a discrete-time binomial model it is possible to construct a self-financing strategy which exactly replicates the payoff of a European option contract at maturity in the presence of proportional transactions costs. We derive an upper boundary for the cost...

This paper applies option-based valuation to determine whether and when a firm should patent and adopt an innovation if the arrival time of competitors is stochastic. Four distinct strategies are derived: Apply for a patent without introducing the new technology right away, patent the innovation...

In a binomial model, exact replication of options is possible in the presence of proportional transactions costs, but is this an efficient strategy? We show that the transactions cost factor is bounded above if all investors face the same factor. This constraint ensures that exact replication is...

Recent theoretical works suggest that migrants carry their social networks when moving across borders and that they bridge the information gap between partner countries. We derive a theoretical model where migrants reduce informational trade barriers and thus enhance exports. The model is...

This paper further develops the standard modelling of information exchange between firms in the presence of cost uncertainty. In order to avoid consistency problems, we replace the normal distribution of the random variables, commonly used because of its convenient mathematical properties, by an...

This paper analyzes the recent mergers in the oil industry. Oil is assumed to be a homogeneous good which is produced by a small number of firms with different unit costs. Merger formation is endogenously explained as a result of cooperative decisions. We show that the mergers are amongst very...

Die Faszination von Großunternehmen um 1900, ihre rapide Expansion im betrachteten Zeitraum und die Tatsache, daß einzelne Unternehmen durch technologische Neuerungen tatsächlich hochproduktiv waren, haben zu der Annahme geführt, daß Großunternehmen insgesamt produktiver waren als kleinere...

Effective tax rates (ETRs) are designed to indicate the influence of taxes on investments. Existing ETR models fail to generate ETRs that can be compared to a constant yardstick and to other ETRs. This paper develops a new ETR approach based on neutral tax systems. Integration of neutral...