Dynamic panel models play an increasingly important role in numerous areas of corporate finance research, and a variety of (biased) estimation methods have been proposed in the literature. The biases inherent in these estimation methods have a material impact on inferences about corporate...

Share and option transactions are taxed differently, which means that the after-tax cash flows used to establish put-call parity will differ depending on which option is exercised. This paper derives the after-tax put-call parity relationship for European and American options with or without...

Writing an option is a taxable event for Australian investors. This method of taxation penalizes investors who hold open short option positions over the tax year end by accelerating their tax liability relative to the timing of the economic gain from writing options. This paper examines the...

Prior studies of call option early exercise either ignore personal taxes or simplify the impact of taxation. When making an early exercise decision, the option holder should compare the after-tax cash flows from exercise with the after-tax cash flows from selling the option. Due to the...

The paper studies the cooperative hedging problem of contingent claims in an incomplete financial market. Firstly we give the characterization of the optimal cooperative hedging strategy for the Black-Scholes model and the Volatility Jump model explicitly, then we consider the problem of...

Causal networks are graphically represented by directed acyclic graphs (DAGs). Learning causal networks from data is a challenging problem due to the size of the space of DAGs, the acyclicity constraint placed on the graphical structures, and the presence of equivalence classes. In this article,...

With the increasing of labor salaries, the RMB exchange rate, resource product prices and requirements of environmental protection, inexpensive labor and land are no longer the decisive factor of regional competitiveness. From this perspective, China needs to shift from the extensive development...

In this paper we apply the martingale approach, which has been widely used in mathematical finance, to study the optimal investment problem for an insurer. When the risk and security assets are described by the Lévy processes and utility is CARA, the closed-form solutions to the maximization...