Showing 1 - 10 of 552
Persistent link: https://www.econbiz.de/10014279970
This paper studies the relation between discrete-time and continuoustime principal-agent models. We derive the continuous-time model as a limit of discretetime models with ever shorter periods and show that optimal incentive schemes in the discrete-time models approximate the optimal incentive...
Persistent link: https://www.econbiz.de/10010440973
This paper studies the dynamic behavior of asset prices using a chartist - fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays similar to Dibeh (2007) to describe the price dynamics and we assume that the two markets are coupled via...
Persistent link: https://www.econbiz.de/10013064931
Time delay in communication(information) flow is often found in many network systems. Inspired by volatility spillovers and clustering explained by “flocking” mechanism, we study the effect of the time delay in our model system of heterogeneous stock returns' volatilities. Our model is a...
Persistent link: https://www.econbiz.de/10012841316
We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy model is well approximated by the risk taken from the discrete-time Black-Scholes model whose time step equals half of the excess kurtosis rate of the real-world stock returns....
Persistent link: https://www.econbiz.de/10013313919
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110
This study develops an easy forecasting model using prefectural data in Japan. The Markov chain known as a stochastic model corresponds to the vector auto-regressive (VAR) model of the first order. If the transition probability matrix can be appropriately estimated, the forecasting model using...
Persistent link: https://www.econbiz.de/10011521990
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in … general, we argue that our model is the appropriate version for timing games. We show that the notion coincides with the usual … one for discrete-time games. Many timing games in continuous time have only equilibria in mixed strategies - in particular …
Persistent link: https://www.econbiz.de/10010406213
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along...
Persistent link: https://www.econbiz.de/10011284232
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary …
Persistent link: https://www.econbiz.de/10011296327