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Extracting market expectations from options prices : case studies in Japanese option markets

Nakamura, Hisashi; Shiratsuka, Shigenori - 1998

Persistent link: https://www.econbiz.de/10000992542

Extracting market expectations from option prices : case studies in Japanese option markets

Nakamura, Hisashi; Shiratsuka, Shigenori - In: Monetary and economic studies 17 (1999) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10001375675

A continuous-time analysis of optimal restructuring of contracts with costly information disclosure

Nakamura, Hisashi - In: Asia-Pacific financial markets 19 (2012) 2, pp. 119-147

Persistent link: https://www.econbiz.de/10009629161

A continuous-time optimal insurance design with costly monitoring

Nakamura, Hisashi; Takaoka, Koichiro - In: Asia-Pacific financial markets 21 (2014) 3, pp. 237-261

Persistent link: https://www.econbiz.de/10010511585

Sequential costly state verifications under two-state Markov chain shocks

Nakamura, Hisashi - 2005

Persistent link: https://www.econbiz.de/10003553529

Moral Hazard Premium : Valuation of Moral Hazard Under Diffusive and Jump Risks

Misumi, Takashi - 2014

We provide an equilibrium asset pricing formula under moral hazard, which is defined as a firm's change of measure that is incontractible, on the assumption of a power utility function and an endogenous riskless rate. Moral hazard distorts asset prices by (1) moving the market price of diffusive...

Persistent link: https://www.econbiz.de/10013044435