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In this paper, the authors discuss the fractional option pricing with Black–Scholes formula, deduce the Fractional Black–Scholes formula, show the empirical results by using China merchants bank foreign exchange call option price, and find when the volatility is smaller, the asymptotic mean...
This paper provides some empirical support of real option models of corporate flexibility based on the analysis of the panel of Japanese electronics firms covering fiscal years 1999–2008. I apply random effect regression techniques and explain market value of firms’ growth options using several...
The aim of this paper is to provide a critical and comprehensive reexamination of empirical evidence on the ability of the dividend yield to predict Japanese stock returns. Our empirical results suggest that in general, the predictability is weak. However, (1) if the bubble economy period...
We determine the exponential utility indifference price and hedging strategy for contingent claims written on returns given by exponential additive processes. We proceed by linking the pricing measure to a certain second-order semi-linear Integro-PDE. As main application, we study the problem of...
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