The institutional brokerage industry faces an ever-increasing pressure to lower trading costs,
which has already driven down average commissions and shifted volume toward low-cost …

When the underlying price process is a one‐dimensional diffusion, as well as in certain
restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and …

Laboratory experiments with and without real money repeatedly reveal that even if all subjects
observe the same pair of cumulative distributions F and G, they act as if they were other …

We introduce a model that captures the main properties that characterize employee stock
options (ESO). We discuss the likelihood of early voluntary ESO exercise, and the obligation to …

… Zvi Wiener is assistant professor of finance at the business school of the Hebrew University
of Jerusalem. His finance research concentrates on the pricing of derivative securities, Value-…

Many bankruptcy codes implicitly or explicitly contain net-worth covenants, which provide the
firm’s bondholders with the right to force reorganization or liquidation if the value of the firm …

Modern financial theory is based on several important principles, two of which are no-arbitrage
and risk aversion. The single major source of profit is risk. The expected return depends …

Prospect theory (PT), which relies on subjects’ behavior as observed in laboratory experiments,
contradicts the behavior predicted by the Expected Utility (EU) paradigm. Having wealth …

We study a regulation that increased mutual funds’ risk salience through name change.
Using daily fund flow data and several identification strategies, we find that requiring certain …

In this paper we discuss the significant computational simplification that occurs when option
pricing is approached through the change of numeraire technique. The original impetus was …