Blar i Department of Business and Management Science på tittel
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The perpetual American put option for jump-diffusions : implications for equity premiums
(Discussion paper, Working paper, 2004-12)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ... -
The perpetual American put option for jump-diffusions with applications
(Discussion paper, Working paper, 2005-11)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ... -
Perspectives of risk sharing
(Discussion paper, Working paper, 2000-05)In this paper we present an overview of the standard risk sharing model of insurance. We discuss and characterize a competitive equilibrium, Pareto optimality, and representative agent pricing, including its implications ... -
A perturbation approach on a class of optimal control problems, unifying the pontryagin and dynamic programming approach
(Discussion paper, Working paper, 2000-06)This article consider special ways of solving time dependent (non-autonomous) systems. Different types of time-dependent Optimal Control Problems in the setting of a Hamiltonian Formulation, are considered and the emphasis ... -
Pervasive liquidity risk
(Discussion paper, Working paper, 2002-11)While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of ... -
Planning for charters: A stochastic maritime fleet composition and deployment problem
(Peer reviewed; Journal article, 2017)This paper introduces a chartering problem that arises in the shipping industry. The chartering decisions determine the time-charter contracts to enter into, in particular, how many ships of each type to charter in, and ... -
Playing Easy or Playing Hard to Get: When and How to Attract FDI
(Discussion paper;7/20, Working paper, 2020-06-30)We study the link between a country’s institutional quality in tax collection and its optimal corporate tax policies in a model of heterogeneous multinationals that can shift income using both debt and transfer prices. ... -
Pollution decay, consumer awareness and optimal carbon taxes
(Discussion paper, Working paper, 2004-02)The effects of non-linear decay and consumer preferences are analyzed in a setting where optimal extraction of non-renewable resources is combined with stock externalities. The control is exercised via a corrective tax and ... -
Pooling in insurance
(Discussion paper, Working paper, 2003-01)Risk sharing resulting in pooling of risk is considered. First pooling is discussed from the perspective of life and pension insurance. Second we take the perspective of Pareto optimal risk sharing, originating from a model ... -
Pragmatic beliefs and overconfidence
(Discussion paper, Working paper, 2000-06)Several studies indicate that humans are overconfident about their own (relative) abilities. We propose a notion of pragmatic beliefs, and show through an example that this concept can shed light on why overconfidence ... -
Precautionary Storage in Electricity Markets
(Discussion paper;5/16, Working paper, 2016-02-25)As renewable energy depends on meteorological shocks and is non-controllable, the overall energy production becomes riskier with the rising renewable share. Although this has led to a renewed interest in storage technologies, ... -
Predators in the market: implications of market interaction on optimal resource management
(Journal article; Peer reviewed, 2017)A two-species bioeconomic model is analyzed, but in contrast to most similar models, there is no biological interaction between the species, only economic. The interaction takes place in the market where the quantity of ... -
Predators in the market: implications of market interaction on optimal resource management
(Journal article; Peer reviewed, 2017)A two-species bioeconomic model is analyzed, but in contrast to most similar models, there is no biological interaction between the species, only economic. The interaction takes place in the market where the quantity of ... -
Predetermined Assembly Size and Equal Influence in MMP-Elections
(Discussion paper;11/22, Working paper, 2022-06-21)In MMP-elections (Mixed Member Proportional representation), a QP-ballot contains a first-vote for party Q’s candidate in a single-seat constituency and a second-vote for a list of candidates from party P in one common ... -
Preface
(Others, 2007-10-01)This is a case collection in data analysis containing cases mostly relevant for business studies. The first part of ten cases are mini-cases, that is, with a limited issue and a small dataset. The second part contains wider ... -
Preferansevalg: Opptellingsregler og velgeradferd
(Discussion paper;08/2013, Working paper, 2013-08)Ved preferansevalg gir velgeren en mer eller mindre fullstendig rangering av alternativene eller kandidatene. Hovedtemaene på disse sidene presenteres i innledningskapitlet: tre store familier av preferansevalg, nemlig ... -
Pricing Implications of Shared Variance in Liquidity Measures
(Discussion paper, Working paper, 2006-07)This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ... -
Pricing in Non-Convex electricity markets
(Doctoral dissertation;03/12, Doctoral thesis, 2012-05)Deregulation of the electricity markets has brought several interesting topics to the research agenda. Switching from a monopoly based industry to the free market industry has not been straight forward. The competitive ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ...