• The perpetual American put option for jump-diffusions : implications for equity premiums 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Sandal, Leif Kristoffer; Berge, Gerhard (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 

      Eckbo, B. Espen; Norli, Øyvind (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 ...
    • Playing Easy or Playing Hard to Get: When and How to Attract FDI 

      Gresik, Thomas A.; Schindler, Dirk; Schjelderup, Guttorm (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 

      Sandal, Leif Kristoffer; Steinshamn, Stein Ivar (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 

      Aase, Knut K. (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 

      Hvide, Hans K. (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 

      Durmaz, Tunç (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, ...
    • Predetermined Assembly Size and Equal Influence in MMP-Elections 

      Stensholt, Eivind (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 ...
    • Preferansevalg: Opptellingsregler og velgeradferd 

      Stensholt, Eivind (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 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (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 ...
    • A pricing model for yield contracts 

      Aase, Knut K. (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 

      Aase, Knut K. (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 ...
    • Pricing of rate of return guarantees on multi-period assets 

      Lindset, Snorre (Discussion paper, Working paper, 2001-06)
      The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative ...
    • Pricing rate of return guarantees in a Heath-Jarrow-Morton framework 

      Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 1998-07)
      Rate of return guarantees are included in many financial products, for example life insurance contracts or guaranteed investment contracts issued by investment banks. The holder of such a contract is guaranteed a fixed ...
    • Pricing wind: A revenue adequate, cost recovering uniform price for electricity markets with intermittent generation 

      Zakeri, Golbon; Pritchard, Geoff; Bjørndal, Mette; Bjørndal, Endre (Discussion paper;15/16, Working paper, 2016-09-06)
      With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a pre-dispatch quantity in advance of real time, based on ...
    • Probabilistic cost efficiency and bounded rationality in the newsvendor model 

      Ubøe, Jan; Andersson, Jonas; Jörnsten, Kurt; Lillestøl, Jostein; Sandal, Leif Kristoffer (Doctoral dissertation;41/14, Working paper, 2014-12)
      In this paper we establish a link between probabilistic cost efficiency and bounded rationality in the newsvendor model. This establishes a framework where bounded rationality can be examined rigorously by statistical ...
    • Probabilistic forecasting of electricity prices using an augmented LMARX-model 

      Andersson, Jonas; Sheybanivaziri, Samaneh (Discussion paper;11/23, Working paper, 2023-07-11)
      In this paper, we study the performance of prediction intervals in situations applicable to electricity markets. In order to do so we first introduce an extension of the logistic mixture autoregressive with exogenous ...