Network Effects in Corporate Emissions: Evidence from a Data‐Dependent Spatial Panel Model
Journal of Money, Credit and Banking, EarlyView.Abstract We study spillover effects in corporate toxic emissions using a heterogeneous panel of U.S. industrial facilities from 2000 to 2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly from the data using recent advances in high‐dimensional network econometrics.
STYLIANOS ASIMAKOPOULOS +3 more
wiley +1 more source
Numerical solution of the time fractional Black–Scholes model governing European options [PDF]
, 2016 When considering the price change of the underlying fractal transmission system, a fractional Black–Scholes(B-S) model with an αα-order time fractional derivative is derived.
Turner, I., Yang, Q., Zhang, H., Liu, F.
core +1 more source
Parenthood and CEO Responses to Media Criticism on Pay
Journal of Management Studies, EarlyView.Abstract Research on media coverage of controversial corporate practices typically suggests firms respond instrumentally to mitigate stakeholder reactions. However, we argue that CEOs' moral concerns can sometimes override strategic considerations, because media criticism may expose them to scrutiny from personally valued audiences – for instance ...
Steffen Brenner, Georg Wernicke
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"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry" [PDF]
This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black.
Terry Marsh, Takao Kobayashi
core
Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
europepmc +1 more source
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
Proposta de método para desenvolvimento de simulação de estratégia de negociação de opções que combina operações estruturadas e o modelo de Black & Scholes [PDF]
, 2015 TCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.De acordo com a Associação Internacional dos Mercados de Opções (IOMA)1, o Brasil é o país onde mais se negocia um tipo especial de derivativo: as opções sobre ...
Arauz, Walter Fernando da Silva
core
Environmental Pollution Liability Insurance Pricing and the Solvency of Insurance Companies in China: Based on the Black-Scholes Model. [PDF]
Int J Environ Res Public Health, 2023 Chen S, Yang J.
europepmc +1 more source
Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model [PDF]
Mathematics and Modeling in FinanceThis study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model.
Farshid Mehrdoust, Maryam Noorani
doaj +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source