This article addresses to the appropriate modeling of loss given default (LGD) for the retail
business sector. We assume small or mid-size loans that are assigned in a standardized …

New methods are developed here for pricing the main real estate derivatives—futures and
forward contracts, total return swaps, and options. Accounting for the incompleteness of this …

This paper explores whether the relevance of a conditional multifactor model and
autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The …

Despite the importance of residential real estate as both an asset class for investors and as
a source of" housing services" for individual home owners, as well as the relatively high …

Motivated by the empirical findings that asset returns or volatilities are predictable, this paper
studies the pricing of European options on stock or volatility, the instantaneous changes of …

A trade-off between return and risk plays a central role in financial economics. The
intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a …

This article derives the closed‐form formula for a European option on an asset with returns
following a continuous‐time type of first‐order moving average process, which is called an …

Executive Stock Options (ESOs) are modified American options that cannot be valued using
standard methods. With a few exceptions, the literature has discussed the ESO fair value by …

We propose a novel and intuitive risk-neutral valuation model for real estate derivatives. We
first model the underlying efficient market price of real estate and then construct the …

Motivated by the empirical findings that asset returns are autocorrelated, this paper provides
the pricing algorithm for American options on the stocks, the returns of which depend on an …