We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options and pricing model of dynamic protection fund. For each class of the American lookback options, we analyze the optimal stopping region, in partic...

We investigate the link between real exchange rates and sectoral total factor productivity measures for countries in the Eurozone. Real exchange rate patterns closely accord with an amended Balassa-Samuelson interpretation, both in cross-section and time series. We construct a sticky price dynamic general equilibrium model to generate a crosssection and time series of real exchange rates that c...

This paper analyzes the effects of pegged and floating exchange rates using a two-country dynamic general equilibrium model that is calibrated to the US and a European aggregate. The model assumes shocks to money, productivity and the interest rate parity condition. It captures the fact that the sharp increase in nominal exchange rate volatility after the end of the Bretton Woods (BW) system wa...

Article history: Received 8 August 2011 Received in revised form 23 May 2012 Accepted 31 May 2012 Available online 13 June 2012 This paper shows that financial integration may reduce welfare in the presence of nominal price rigidity. From a policy perspective, the model implies that developing countries that are experiencing financial integration may attempt to alleviate the welfare cost of int...

The old dictum says that if the Devil did not exist, the Church would have had to invent him. Similarly, if the regulator didn't exist, the airline industry would have had to invent him-and did in 1938. A current question is what would happen to the industry were it totally deregulated. One thesis is that there would be a rush by existing and new entrants to those routes thought to be profitabl...

The value of environmental assets such as biodiversity, unique locations and the atmosphere may be hard to quantify. The implications of the irreversibility of decisions to destroy these has been the subject of extensive discussion. We analyze the value of such assets under conditions of uncertainty about future preferences, and show that this uncertainty will imply a conservation motive if it ...

In recent years drug prices have increasingly become a topic of debate for patients, providers, payers and policy makers. To place the current drug price debate into historical context, we searched the New York Times and Wall Street Journal from 1985 - 2015 and found that concerns about drug prices have commonly featured in the press over the study period with recently stronger calls for change...

The directed search model (Peters, 1984) is static; its dynamic extensions typically restrict strategies, often assuming price or match commitments. We lift such restrictions to study equilibrium when search can be directed over time, without constraints and at no cost. In equilibrium trade frictions arise endogenously, and price commitments, if they do exist, are self-enforcing. In contrast to...

Education development is a critical component for a modern economy as the illiteracy rate can hinder economic growth. The illiteracy rate in China has decreased rapidly since 1980s, but there still exists an imbalance in distribution of educational resources among different regions. In order to explore the impacts of education quality on regional economic growth, we employ a quadratic direction...