We consider a stochastic financial exchange economy with a finite dateevent tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only shor...

This paper studies stability of Dynkin’s games value under weak convergence. We use these results to approximate game options prices with path dependent payoffs in continuous time models by sequence of game options prices in discrete time models which can be calculated by dynamical programming algorithms. We also show that shortfall risks of American options in a sequence of multinomial approxi...

The traditional problem often called “electricity development” is to improve and expand services from an established monopolistic electricity supplier. The lack of an effective dominant utility, however, is a defining condition for the 1.4 billion people without access for electricity, the so-called unserved. Therefore, the issues that arise are different from those of traditional utility servi...

Recent years have seen extensive investigation of the information aggregation properties of markets. However, relatively little is known about conditions under which a market will aggregate the private information of rational risk averse traders who optimize their portfolios over time; in particular, what features of a market encourage traders to ultimately reveal their private information thro...

ELFORSK Foreword Despite having had a deregulated electricity market in Sweden for over ten years we still need to increase our understanding as to how deregulated electricity markets actually work and how possible problems are to be solved. The electricity sector is key in greenhouse gas mitigation. Electricity generation accounts for roughly one-third of carbon dioxide emissions in the indust...

Fertilizer use remains below recommended rates in most of Sub-Saharan Africa, contributing to low crop yields and poverty. We explore the role fertilizer quality. interviewed sellers an important agricultural region Tanzania sampled their establish that nutrient content fertilizers is good, meeting industry standards. However, we find farmers’ beliefs be inconsistent with this reality. Beliefs ...

We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to show that this no arbitrage condition is equivalent to the positive semidefiniteness of matrices formed by the market price of tradeable securities and their...

This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...

In 2010, the San Francisco Giants became the first professional team to implement a comprehensive demandbased ticket pricing strategy called dynamic ticket pricing (DTP). In an effort to understand DTP as a price setting strategy, the current investigation explored Giants’ ticket prices during the 2010 season. First, the relationship between fixed ticket prices, dynamic ticket prices, and secon...