Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

The market valuation of environmental capital expenditures by pulp and paper companies

The objective of this study is to examine the market valuation of environmental capital expenditure investment related to pollution abatement in the pulp and paper industry. The total environmental capital expenditure of $8.7 billion by our sample firms during 1989-2000 supports the focus on this industry. In order to be capitalized, an asset should be associated with future economic benefits. The existing environmental literature suggests that investors condition their evaluation of the future economic benefits arising from environmental capital expenditure on an assessment of the firms' environmental performance. This literature predicts the emergence of two environmental stereotypes: low-polluting firms that overcomply with existing environmental regulations, and high-polluting firms that just meet minimal environmental requirements. Our valuation evidence indicates that there are incremental economic benefits associated with environmental capital expenditure investment by low-polluting firms but not high-polluting firms. We also find that investors use environmental performance information to assess unbooked environmental liabilities, which we interpret to represent the future abatement spending obligations of high-polluting firms in the pulp and paper industry. We estimate average unbooked liabilities of $560 million for high-polluting firms, or 16.6 percent of market capitalization.

Increased use of emergency services by older people after health screening

Background: evaluation of the 'Keep Well At Home' (KWAH) Project in West London indicated that a programme of screening persons aged 75 and over had not reduced rates of emergency attendances and admissions to hospital. However, coverage of the target population was incomplete. The present analysis addresses 'efficacy'-whether individuals who completed the screening protocol as intended did subsequently use Accident & Emergency (A&E) services less often. Methods: the target population was divided into five groups, depending on whether an individual had completed none, one or both phases of screening, and whether deviations from the protocol related to incomplete coverage or refusal to participate further. We ascertained use of emergency services before screening and for up to 3 years afterwards by linkage of records from KWAH to those of local A&E Departments. Patterns of emergency care were examined as crude races and, via proportional hazards models, after adjustment for available confounders. Results: there was an increase of 51% (95% CI 22-86%) in the crude rate of emergency admissions in the year after first-phase screening compared with the 12 months before assessment. This was most obvious in individuals deemed at high risk who also underwent the second-phase assessment (adjusted hazard ratio relative to individuals not 'at risk'= 2.33; 95% CI 1.59-3.42). Conclusions: the available data do not allow us to distinguish between several possible explanations for the paradoxical increase in use of emergency services. However, what seem to be sensible policies do not necessarily have their intended effects when implemented in practice.

Psychology in practice: Guidelines for the provision of psychological services for older adults

The practice of psychology covers the range of ages from conception through to the end of life and palliative care. Psychologists practice in a variety of roles, but the majority of these roles involve interactions with nonprofessionals of varying ages. These interactions are governed by codes of ethical practice, whether these are developed by the funding bodies for research activities, professional associations, or regulatory bodies. Ethical codes vary in their format and emphasis, but all have the protection of the public as a major purpose. Often there are special provisions in these codes for particular populations or circumstances. Here we describe the development of ethical guidelines for the practice of psychology with older adults in Australia and report on those guidelines and their supporting literature.

Examination of the influence of personal attributes on consumer use of m-services

The rapid uptake of mobile devices has created the capacity to provide services to consumers while they are on the move, and new mobile services (m-services) are constantly emerging. In past research, personal attributes have been found to be important in the adoption and use of information and communication technology. However, little research has been conducted in the area of m-services. To explore factors influencing the use of these services, this paper examines personal attributes in terms of motivational, attitudinal and demographic characteristics. Specifically, it investigates the influence of innovativeness, self- efficacy, involvement and impulsiveness, as well as age and gender on m-services use. Data were collected from a convenience sample of 250 respondents using an online survey and a modified snowball procedure. Age and gender were quite well balanced in the sample. The multiple regression model was significant and the hypotheses relating to the positive relationship between impulsiveness, involvement and gender and m-services were supported. Findings are discussed, further implications for managers are suggested and directions for future research are proposed.