Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Supply chain management implementation in the Spanish grocery sector: An exploratory study

This paper explores the integration process that firms follow to implementSupply Chain Management (SCM) and the main barriers and benefits relatedto this strategy. This study has been inspired in the SCM literature,especially in the logistics integration model by Stevens [1]. Due to theexploratory nature of this paper and the need to obtain an in depthknowledge of the SCM development in the Spanish grocery sector, we used thecase study methodology. A multiple case study analysis based on interviewswith leading manufacturers and retailers was conducted.The results of this analysis suggest that firms seem to follow the integration process proposed by Stevens, integrating internally first, andthen, extending this integration to other supply chain members. The casesalso show that Spanish manufacturers, in general, seem to have a higherlevel of SCM development than Spanish retailers. Regarding the benefitsthat SCM can bring, most of the companies identify the general objectivesof cost and stock reductions and service improvements. However, withrespect to the barriers found in its implementation, retailers andmanufacturers are not coincident: manufacturers seem to see more barrierswith respect to aspects related to the other party, such as distrust and alack of culture of sharing information, while retailers find as mainbarriers the need of a know-how , the company culture and the historyand habits.

The wage effect of an indexation clause: Evidence from Spanish manufacturing firms

An endogenous switching model of ex-ante wage changes under indexed and non-indexed settlements is estimated for the Spanish manufacturing sector using collective bargaining firm data for the 1984-1991 period. The likelihood of indexing the settlement is higher for nationwide unions than for other union groups within the works council and increases with the expected level of inflation. For wage change equations, a common structure for indexed and non-indexed settlements is strongly rejected, showing a source of nominal rigidity. For indexed contracts, the expected ex-ante total inflation coverage is nearly complete. It is also shown that workers pay a significant ex-ante wage change premium (differential) to obtain a cost of living allowance clause. However, the realised contingent compensation exceeds such a premium for all industries. Finally, important spillover effects in wage setting and the decision to index the settlement have been detected.

Wage determination in the Spanish industry

In this paper we estimate wage equations for the Spanish industryusing time series data on 85 industrial sectors, which allows us todistinguish between aggregate and sector specific effects in wagedetermination. Industry wages respond mainly to economy wide labourmarket conditions and to a much lesser extent to sector specificproductivity gains. The size of the insider effect has not remainedstable through the sample period. The estimated equations show a strongtransitory effect of unemployment on wages, which is in accordancewith the non--stationarity of the Spanish unemployment rate. Thishysteresis effect seems well accounted for by the sharp rise in theproportion of long term unemployment.

Improving Transition Outcomes: Lessons Learned from the Prototypes

Final Improving Transition Outcomes grant paper detailing the Lessons Learned during the life of the grant.

Improving Transition Outcomes: Promising Transition Practices

Summary of the Promising Transition Practices implemented under the Improving Transition Outcomes with Iowa Vocational Rehabilitation Services grant.

Improving Transition Outcomes: Lessons Learned from the Improving Transition Outcomes Prototypes

Final Improving Transition Outcomes grant paper detailing the Lessons Learned during the life of the grant.

Improving Transition Outcomes: Council Bluffs Youth Connections: E-Mentoring Replication Template

Replication Template for Improving Transition Outcomes Council Bluffs Youth Connections E-Mentoring Prototype. This concise document will help your community team implement and plan for sustaining e-mentoring.

Improving Transition Outcomes: Henry County Transition Partners: Infrastructure Building Replication Template

Replication Template for Improving Transition Outcomes Henry County Transition Partners Prototype. This concise document will help you build a community team and the infrastructure necessary to implement and plan for sustaining specific initiatives.

Improving Transition Outcomes: CASE (Career And Self Exploration): Replication Template

Replication Template for Improving Transition Outcomes CASE (Career And Self Exploration) Prototype. This concise document explains how your team can implement CASE and the corresponding entrepreneurship component.

Improving Transition Outcomes: Henry County Transition Partners: Guidebook Part 1

Part 1 of 7 for Henry County's Transition Partners Guidebook specific to youth with disabilities transitioning from high school to employment, post-secondary education, or adult services.

Improving Transition Outcomes: Resource Mapping Workshop: Additional Information

Information used/presented during the Improving Transition Outcomes Resource Mapping Workshops

Improving Transition Outcomes: Resource Mapping Workshop: Service Matrix

Resource Mapping tool from the Improving Transition Outcomes Resource Mapping Workshops

Improving Transition Outcomes: Resource Mapping Workshop: Resource List

Resource Mapping resources shared during the Improving Transition Outcomes Resource Mapping Workshops

Improving Transition Outcomes: Henry County Transition Partners: Guidebook Part 2

Part 2 of 7 for Henry County's Transition Partners Guidebook specific to youth with disabilities transitioning from high school to employment, post-secondary education, or adult services.