5,588 research outputs found
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
The aim of this work is to evaluate the cheapest superreplication price of a
general (possibly path-dependent) European contingent claim in a context where
the model is uncertain. This setting is a generalization of the uncertain
volatility model (UVM) introduced in by Avellaneda, Levy and Paras. The
uncertainty is specified by a family of martingale probability measures which
may not be dominated. We obtain a partial characterization result and a full
characterization which extends Avellaneda, Levy and Paras results in the UVM
case.Comment: Published at http://dx.doi.org/10.1214/105051606000000169 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Efficiency inducing taxation for polluting oligopolists: the irrelevance of privatization
This paper studies the optimal environmental policy in a mixed market when pollution accumulates over time. Specifically, we assume quantity competition between several private firms and one partially privatized firm. The optimal emission tax is shown to be independent of the weight the privatized firm puts on social welfare. The optimal tax rule, the accumulated stock of pollution, firms' production paths and profit streams are identical irrespective of the public firm's ownership status.Efficiency inducing taxation, Mixed duopoly, Privatization, Irrelevance
Strategic Privatization and Regulation Policy in Mixed Markets
In this paper we consider mixed oligopoly markets for differentiated goods where private and public firms compete either in prices or quantities. We then study the welfare effect of privatization interpreted as partial strategic delegation of the public firm to a private manager with profit concern. It is shown that partial privatization improves welfare with quantity competion when goods are subsitutes, and with price competition when goods are complements. However full privatization (complete delegation to private manager) can never be optimal. It is also shown that the public firm can make more profit than the private firm in equilibrium, and that this possibility is more likely under quantity competition. Turning to market regulation policy, we find : (i) that public and private firms should be taxed the same; and (ii) that price regulation is better than quantity regulation.
Efficiency inducing taxation for polluting oligopolists: the irrelevance of privatization
This paper examines the optimal environmental policy in a mixed oligopoly when pollution accumulates over time. Specifically, we assume quantity competition between several private firms and one partially privatized firm. The optimal emission tax is shown to be independent of the weight the privatized firm puts on social welfare. The optimal tax rule, the accumulated stock of pollution, firms' production paths and profit streams are identical irrespective of the public firm's ownership status.Mixed Oligopoly; Pollution Control; Markovian Taxation
Efficiency inducing taxation for polluting oligopolists: the irrelevance of privatization
This paper examines the optimal environmental policy in a mixed oligopoly when pollution accumulates over time. Specifically, we assume quantity competition between several private firms and one partially privatized firm. The optimal emission tax is shown to be independent of the weight the privatized firm puts on social welfare. The optimal tax rule, the accumulated stock of pollution, firms’ production paths and profit streams are identical irrespective of the public firm’s ownership status.
Short time heat diffusion in compact domains with discontinuous transmission boundary conditions
We consider a heat problem with discontinuous diffusion coefficientsand
discontinuous transmission boundary conditions with a resistancecoefficient.
For all compact -domains with a
-set boundary (for instance, aself-similar fractal), we find the first term
of the small-timeasymptotic expansion of the heat content in the complement
of, and also the second-order term in the case of a regularboundary.
The asymptotic expansion is different for the cases offinite and infinite
resistance of the boundary. The derived formulasrelate the heat content to the
volume of the interior Minkowskisausage and present a mathematical
justification to the de Gennes'approach. The accuracy of the analytical results
is illustrated bysolving the heat problem on prefractal domains by a finite
elementsmethod
Short-run stick and long-run carrot policy: the role of initial conditions
This paper explores the dynamic properties of price-based policies in a model of competition between two jurisdictions. Jurisdictions invest over time in infrastructure to increase the quality of the environment, a global public good. They are identical in all respects but one: initial stocks of infrastructure. This is a dynamic type of heterogeneity that disappears in the long run. Therefore, at the steady state, usual intuitions from static settings apply: identical jurisdictions inefficiently under-invest, calling for public subsidies. In the short run, however, counterintuitive properties are established: i) the evolution of capital stocks can be non-monotonic, ii) one jurisdiction can be temporarily taxed, even though it should increase its investment, whereas the other is subsidized. It is shown how these phenomena are related to initial conditions and the kind of interactions between infrastructure capitals, complementarity or substitutability.
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