Price bias and common practice in option pricing

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump intensity. A popular practice is to use an estimate of these latent factors to compute the option price. However, in many situations this plug-and-play approximation does not yield the appropriate price. This article examines this bias and quantifies its impacts. We decompose the bias into terms that are related to the bias on the unobservable factors and to the precision of their point estimators. The approximated price is found to be highly biased when only the history of the stock price is used to recover the latent states. This bias is corrected when option prices are added to the sample used to recover the states' best estimate. We also show numerically that such a bias is propagated on calibrated parameters, leading to erroneous values. The Canadian Journal of Statistics 48: 8–35; 2020 © 2019 Statistical Society of Canada     

Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data.     

International and intercultural issues in English teaching textbooks: the case of Spain

The sociocultural content of foreign language textbooks has become a concern of scholars and practitioners owing to the fact that the traditional emphasis on purely linguistic issues has been expanded to embrace a language in context approach. This paper studies the English‐speaking communities that are described in English language teaching textbooks marketed in Spain. It examines to what extent an international and/or intercultural approach is a constituent element in their design.     

Erroneous perceptions and arousal among regular and occasional video poker players

This study investigated the relationship between the level of arousal (Heart Rate) and the number of erroneous perceptions among video poker players. Twelve regular and twelve occasional gamblers participated in a gambling session conducted in a natural environment. It was hypothesised that 1) a significant positive correlation would be observed between arousal and the number of erroneous verbalizations, 2) regular players would show a higher level of arousal than occasional players, and 3) they would emit more erroneous verbalizations. Results showed that hypotheses one and three were confirmed. Theoretical and practical implications of these results for the psychology of gambling are discussed.This study was supported by a grant from Loto-Québec.     

How bad can a voting location be

Two questions concerning the location of a single facility by a voting process are investigated for transportation networks:

- What is the maximum number of customers located on the network preferring some rival point over a voting solution?

- How does the average distance of the customers to the facility increase when a voting location instead of a Weber location is chosen for the facility?

Complete answers are given for general networks and for certain planar networks, viz., the so-called generalized cacti.     

Leveraging middle managers’ brokerage for corporate entrepreneurship: The role of multilevel social capital configurations

Building on recent efforts to bring a socio-political perspective to social capital research, we develop and test a multilevel framework that explains why middle managers who occupy brokerage positions differ in their ability and willingness to engage in entrepreneurial behavior. More specifically, we provide a contextualized understanding of the links among middle managers' brokerage, their political-support ties, and their personal initiative. Results derived from data on 383 middle managers and 72 top managers in 34 business units indicate that political-support ties with top managers strengthen the relationship between middle managers’ brokerage and personal initiative. However, this positive effect depends on the social capital resources available in the focal business unit. It is attenuated in business units with a supportive and trusting social context and amplified in business units with high levels of internal connectedness. By uncovering these incompatibilities and complementarities, our study demonstrates the value of accounting for different social capital configurations and the interplay of their inherent social capital resources when examining the effects of brokerage on corporate entrepreneurship.     

The ecosystem blueprint: How firms shape the design of an ecosystem according to the surrounding conditions

Ecosystems are formed by organisations that jointly create a value proposition that a single firm could not create in isolation. To deliver this value proposition, the partners need a focal firm, the orchestrator, to be align them towards the joint value proposition. Thus, how orchestrators design the alignment structure of an ecosystem is at the very heart of the ecosystem concept – yet it has not been sufficiently addressed by extant research. This is all the more true for the question of how the design of an ecosystem is shaped depending on surrounding conditions. This paper applies a qualitative study with ten cases and, based on the attention-based view of the firm, contributes to research on ecosystems in several ways. First, it explains which ecosystem designs are beneficial under which conditions. Second, it elucidates the structure and activities within ecosystems and shows that start-ups can be just as good ecosystem orchestrators as incumbents. Third, it explains the circumstances under which single vs. multi orchestrator ecosystems occur. Fourth, it presents the conditions when incumbents or start-ups make better orchestrators. Finally, it is among the first studies to apply the attention-based view to business ecosystems, and shows that doing so yields intriguing insights into this emerging field of research.     

The relationship between presenteeism and job satisfaction: A mediated moderation model using work engagement and perceived organizational support

Research on presenteeism has largely focused on its prevalence, determinants and consequences on the health of both employees and organizations. To date, few studies have examined the influence of presenteeism on workers’ attitudinal and motivational responses. Based on the Effort–Recovery Theory, this study evaluates the mediating effect of work engagement in the relationship between presenteeism and job satisfaction. Building on previous work, this study also proposes to consider perceived organizational support as a moderator of the work engagement–job satisfaction relationship. Presented in the form of a mediated moderation model, the results of bootstrapped regression analyses show three main results. First, presenteeism is negatively associated with work engagement and job satisfaction. Secondly, work engagement is one of the factors through which presenteeism influences job satisfaction. Thirdly, perceived organizational support moderates the association between work engagement and job satisfaction so that, at a low level of work engagement, feeling supported by the organization makes a difference on job satisfaction. Overall, this research is part of the limited number of studies that have focused on the interplay existing between presenteeism and its consequences in terms of job attitudes.