The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Sørensen, Michael; Forman, Julie Lyng; Sommer, Margit

doi:10.2139/ssrn.1150110

Cited by 7 publications

(5 citation statements)

References 50 publications

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“…Similarly, given that the regulations are not strict on exactly how valuations In contrast to results from the U.S., there is only weak evidence of deliberate underreporting, but quite some evidence that firms find it difficult to obtain appropriate values for important parameters like volatility and that firms have trouble taking into account complicated features like time varying exercise prices in their valuations. The expected time to maturity generally seems 17 We have examined the robustness of this result by using several other measures for the magnitude of the option-based compensation. However, no evidence exists in any of the cases that shows that larger programs lead to more underreporting.…”

Section: Resultsmentioning

confidence: 91%

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Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

Bechmann

Hjortshoj

2007

SSRN Journal

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New accounting standards require firms to expense the costs of option-based compensation (OBC), but the associated valuations offer many challenges for firms. Earlier research has documented that firms in the U.S. generally underreport the values of OBC by manipulating the inputs used for valuation purposes. This paper examines the values of OBC disclosed by Danish firms. The results suggest that firms experience some difficulties in valuing OBC, but interestingly, there is no clear evidence of deliberate underreporting. For example, there is no evidence that firms use manipulated values for the Black-Scholes parameters in their valuations. Furthermore, firms determine the expected time to maturity in a way that is generally consistent with the guidelines provided by the new accounting standards.The findings differ from those of the U.S., but is consistent with the more limited use of OBC and the lower level of attention paid to these values in Denmark. However, the differences can also be due to the fact that several Danish firms do not provide the information required regarding their OBC, which is clearly a very effective way of hiding the true values.

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Section: Resultsmentioning

confidence: 91%

“…17 This result is again interesting in light of the findings from the U.S., where larger programs generally lead to more underreporting obtained by using shorter expected time to maturity. Finally, we control for year effects in Model (4) to Model (9) and industry effects in Model (7) to Model (9).…”

Section: Expected Time To Maturity and Program Characteristicsmentioning

confidence: 82%

Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

Bechmann

Hjortshoj

2007

SSRN Journal

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“…For further details of the Jacobi process see e.g. Sørensen and Forman (2007) or Gourieroux and Jasiak (2006). min u∈L 2…”

Section: The Optimal Control Problemmentioning

confidence: 99%

Stochastic optimal control for nonlinear damped network dynamics

Göttlich¹,

Schillinger²

2022

Preprint

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We present a stochastic optimal control problem for a tree network. The dynamics of the network are governed by transport equations with a special emphasis on the non-linear damping function. Demand profiles at the network sinks are modelled by a stochastic differential equations. An explicit optimal inflow into the network is determined and numerical simulations are presented to show the effects for different choices of the non-linear damping.

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“…The parameter θ(t) is now considered as a function in time. Existence and uniqueness of solutions to (3.5) can be guaranteed under similar assumptions as for (3.1) finding appropriate estimates for θ (see [28]).…”

Section: A Jacobi Process With Time-dependent Mean Reversion Levelmentioning

confidence: 99%

Control strategies for transport networks under demand uncertainty

Göttlich

Schillinger

2022

Adv Comput Math

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In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to stochastic differential equations. For the demand satisfaction, we solve a constrained optimal control problem. Controls in terms of network inputs are then calculated explicitly for different assumptions. Numerical simulations are performed to underline the theoretical results.

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The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Cited by 7 publications

References 50 publications

Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

Stochastic optimal control for nonlinear damped network dynamics

Control strategies for transport networks under demand uncertainty

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