The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes

Article Abstract:

An alternative methodology for testing the arbitrage pricing theory is developed. The technique generates the unexpected components which is based on expectations formation as a learning process, as opposed to the use of prespecified observed variables which relies on the construction of unexpected components of the variables. It also results in more reliable inferences regarding tests and applications of the arbitrage pricing theory.

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Valuing the strategic option to sell life insurance business: Theory and evidence

Article Abstract:

An option pricing method within an asset-liability valuation model is demonstrated for use in estimating the incentives facing stock-based life insurance firms.

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A linearly implicit predictorucorrector scheme for pricing American options using a penalty method approach

Article Abstract:

A penalty method approach for American options pricing in linearly and predicator corrector schemes is presented.

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