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A Semiparametric Estimation of Liquidity Effects on Option Pricing
(1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ...
Optimal Environmental Taxation When Goods and Contamination are Durable
(1999-11)
[EN] This paper analyzes the effects of optimal taxation on a polluting monopolist who produces a durable good and cannot precommit to future sale prices. The government establishes the taxes that maximize social welfare, ...