DEPARTMENT OF MANAGEMENT

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1 DEPARTMENT OF MANAGEMENT AFDELING FOR VIRKSOMHEDSLEDELSE Working Paper Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates: A Critique Bent Jesper Christensen UNIVERSITY OF AARHUS C DENMARK ISSN

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12 AFDELING FOR VIRKSOMHEDSLEDELSE DEPARTMENT OF MANAGEMENT UNIVERSITY OF AARHUS Tel. (+45) AFV-SKRIFTER Working Papers - Research Notes ( : Ifv-Skrifter ISSN ) Peder Smed Christensen:»Strategy, Opportunity Identification, and Entrepreneurship - A Study of the Entrepreneurial Opportunity Identification Process«. (Doctoral Dissertation) Jørn Flohr Nielsen:»Informationsteknologi og borgerkontakt i danske kommunalforvaltninger«, Bidrag til 4. Nordiske Konference i Serviceledelse, Oslo, April Bendt Rørsted:»Decentralisering og målstyring - resultatcentre i et pengeinstitut?«, Bidrag til Festskrift til Laurits Ringgård. (Reprint) Bendt Rørsted:»Kvalitet i de handelsmæssige/økonomiske uddannelser«, Bidrag til Undervisningsministeriets handelsudvalg Peder Smed Christensen, Ole Øhlenschlæger Madsen & Rein Peterson:»Opportunity Identification: The Contribution of Entrepreneurship to Strategic Management«. Paper presented at the 9th Annual Strategic Management Society Conference»Strategies for Innovation«, San Francisco, October Johannes Raaballe:»Realinvestering, finansiel skattearbitrage samt dividende«, I Johannes Raaballe:»Realinvestering og leasing«, II Johannes Raaballe: Egen- og fremmedkapital samt ligevægt«, III Hans Peter Myrup:»Økonomisk styring af fjernvarmeproduktionens omfang ved forenet produktion af varme og affaldsforbrænding« Johannes Raaballe:»Beskatningsformer, realinvesteringer og rente«, IV Peder Smed Christensen og Rein Peterson:»Opportunity Identification: Mapping the Sources of New Venture Ideas« Bendt Rørsted:»Balance Lost? - An Appraisal of Activity Based Costing« Johannes Raaballe and Klaus Bjerre Toft:»Taxation in Bond Markets Characterized by No Arbitrage Equilibrium«, V Hans Peter Myrup:»Nogle enkle matematiske modeller til brug ved driftsøkonomisk analyse« Johannes Raaballe:»Gældseftergivelse burde være skattepligtig, salg af skattemæssige underskud bør ske uhindret« Jørn Flohr Nielsen:»Administrative job under ændring, - ny teknologi hos kommunalt ansatte«.

13 Bendt Rørsted:»Activity-Based Confusion? - ABC-status primo English version: Activity-Based Costing Activity-Based Confusion? Kent T. Nielsen:»Industrielle netværk«. Licentiatafhandling Peder Smed Christensen, Ole Øhlenschlæger Madsen og Rein Peterson:»Identification of Business Opportunities« Peder Smed Christensen:»Strategic Group and Country Culture Influences on Strategic Issue Interpretation« Ole Øhlenschlæger Madsen og Peder Smed Christensen:»Virksomhedens fornyelsesproces«. Genoptryk fra Ledelse- & Erhvervsøkonomi, 4/ årgang, oktober Jørn Flohr Nielsen:»En trængt leders tidsanvendelse - tidsregistreringer og udskiftninger af socialchefer« Bendt Rørsted:»The Liberation of Management Accounting« Mogens Dilling-Hansen, Kristian Rask Petersen og Valdemar Smith:»Mobilitetsanalyse for fyringstruede ansatte på en større lokaltdominerende arbejdsplads« Johs. Raaballe:»On Black, Blue and Orange Bonds«- A Tax Arbitrage Model with Asymmetric Taxation Johs. Raaballe:»Kursgevinstbeskatning af obligationer efter realisationsprincippet« Per Nikolaj D. Bukh:»Technical Efficiency and Returns to Scale in the Danish Banking Sector: An Application of a Nonparametric Estimation Method« Jens Holmgren:»Teknologiske forandringer belyst i organisationskulturens skær«. Licentiatafhandling Jørn Flohr Nielsen and Niels Jørgen Relsted:»The New Agenda for User Participation - Reconsidering the Old Scandinavian Prescription« Bendt Rørsted:»Strategies in a Euro-Brand Market« Bendt Rørsted:»Management Accounting on its own«. (se ) Jens Hørlück:»The Pragmatics of EDI« Martin Lippert-Rasmussen:»Core Capabilities and Boundaries of the Firm« Mogens Dilling-Hansen, Kristian Rask Petersen og Valdemar Smith:»Testing the Catch-Up Hypothesis on Danish Regional Data« Johs. Raaballe:»Om sorte og blå fordringer (II). Private investorers arbitragemuligheder, hvem køber og udsteder fordringerne« Johs. Raaballe:»Multi-period Asset Pricing and Tax Arbitrage when Capital Gains are Taxed on an Accrual Basis« Martin Lippert-Rasmussen:»On reputation effects and transaction costs« Per Nikolaj D. Bukh:»Efficiency Loss in the Danish Banking Sector: A Data Envelopment Approach« Lars Bonderup Bjørn:»Koordinationstiltag: Erfaringer fra 6 østjyske logistikafdelinger« J.V. Lundberg-Petersen:»Erfaringerne med zero-base systemet i private virksomheder« J.V. Lundberg-Petersen:»Budgetudarbejdelse og budgetkontrollering hos PLS Consult A/S.«

14 Arne Geel Andersen:»Værdiansættelse af anlægsaktiver i årsregnskabet - en teoretisk analyse« Jørn Flohr Nielsen & Jens Genefke:»Tracing the Barriers and Possibilities of Co-operation« Niels Warrer:»Budgetary Doubts« Niels Peter Mols:»Transaktionsomkostningsteori og andelsorganisering« Lars Bonderup Bjørn:»Organisatorisk grænsedragning ved danske virksomheders etablering i Japan« Jørn Flohr Nielsen:»Servicevirksomhedens grænse« Bendt Rørsted:»Budgettets rolle i en serieproducerende sæsonvirksomhed« Jens Holmgren:»Bidrager transaktionsomkostningsteorien til større forståelse af intraorganisatoriske forhold?« Johannes Raaballe and Jesper Helmuth Larsen:»Bond Pricing with Differential and Asymmetric Taxation» Per Nikolaj D. Bukh og Boel E. L. Christensen:»Subteknologier i pengeinstitutsektoren: En dataindhyldningsanalyse« Jens Genefke og Jens Holmgren:»Service-Management i Contingency-Belysning: En ledelsesorienteret klassifikation af produktionssitu-ationer« Hans-Joachim Zilcken:»The Privatised Enterprise in Russia: From Centralised Allocation of Supplies to Search for Market Development« Jens Hørlück:»Efter EDI: Elektroniske hierarkier, elektroniske markeder, eller?« Bendt Rørsted:»Det interne regnskabsvæsens driftsøkonomiske grundlag« Niels Peter Mols:»The Exercise of Power and Satisfaction in a Buyer-Seller Relationship« Anders Grosen and Peter Løchte Jørgensen:»The Valuation of Inte-rest Rate Guarantees: An Application of American Option Pricing Theory« Per Nikolaj D. Bukh:»Produktivitet og efficiens i pengeinstitutsektoren - Overvejelser ved valg af input og output i forbindelse med DEA-analyser« Johannes Raaballe og Peter Lyhne Hansen:»Manglende Baissemuligheder på Københavns Fondsbørs« Niels Warrer:»Budget Format« Niels Peter Mols:»Plural Forms of Governance« Lars Bjørn and Jørn Flohr Nielsen:»Organizational or Cultural Interfaces of Foreign Subsidiaries?« Niels Peter Mols:»A Note on the Institutional Environment in Williamson's Transaction Cost Theory« Peter Løchte Jørgensen and Johannes Raaballe:»Numeraire Invariance, Change of Measure, and Pricing by Arbitrage in Continuous Time Financial Models« Mogens Dilling-Hansen and Valdemar Smith:»Estimating Inter-Regional Migration Using a Hiring Function Approach« Brian Almann Hansen:»Price Search in the Retail Grocery Market« Niels Peter Mols:»Danish Farmers Vertical and Horizontal Interfirm Relationships«.

15 Per Nikolaj D. Bukh:»Activity Based Costing« Per Nikolaj D. Bukh:»Kunderentabilitetsanalyser« Jens Genefke og Per Nikolaj D. Bukh:»On hikers, tigers, trust and opportunism« Per Nikolaj D. Bukh og Jens Genefke:»Om at hælde gammel teori ud« Niels Peter Mols:»Teoretiske tilgange til duale distributionskanaler« Bendt Rørsted:»From Product to Core Competence - Marketing Theory « Per Nikolaj D. Bukh:»Den balancerede rapportering« Niels Peter Mols, Per Nikolaj D. Bukh og Per Blenker:»European Customers Choice of Domestic Cash Management Banks« Per Nikolaj D. Bukh, Niels Peter Mols og Per Blenker:»Choosing a Cash Management Bank: customer criteria and bank strategies« Niels Peter Mols:»Dual Channels of Distribution« Per Blenker:»Strategibegrebet: belyst ved industrielle underleverandøraftager relationer« Asbjørn T. Hansen og Peter Løchte Jørgensen:»Analytical Valuation of American-style Asian Options« Johannes Raaballe:»Egenkapitalproblemer ved generationsskifte i landbruget« J.V. Lundberg-Petersen:»Resultatbudgettets skematiske form« Jørn Flohr Nielsen og Viggo Høst:»The Path to Service Quality at <Bureaucratic Encounters: The Impact of Private and Public Initiatives«ISSN

16 Working Papers published by the Department of Management 1998: WP : Asbjørn T. Hansen og Peter Løchte Jørgensen: Exact Analytical Valuation of Bonds when Spot Interest Rates are Log-Normal WP : Niels Peter Mols, Per Nikolaj D. Bukh og Jørn Flohr Nielsen: Distribution Channel Strategies in Retail Banking WP : Niels Peter Mols: The Internet and the Bank's Strategic Distribution Channel Decisions WP : Niels Peter Mols: The Behavioral Consequences of PC Banking WP : Niels Peter Mols: IT-based distribution channels in retail banking WP : Per Nikolaj D. Bukh og Niels Peter Mols: European customers' choice of cash management bank and bank strategies WP : Per N. D. Bukh, Peter B. Olesen, Niels Peter Mols og Jørn Flohr Nielsen: Ny økonomistyring i den finansielle sektor: aktivitetsbaserede regnskabssystmer WP : Niels Peter Mols, Henrik Antvor and Per Nikolaj D. Bukh: The Stability of Benefit Segments in the European Market for Cash Management Services WP : Jørn Flohr Nielsen, Per N. D. Bukh, Niels Peter Mols og Peter B. Olesen: Barrierer for kundeorienteret styring i finansielle virksomheder WP : Niels Peter Mols, Per Nikolaj D. Bukh and David F. Birks: Micro- and Macro-Segmentation of the European Market for Cash Management Services WP : Michael Knie-Andersen og Per Nikolaj D. Bukh: Dansk Skadesforsikring: En DEA-baseret strukturanalyse WP : Ken L. Bechmann and Johannes Raaballe: Regulatory Restrictions on Bids for Dual Class Shares: Two Shares - One Price WP : Charlotte Strunk Hansen: The Relationship Between Implied and Realized Volatility in the Danish Option and Equity Markets WP : Bendt Rørsted: Indlæringskurvens anvendelighed - fire virksomhedseksempler

17 Working Papers published by the Department of Management 1999: WP : Anders Grosen and Peter Løchte Jørgensen: Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies WP : Niels Peter Mols, Poul H. Andersen, David F. Birks and Per Nikolaj D. Bukh: A comparative study of sourcing strategies WP : Jørn Flohr Nielsen, Per Nikolaj D. Bukh, and Niels Peter Mols: Barriers to Customer-oriented Control in Financial Services WP : Bent Jesper Christensen and Tomas Björk: Interest Rate Dynamics and Consistent Forward Rate Curves WP : Bent Jesper Christensen and Nicholas M. Kiefer: Simulated moment methods for Empirical Equivalent martingale Measures WP : Niels Peter Mols: The Internet and Services Marketing - Danish bankers' perceptions and expectations WP : Per Nikolaj D. Bukh og Jan Mouritsen: Videnregnskaber WP : Niels Peter Mols Organizing for the Effective Introduction and Exploitation of New Distribution Channels in Retail Banking WP : Bent Jesper Christensen and Nicholas Kiefer Financial Panel Data, Local Cuts, and Orhtogeodesic Models WP : Hanne Kargaard Thomsen and Viggo Hoest Employees perception of the Learning Organisation WP : Bjarke Jensen, Peter Løchte Jørgensen and Anders Grosen A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities WP : Bent Jesper Christensen, Peter Jensen, Michael Svarer Nielsen, Kim Poulsen and Michael Rosholm Public Finance Effects in an Equilibrium Search Model with Differences in Company Productivity Levels: An Application to Danish Data WP : Charlotte Christiansen and Charlotte Strunk Hansen Implied Volatilily of Interest Rate Options: An Empirical Investigation of the Market Model WP : Bendt Rørsted Resultatstrategi eller forandringsstrategi - en Abell-analyse af "Gustav Lübke"

18 WP : H. Bunzel, B.J.Christensen, P. Jensen, N.M. Kiefer, L. Korsholm, L. Muus, G.R. Neumann, M. Rosholm Investment in Human Capital versus Differences in Company Productivity Levels: Specification and Estimation of Equilibrium Search Models for Denmark WP : Jørn Flohr Nielsen and Christian Preuthun Pedersen The Consequences and Limits of Empowerment in Financial Services WP : H. Bunzel, B.J.Christensen, N.M. Kiefer, L. Korsholm The Asset Pricing Approach to the Rate of Return to Human Capital: An Equilibrium Search Framework for Denmark Working Papers published by the Department of Management 2000: WP : Niels Warrer Masterplan WP : Johannes Raaballe Om kommunernes salg-og-lej-tilbage aftaler WP : Niels Warrer Kundeordrer i driftsplanen WP : Bent Jesper Christensen Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates: A Critique (ISSN )