Advanced quadrature methods to value multi-asset and complex path dependent options

Andricopoulos, Ari D. and Widdicks, Martin and Newton, David P. and Duck, Peter W. (2006) Advanced quadrature methods to value multi-asset and complex path dependent options. Journal of Financial Economics, 83 (2). pp. 471-499. ISSN 0304-405x

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Abstract

This paper studies the effect of financial crises on trade credit for a sample of 890 firms in six emerging economies. Although the provision of trade credit increases right after a crisis, it contracts in the following months and years. Firms that are financially more vulnerable to crises extend less trade credit to their customers. We argue that the decline in aggregate trade credit ratios is driven by the reduction in the supply of trade credit that follows a bank credit crunch, consistent with the “redistribution view” of trade credit provision, whereby bank credit is redistributed via trade credit from financially stronger firms to weaker firms.

Item Type:	Article
Uncontrolled Keywords:	Emerging markets; Financial crises; Trade credit
Subjects:	MSC 2010, the AMS's Mathematics Subject Classification > 76 Fluid mechanics
Depositing User:	Ms Lucy van Russelt
Date Deposited:	22 Mar 2007
Last Modified:	20 Oct 2017 14:12
URI:	https://eprints.maths.manchester.ac.uk/id/eprint/716

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