Search Results - subject:"SMILE"

Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the …

Persistent link: https://www.econbiz.de/10010404146

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...

Persistent link: https://www.econbiz.de/10010326423

Volatility Smirk as an Externality of Agency Conict and Growing Debt

McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side eect of agency conict. An important distinction is that the smirk occurs in the optimum, even after agency conict has been resolved. The slope of the smirk is found to...

Persistent link: https://www.econbiz.de/10011162550

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Persistent link: https://www.econbiz.de/10011268659

Illiquidity Premia in the Equity Options Market

Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013

Illiquidity is well-known to be a significant determinant of stock and bond returns. We report on illiquidity premia in the equity options market. An increase in option illiquidity decreases the current option price and implies higher expected option returns. This effect is statistically and...

Persistent link: https://www.econbiz.de/10010851197

Analysing movements in investor’s risk aversion using the Heston volatility model

ALUPOAIEI, Alexie; HREBENCIUC, Andrei; SĂNDICĂ, Ana-Maria - In: Theoretical and Applied Economics XVIII(2013) (2013) 3(580), pp. 121-134

In this paper we intend to identify and analyze, if it is the case, an “epidemiological” relationship between forecasts of professional investors and short-term developments in the EUR/RON exchange rate. Even that we don’t call a typical epidemiological model as those ones used in biology...

Persistent link: https://www.econbiz.de/10011004935

Integration of Forestry Industrial Chain in China

Lan, Zhanzhan; Wang, Liqun - In: Asian Agricultural Research 05 (2013) 03

Based on the Smile Curve and Michael E. Porterâ€™ value chain model, this paper points out that Chinaâ€™s forestry …

Persistent link: https://www.econbiz.de/10011143336

Significance of Volatility in Option Pricing

Maria-Miruna, Pochea; Angela-Maria, Filip - In: Ovidius University Annals, Economic Sciences Series XIII (2013) 1, pp. 1440-1444

volatility and strike price known as volatility smile and the relationship between volatility and option’ s maturity – the …

Persistent link: https://www.econbiz.de/10010679453

Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009784936

Implied volatility surfaces during the period of global financial crisis

Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10011922944