Search Results - subject:"hors échantillon"

Les marchés financiers sont-ils efficients ? L’exemple du marché des changes.

DI FILIPPO, Gabriele; BOUVERET, Antoine - Université Paris-Dauphine - 2009

Le présent article analyse l’efficience du marché des changes. L’article reconsidère la définition originelle de l’efficience au sens de Fama (1965) en mettant en lumière les différentes contradictions internes de cette définition. Partant de là, trois définitions de...

Persistent link: https://www.econbiz.de/10008492131

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2009

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...

Persistent link: https://www.econbiz.de/10005100954

Les marchés financiers sont-ils efficients ? L’exemple du marché des changes

Di Filippo, Gabriele; Bouveret, Antoine - Université Paris-Dauphine (Paris IX) - 2009

Persistent link: https://www.econbiz.de/10011074576

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Wang, Yintian - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model...

Persistent link: https://www.econbiz.de/10005101069

The Importance of the Loss Function in Option Valuation

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...

Persistent link: https://www.econbiz.de/10005100937

Option Valuation with Conditional Skewness

Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

There is extensive empirical evidence that index option prices systematically differ from Black-Scholes prices. Out-of-the-money put prices (and in-the-money call prices) are relatively high compared to the Black-Scholes price. Motivated by these empirical facts, we develop a new discrete time...

Persistent link: https://www.econbiz.de/10005101071

Which Volatility Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002

particulier, lorsqu'elle est évaluée hors-échantillon, notre analyse favorise un modèle qui, outre le groupement de volatilités …

Persistent link: https://www.econbiz.de/10005100917

On Out-of-Sample Statistics for Time-Series

Bengio, Yoshua; Gingras, François; Nadeau, Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2002

horizon. Cet article étudie une statistique hors-échantillon pour la prédiction de séries temporelles qui est analogue à la … variance de cette statistique hors-échantillon. Nous suggérons que la statistique hors-échantillon est plus robuste aux … réalisées pour plusieurs horizons de prédictions, et nous étudions la relation entre la prédictibilité (hors-échantillon), la …

Persistent link: https://www.econbiz.de/10005273024

The Importance of the Loss Function in Option Pricing

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Which loss function should be used when estimating and evaluating option pricing models? Many different fucntions have been suggested, but no standard has emerged. We do not promote a partidular function, but instead emphasize that consistency in the choice of loss functions is crucial. First,...

Persistent link: https://www.econbiz.de/10005100978