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An Improved Estimator For Black-Scholes-Merton Implied Volatility
Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Persistent link: https://www.econbiz.de/10010730867
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From Skews to a Skewed-t
de Jong, de Jong, C.M.; Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2000
-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … to compare different distributions and use the parameters as inputs to price other options. We explain the method … provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than …
Persistent link: https://www.econbiz.de/10010731324
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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010837529
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Fund liquidation, self-selection and look-ahead bias in the hedge fund industry
Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004
A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...
Persistent link: https://www.econbiz.de/10010837672