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Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...
Persistent link: https://www.econbiz.de/10012865720
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A New Set of Financial Instruments
Shirvani, Abootaleb - 2019
In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for hedging derivatives assuming that a hedger should not always...
Persistent link: https://www.econbiz.de/10012859405
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Valoración de Bonos con Opciones (Valuation of Bonds with Options)
Fernandez, Pablo - 2013
En este documento se valoran varias emisiones de bonos bolsa (un tipo de bonos estructurados) emitidos en Espantilde;a. Estis instrumentos financieros son la combinacioacute;n de un bono y una o maacute;s opciones.I value several issues of 'bonos bolsa' issued in Spain. These instruments are the...
Persistent link: https://www.econbiz.de/10012711142
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Valoración de Opciones por Simulación (Simulation for Option Valuation)
Fernandez, Pablo - 2013
En este documento se muestra coacute;mo utilizar la simulacioacute;n para valorar opciones y otros instrumentos financieros. Tambieacute;n se muestra coacute;mo se ha de realizar la simulacioacute;n para, al valorar opciones, obtener el mismo resultado que con la foacute;rmula de Black y Scholes.MBA...
Persistent link: https://www.econbiz.de/10012711143
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Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes
Akyildirim, Erdinc - 2019
We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …
Persistent link: https://www.econbiz.de/10012865818
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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...
Persistent link: https://www.econbiz.de/10012974407
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Multiple Subordinated Modeling of Asset Returns : Implications for Option Pricing
Shirvani, Abootaleb - 2020
Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern dynamic asset pricing theory. In this paper, we introduce the theory of multiple internally embedded financial...
Persistent link: https://www.econbiz.de/10012839518
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Reconciling Behavioral Finance and Rational Finance
Shirvani, Abootaleb - 2020
In this paper, we explain main concepts of Prospect Theory and Cumulative Prospect Theory within the rational dynamic asset pricing framework. We derive option pricing formulas when asset returns are altered by a generalized Prospect Theory value function or a modified Prelec's weighting...
Persistent link: https://www.econbiz.de/10012839774
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Comments on 'a Reconsideration of Tax Shield Valuation'
Fernandez, Pablo - 2004
Although Arzac and Glosten (2005) affirm that the value of tax shields depends upon the nature of the equity stochastic process, which, in turn depends upon the free cash flow process, I prove that the value of tax shields depends only upon the nature of the stochastic process of the net...
Persistent link: https://www.econbiz.de/10012737796
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Valuation Methods and Shareholder Value Creation
Fernandez, Pablo - 2004
Valuation Methods and shareholder value creation is a complete book about business valuation and value creation. The book explains the nuances of different valuation methods and provides the reader with the tools for analyzing and valuing any business, no matter how complex. With 631 pages...
Persistent link: https://www.econbiz.de/10012785366