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Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2003
volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are … models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and …
Persistent link: https://www.econbiz.de/10005149038
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Implicit Bayesian Inference Using Option Prices.
Martin, G.M.; Forbes, C.S.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2000
is conducted implicitly, via observed option prices. A range of models which allow for conditional leptokurtosis …, skewness and time-varying volatility in returns, are considered, with posterior parameter distributions and model probabilities …
Persistent link: https://www.econbiz.de/10005427634
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 74-96
The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the...
Persistent link: https://www.econbiz.de/10011843228
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10010319199
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Bayesian option pricing using mixed normalheteroskedasticity models
Rombouts, Jeroen; Stentoft, Lars - Center for Operations Research and Econometrics … - 2009
While stochastic volatility models improve on the option pricing error when compared to theBlack-Scholes-Merton model, mispricings remain. This paper uses mixed normalheteroskedasticity models to price options. Our model allows for significant negative skewnessand time varying higher order...
Persistent link: https://www.econbiz.de/10005868652
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Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 74-96
The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the...
Persistent link: https://www.econbiz.de/10011555938
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
Rombouts, J. V. K. - 2010
, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When …
Persistent link: https://www.econbiz.de/10013137811
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The Predictive Power of S&P 500 Option Prices and the Stock Market Crash of 2008-2009
Sfiridis, James M. - 2012
Option market prices have often been regarded as a window on investor sentiment about the future price behavior of the underlying asset. Such prices can be very different from model prices and have long been noted by implied volatility plots revealing “smiles” or “smirks”. In this paper...
Persistent link: https://www.econbiz.de/10013116037
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Risk and Beta Anatomy in the Hedge Fund Industry
Savona, Roberto - 2012
Using a Bayesian time‐varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. In such a setting, we impose a structure on fund returns, betas...
Persistent link: https://www.econbiz.de/10013116243