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Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019

Persistent link: https://www.econbiz.de/10012124936

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy …

Persistent link: https://www.econbiz.de/10012019316

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

Persistent link: https://www.econbiz.de/10013224964

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...

Persistent link: https://www.econbiz.de/10012897413

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

Persistent link: https://www.econbiz.de/10012480268

The influence of the U.S. uncertainty shocks on Latin American economies

Attílio, Luccas Assis - In: Brazilian review of econometrics : BRE ; the review of … 42 (2022) 2, pp. 98-119

Persistent link: https://www.econbiz.de/10015083578

Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets : identification using prices of gold and oil

Bettendorf, Timo - 2025

traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski …

Persistent link: https://www.econbiz.de/10015410353

Demand-based option pricing

Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - 2005

Persistent link: https://www.econbiz.de/10003240184

Demand-based option pricing

Garleanu, Nicolae (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003726854

Volatility Smile and Risk Neutral Density for FX Options : An Example for the USDMXN

Murra, Luis - 2017

Quadratic Polynomial. In addition, the Risk Neutral Density is estimated with the first two models. It is shown that not … risk management, portfolio selection, and financial event studies …

Persistent link: https://www.econbiz.de/10012967622