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Volatility markets : consistent modeling, hedging and practical implementation
Bühler, Hans - 2006
Persistent link: https://www.econbiz.de/10003372033
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Tools for computational finance
Seydel, Rüdiger - 2006 - 3. ed.
Persistent link: https://www.econbiz.de/10003301721
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Tools for computational finance
Seydel, Rüdiger - 2009 - 4. ed.
Persistent link: https://www.econbiz.de/10003801677
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A stochastic Gordon-Shapiro formula with excess volatility
Kruschwitz, Lutz; Löffler, Andreas - 2020 - Version from May 29, 2020
depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive … cash flows process with random coefficients. We show that the model is free of arbitrage and that the transversality … (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are …
Persistent link: https://www.econbiz.de/10012228345
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Asset pricing with cognitive dissonance
Drees, Burkhard; Eckwert, Bernhard - 1993
well as regions of excessive price volatility and regions of excessive price stability. We find that the distortion of the …
Persistent link: https://www.econbiz.de/10009755238
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A classical model of speculative asset price dynamics
Inoua, Sabiou M.; Smith, Vernon L. - 2021
Persistent link: https://www.econbiz.de/10013256956
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Perishable goods versus re-tradable assets : a theoretical reappraisal of a fundamental dichotomy
Inoua, Sabiou M.; Smith, Vernon L. - 2022
Persistent link: https://www.econbiz.de/10013256970
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370