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~subject:"Risk premium"
~subject:"Zinsstruktur"
~subject:"options"
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THREE-POINT VOLATILITY SMILE C...
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ECONIS (ZBW)
170
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Other ZBW resources
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1
A Non-Parametric Option Pricing Model: Theory and Empirical Evidence
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of Quantitative Finance and Accounting
24
(
2005
)
2
,
pp. 115-134
In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index
options
…
Persistent link: https://www.econbiz.de/10005701215
Saved in:
2
The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
-
2015
-
This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and
skewness
risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
Saved in:
3
Beta risk in the cross-section of equities
Boloorforoosh, Ali
;
Christoffersen, Peter F.
;
Fournier, …
-
2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
Saved in:
4
War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David
;
Mai, Dat
;
Pukthuanthong, Kuntara
-
National Bureau of Economic Research
-
2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
Saved in:
5
Option-Based Credit Spreads
Culp, Christopher L.
;
Nozawa, Yoshio
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
empirically show that indeed portfolios of long Treasuries and short traded put
options
("pseudo bonds") closely match the …
Persistent link: https://www.econbiz.de/10011145468
Saved in:
6
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
including global equities, global bonds, commodities, US Treasuries, credit, and
options
. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
7
Optimal Exercise for Derivative Securities
Detemple, Jérôme
- In:
Annual Review of Financial Economics
6
(
2014
)
1
,
pp. 459-487
This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives’ prices. Illustrative examples highlight the complexity of...
Persistent link: https://www.econbiz.de/10011094544
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8
Macro-Hedging for Commodity Exporters
Borensztein, Eduardo
;
Jeanne, Olivier
;
Sandri, Damiano
-
C.E.P.R. Discussion Papers
-
2009
commodity-exporting countries. We show that the introduction of hedging instruments such as futures and
options
enhances …
Persistent link: https://www.econbiz.de/10008577805
Saved in:
9
Performance Maximization of Actively Managed Funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
C.E.P.R. Discussion Papers
-
2010
literature suggests that even in the absence of any ability to predict returns, holding
options
positions on the benchmark assets …. The enhancement from holding
options
can be substantial if the implied volatilities of the
options
are higher than the …
Persistent link: https://www.econbiz.de/10008468707
Saved in:
10
Interpreting Prediction Market Prices as Probabilities
Wolfers, Justin
;
Zitzewitz, Eric
-
C.E.P.R. Discussion Papers
-
2006
While most empirical analysis of prediction markets treats prices of binary
options
as predictions of the probability …
Persistent link: https://www.econbiz.de/10005136573
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