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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

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

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - 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

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

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

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

The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets

Kang, Jangkoo; Park, Hyoung-Jin - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 227-254

, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer …

Persistent link: https://www.econbiz.de/10005080730

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

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

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