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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the …
Persistent link: https://www.econbiz.de/10010745304
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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and … sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …-Robinson (2002), and market data from the French options market. We show that di¤erences between the original, corrected, and our …
Persistent link: https://www.econbiz.de/10011071378
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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Evaluating Incentive Options
Xiong, Wei; Sircar, Ronnie - Econometric Society - 2004
We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting … resetting to capture the fact that firms tend to grant more options after existing options are either exercised or become deep … out of the money. By treating the incentive option as a flow of barrier options, we are able to obtain a near …
Persistent link: https://www.econbiz.de/10005329033
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Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
García, Alejandro; Prokopiw, Andrei - Bank of Canada - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities—notably, central banks—focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of...
Persistent link: https://www.econbiz.de/10008549271
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Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
Vedolin, Andrea - London School of Economics (LSE) - 2012
Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas orchard with heterogeneous beliefs, stochastic...
Persistent link: https://www.econbiz.de/10010745732
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Tracking Brazilian Exchange Rate Volatility
Tabak, Benjamin Miranda; Andrade, Sandro Canesso de; … - Econometric Society - 2004
This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option which is not present in past returns....
Persistent link: https://www.econbiz.de/10005063748
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CoMargin
Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...
Persistent link: https://www.econbiz.de/10010849953
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010960394
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The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
McCulloch, J. Huston - Econometric Society - 2004
The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul … Fourier Transform (FFT) can be used to quickly evaluate options directly from the characteristic function of any RNM. The log …-stable RNM characteristic function presented here therefore greatly facilitates the pricing of options on log-stable assets, by …
Persistent link: https://www.econbiz.de/10005328962