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Asset and Commodity Prices with Multiattribute Durable Goods

Detemple, Jérôme B.; Giannikos, Christos I. - Centre Interuniversitaire de Recherche en Analyse des … - 1995

We consider a pure exchange representative agent economy with perishable and durable commodities in which the durable good provides status as well as services. We examine the effects of the durable's attributes on demands and equilibrium prices. When the attributes are perfect substitutes...

Persistent link: https://www.econbiz.de/10005100565

Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

Detemple, Jérôme B.; Murthy, Shashidhar - Centre Interuniversitaire de Recherche en Analyse des … - 1997

-value premium, and a collateral-value premium. The validity of the no-arbitrage pricing approach is shown to depend critically on …'absence d'arbitrage dépend de manière critique de la différence entre un actif réel et sa contrepartie synthétique. …

Persistent link: https://www.econbiz.de/10005100668

Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets

Detemple, Jérôme B.; Gottardi, Piero - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets in which agents have general preference and endowment distributions. We show that these properties are distinct....

Persistent link: https://www.econbiz.de/10005100865

Nonparametric Estimation of American Options Exercise Boundaries and Call Prices

Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1996

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this...

Persistent link: https://www.econbiz.de/10005100553

Arbitrage Based Pricing When Volatility Is Stochastic

Bossaert, Peter; Ghysels, Eric; Gouriéroux, Christian - Centre Interuniversitaire de Recherche en Analyse des … - 1996

paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii … simple buy-and-hold arbitrage portfolio arguments do not necessarily hold. Conditions are derived for all derivatives to be … priced by dynamic arbitrage, i.e., for market completeness in the sense of Harrison and Pliska [1981]. A particular class of …

Persistent link: https://www.econbiz.de/10005100780

Nonparametric Methods and Option Pricing

Ghysels, Eric; Patilea, Valentin; Renault, Éric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1997

options sur actions en partant d'une approche qui n'impose pas de restrictions théoriques, telles des restrictions d'arbitrage …

Persistent link: https://www.econbiz.de/10005100825

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1996

In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of...

Persistent link: https://www.econbiz.de/10005100925

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage … état-espace infinie, à partir du principe de non-arbitrage et d'une mesure de martingale équivalente. Notre approche permet …

Persistent link: https://www.econbiz.de/10004976982

Option-Implied Measures of Equity Risk

Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness...

Persistent link: https://www.econbiz.de/10004976983

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence of latent continuous-time factors. We present a new discrete-time framework that combines heteroskedastic processes with rich specifications of jumps in returns and volatility....

Persistent link: https://www.econbiz.de/10004976985