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A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Recently, Duan (1995) proposed a GARCH option pricing formula and a corresponding hedging formula. In a similar ARCH …-type model for the underlying asset, Kallsen and Taqqu (1994) arrive at a hedging formula different from Duan's , although they … and Taqqu corresponds to the usual concept of hedging in the context of ARCH-type models. We argue however that Duan …

Persistent link: https://www.econbiz.de/10005101110

Derivatives Do Affect Mutual Funds Returns : How and When?

Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 2001

funds. Most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns …. However, there exist two types of funds that make more extensive use of derivatives, global funds and specialized domestic … employing derivatives sparingly or not at all. We find evidence that fund managers time their use of derivatives in response to …

Persistent link: https://www.econbiz.de/10005100892

The Demand for Directors' and Officers' Insurance in Canada

Boyer, M. Martin; Delvaux-Derome, Mathieu - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper looks at the insurance demand of a firm's directors and officers using a sample of Canadian corporations (excluding firms from the Financial services and Mining sectors) from 1993-1999. More to the point, we study the demand for director's and officer's insurance. Our results suggest...

Persistent link: https://www.econbiz.de/10005100691

Do CEOs Exercise Their Stock Options Earlier than Other Executives?

André, Paul; Boyer, M. Martin; Gagné, Robert - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper looks at the timing chosen by CEOs to exercise their stock options and to sell their shares of stock compared to the timing chosen by other top executives in the firm. We first present a model that predicts when CEOs should exercise their options and/or sell their shares, and when...

Persistent link: https://www.econbiz.de/10005100717

Is the Demand for Corporate Insurance a Habit? Evidence from Directors' and Officers' Insurance

Boyer, M. Martin - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Of the many fundamental questions left unanswered in finance, one relates to corporate risk management practices. It is still relatively unclear what are the reasons that motivate risk neutral corporations to manage their idiosyncratic risk. Our contention in this paper is that corporate...

Persistent link: https://www.econbiz.de/10005101048

Can Financial Intermediation Induce Economic Fluctuations?

Banerji, Sanjay; Long, Ngo Van - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We construct a model to show that active financial intermediation can induce economic fluctuations. We embed a financial sector in a simple overlapping generation model with a single stock of capital. Individuals are risk averse agents that face idiosyncratic risks in their business activities:...

Persistent link: https://www.econbiz.de/10005100606

Contracting under Ex Post Moral Hazard and Non-Commitment

Boyer, M. Martin - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper characterizes the optimal insurance contract in an environment where an informed agent can misrepresent the state of the world to a principal who cannot credibly commit to an auditing strategy. Because the principal cannot commit, the optimal strategy of the agent is not to tell the...

Persistent link: https://www.econbiz.de/10005101113

Institutions and Development in MENA Region: Evidence from the Manufacturing Sector

Fakih, Ali; Arayssi, Mahmoud - Centre Interuniversitaire de Recherche en Analyse des … - 2015

This paper examines the role of institutions (including civil law origin), financial deepening and degree of regime authority on growth rates in the Middle East and North Africa (MENA) region using panel data through a fixed effect model. The results reveal that English civil law origin and...

Persistent link: https://www.econbiz.de/10011183770

Risk Aversion, Intertemporal Substitution, and Option Pricing

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

Persistent link: https://www.econbiz.de/10005100513

Liberalization, Political Risk and Stock Market Returns in Emerging Markets

L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1997

In this paper, we analyze hyper-return periods from 1976 to 1994 for 20 emerging stock markets. We define a hyper-return period as a calendar year during which a cumulative geometric return in excess of 70% is observed. According to this definition, the hyper-return periods represent 23% of the...

Persistent link: https://www.econbiz.de/10005100542