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Time-Changed Levy Processes and Option Pricing
Carr, Peter; Wu, Liuren - EconWPA - 2002
As is well known, the classic Black­Scholes option pricing model assumes that returns follow Brownian motion. It is … models proposed in the option pricing literature. Despite the generality of our approach, we show that it is straightforward … to select and test a particular option pricing model through the use of characteristic function technology. …
Persistent link: https://www.econbiz.de/10005134892
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Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax
Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003
We study option market design by providing a theoretical motivation and comprehensive empirical analysis of two fundamentally different option market structures, the Eurex derivatives exchange and Euwax, the world’s largest market for bank-issued options. These markets exist side-by- side,...
Persistent link: https://www.econbiz.de/10005134941
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Alternative Market Structures for Derivatives
Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003
In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also referred to as covered warrants, whose markets have grown rapidly around the world in recent years. While bank-issued option markets and traditional derivatives exchanges exhibit...
Persistent link: https://www.econbiz.de/10005413164
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Variance Risk Premia
Carr, Peter; Wu, Liuren - EconWPA - 2004
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically …
Persistent link: https://www.econbiz.de/10005413197
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What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities
Heidari, Massoud; Wu, Liuren - EconWPA - 2004
challenging. This paper applies market participants' desired requirements for a good pricing model to MBS pricing models provided …
Persistent link: https://www.econbiz.de/10005561622
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Stock Valuation and Investment Strategies
Chen, Zhiwu; Dong, Ming - EconWPA - 2004
This article studies the relative investment performance of several stock-valuation measures. The first is mispricing based on the valuation model developed by Bakshe and Chen (1998)and extended by Dong (1998) (hereafter, the BCD model). The BCD model relates, in closed form, a stock's fair...
Persistent link: https://www.econbiz.de/10005561689
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A Generalized Earnings-Based Stock Valuation Model
Dong, Ming; Hirshleifer, David - EconWPA - 2004
probability of zero or negative earnings. By avoiding the singularity at the zero point, our earnings-based pricing model achieves … improved pricing performance. The out-of-sample pricing performance of Generalized Earnings Valuation Model (GEVM) and the … Bakshi and Chen (2001) pricing model are compared on four stocks and two indices. The generalized model has smaller pricing …
Persistent link: https://www.econbiz.de/10005561702
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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - EconWPA - 2001
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10005413092
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Simulation-Based Pricing of Convertible Bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005
We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the … pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm …
Persistent link: https://www.econbiz.de/10005413169
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The Evolution of Wealth Inequality in Canada, 1984-1999
Morissette, Rene; Zhang, Xuelin; Drolet, Marie - EconWPA - 2004
Using data from the Assets and Debts Survey of 1984 and the Survey of Financial Security of 1999, we document the …
Persistent link: https://www.econbiz.de/10005077085