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This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option perspective and also it is its flexibility to adapt...
Persistent link: https://www.econbiz.de/10005561655
risk, we also study the impact of the implied market factor on a basket of French assets. First, we compute correlations of …
Persistent link: https://www.econbiz.de/10005561708
Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average, with maturity). We account for both using Gram­Charlier...
Persistent link: https://www.econbiz.de/10005134642
Dynamic term structure models (DTSMs) price interest rate derivatives based on the model­ implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often...
Persistent link: https://www.econbiz.de/10005134665
A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market index; when the second factor is uncorrelated with the...
Persistent link: https://www.econbiz.de/10005134815
The question of why individual investors want dividends is investigated by submitting a questionnaire to a Dutch … investor panel. The respondents indicate that they want dividends partly because the cost of cashing in dividends is lower than … confirmed for cash dividends but is confirmed for stock dividends. Finally, our results indicate that individual investors do …
Persistent link: https://www.econbiz.de/10005076991
Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk … inter-year financial risk than other commonly used criteria. Results revealed that speed of adoption influenced the … greater chance of transition success. Slow acreage expansion with a custom or rental drill reduces risk until a no-till yield …
Persistent link: https://www.econbiz.de/10005407764
strategic incentives for either government or regulated entities. Consideration of both exogenous risk (uncontrollable) and … endogenous risk (concerns about policy credibility) suggests that permits should be auctioned several years in advance of use … all risk to be pooled and managed as efficiently as possible within the private sector. For endogenous risk, it creates a …
Persistent link: https://www.econbiz.de/10005407778
This paper analyzes the influence of risk and the expenditure policy of the public sector in a two-country stochastic … study the impact of risk and the public sector on consumption-wealth ratio, growth and welfare, given the exogenous size of … parameters, risk specially, on the optimal size. Then we establish that a higher weight of public consumption in the utility …
Persistent link: https://www.econbiz.de/10005408150
This paper studies poverty as a dynamic phenomenon, motivated by the recurring economic crises that affect developing countries and the incidence of income fluctuations on household welfare. While the increasing availability of household panel data has been exploited in theoretical analysis and...
Persistent link: https://www.econbiz.de/10005408367