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Backus, David; Foresi, Silverio; Wu, Liuren - EconWPA - 2002

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

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

Heidari, Massoud; Wu, Liuren - EconWPA - 2002

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

Options on a Stock with Market-Dependent Volatility

Chalupa, J. - EconWPA - 1997

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

GARCH Option Pricing Under Skew

ABOURA, Sofiane - EconWPA - 2004

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

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

Hayette, Gatfaoui - EconWPA - 2004

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

Why Individual Investors Want Dividends

Dong, Ming; Robinson, Chris; Veld, Chris - EconWPA - 2004

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

The Changing Concept of Financial Risk

LOS, CORNELIS A. - EconWPA - 2004

financial risk based on asset classes only is ready for a epistemological change. Currently, the definition of financial risk … suffers from three major deficiencies: (1) financial risk is insufficiently measured by the conventional second - order … moments; (2) financial risk is assumed to be stable and all distribution moments are assumed to be time-invariant; and (3 …

Persistent link: https://www.econbiz.de/10005077030

Gains and losses: the same or different choices? A “non-ideal” economics approach.

Harin, Alexander - EconWPA - 2005

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

Persistent link: https://www.econbiz.de/10005124942

Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events

Harin, Alexander - EconWPA - 2004

The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.

Persistent link: https://www.econbiz.de/10005124993

Gains and losses. The same or different choices?

Harin, Alexander - EconWPA - 2005

Arrangements (agreements, contracts, projects, etc.) are widespread economic events and are the fundamental concept of the economic theory. Infringements (breaches, modifications, changes, etc.) of arrangements are common and have a significant importance for the economic theory. For many years...

Persistent link: https://www.econbiz.de/10005125490