Showing 1 - 10 of 54
expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the …
Persistent link: https://www.econbiz.de/10010745304
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and … sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …-Robinson (2002), and market data from the French options market. We show that di¤erences between the original, corrected, and our …
Persistent link: https://www.econbiz.de/10011071378
We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting … resetting to capture the fact that firms tend to grant more options after existing options are either exercised or become deep … out of the money. By treating the incentive option as a flow of barrier options, we are able to obtain a near …
Persistent link: https://www.econbiz.de/10005329033
Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas orchard with heterogeneous beliefs, stochastic...
Persistent link: https://www.econbiz.de/10010745732
This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option which is not present in past returns....
Persistent link: https://www.econbiz.de/10005063748
The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul … Fourier Transform (FFT) can be used to quickly evaluate options directly from the characteristic function of any RNM. The log …-stable RNM characteristic function presented here therefore greatly facilitates the pricing of options on log-stable assets, by …
Persistent link: https://www.econbiz.de/10005328962
The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...
Persistent link: https://www.econbiz.de/10005342237
short-term options exhibiting similar moneyness, pricing errors tend to decrease with the time to maturity. … departures from the observed prices can be seen for the deep out-of-the-money short-term call options where mispricing seems to … comparative empirical analysis with recent approaches to this problem is made for European out-of-the-money call options for which …
Persistent link: https://www.econbiz.de/10005063606
Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close eye on the relation between the futures and their stock portfolio returns. Whenever this relation is perceived to have changed, the manager will decide whether it is worthwhile...
Persistent link: https://www.econbiz.de/10005063636
We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...
Persistent link: https://www.econbiz.de/10005699619