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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

From Local Volatility to Local Levy Models.

Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine - 2004

We define the class of local Lévy processes. These are Lévy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded...

Persistent link: https://www.econbiz.de/10008532449

Stochastic Volatility for Levy Processes.

Geman, Hélyette; Carr, Peter; Madan, Dilip B.; Yor, Marc - Université Paris-Dauphine - 2003

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Persistent link: https://www.econbiz.de/10008520048

Semi-moments based tests of normality and the evolution of stock returns towards normality.

Desmoulins-Lebeault, François - Université Paris-Dauphine

Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or ﬁnance, often to judge the distributional properties of a given sample, we propose a...

Persistent link: https://www.econbiz.de/10008532562

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006

negative and thus offer arbitrage opportunities. …

Persistent link: https://www.econbiz.de/10005526320

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...

Persistent link: https://www.econbiz.de/10005420543