Showing 1 - 10 of 67
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small: the...
Persistent link: https://www.econbiz.de/10010738536
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. The data set is the daily log returns of the French CAC40 index, on the period January 2, 1988, October 26, 2007. Under...
Persistent link: https://www.econbiz.de/10010738691
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small : the higher...
Persistent link: https://www.econbiz.de/10010738694
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...
Persistent link: https://www.econbiz.de/10010635226
This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood;...
Persistent link: https://www.econbiz.de/10008791882
Weather derivatives were first launched in 1996 in the United-States to allow companies to protect themselves against weather fluctuations. Even now their valuation still remains tricky. Because their underlying is not a traded asset, the weather options cannot be priced by using the Black and...
Persistent link: https://www.econbiz.de/10008793612
Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...
Persistent link: https://www.econbiz.de/10008793686
This paper experimentally investigates if and how people's competitiveness depends on their own gender and on the gender of people with whom they interact. Participants are given information about the gender of the co-participant they are matched with, they then choose between a tournament or a...
Persistent link: https://www.econbiz.de/10010739726
matching technology and the prevailing surplus sharing rule. The model can be solved for the equilibrium submission fee, desk …
Persistent link: https://www.econbiz.de/10010930229
In view of the recent proposals on banking reform in the wake of the recent global economic crisis, this paper identifies some efficiency gains associated with narrow banking using an approach based on search theory. It is herein shown that the optimal allocation of resources can be...
Persistent link: https://www.econbiz.de/10010558720