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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

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

Skewness and kurtosis implied by option prices: a second comment

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

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

Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia

Vedolin, Andrea - London School of Economics (LSE) - 2012

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

Constrained indirect inference estimation

Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show that the asymptotic efficiency of such estimators can never decrease by explicitly taking into account Lagrange multipliers associated with...

Persistent link: https://www.econbiz.de/10010745065

Loan securitisation: default term structure and asset pricing based on loss prioritisation

Jobst, Andreas A. - London School of Economics (LSE) - 2002

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

Persistent link: https://www.econbiz.de/10010745131

Option hedging for small investors under liquidity costs

Soner, H. Mete; Cetin, Umut; Touzi, Nizar - London School of Economics (LSE) - 2010

Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of super-replication in the presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized black-scholes economy. We find that the minimal...

Persistent link: https://www.econbiz.de/10010745343

Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We...

Persistent link: https://www.econbiz.de/10010746600

Environmental economics and modeling marketable permits

Taschini, Luca - London School of Economics (LSE) - 2010

This paper reviews fundamental concepts in environmental economics and explores theoretical results regarding the choice of the key policy instruments for the control of externalities: taxes, subsidies and marketable permits. The paper explains why today market mechanisms are increasingly being...

Persistent link: https://www.econbiz.de/10010746619

A comparison of reduced-form permit price models and their empirical performances

Grüll, Georg; Taschini, Luca - London School of Economics (LSE) - 2010

Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives first a reducedform model from an equilibrium model and thereby explains how existing reducedform models are related to equilibrium models. Second, by...

Persistent link: https://www.econbiz.de/10011071177

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...

Persistent link: https://www.econbiz.de/10010884503