Narrow search
Showing 1 - 10 of 71
Cover Image
Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
these models the analytical expressions of implied probability densities, implied volatility smile functions and several …
Persistent link: https://www.econbiz.de/10010745304
Cover Image
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 … uncertainty, namely (i) agents’ disagreement and (ii) time-varying volatility of fundamental growth rates. The paper shows that …
Persistent link: https://www.econbiz.de/10010745732
Cover Image
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 leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...
Persistent link: https://www.econbiz.de/10011071378
Cover Image
The shape of the risk premium: evidence from a semiparametric GARCH model
Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...
Persistent link: https://www.econbiz.de/10010745701
Cover Image
Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011071447
Cover Image
Constrained indirect inference estimation
Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001
) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors. …
Persistent link: https://www.econbiz.de/10010745065
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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