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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
Constantinides, George M. - 2002
By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....
Persistent link: https://www.econbiz.de/10012469848
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Demand-Based Option Pricing
Garleanu, Nicolae - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012466828
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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris - 1997
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities...
Persistent link: https://www.econbiz.de/10012472561
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Option Hedging Using Empirical Pricing Kernels
Rosenberg, Joshua V. - 1997
This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …-of-the-money S&P500 index options, such as Black-Scholes or historical minimum variance hedging, are inferior to the EPK hedging …
Persistent link: https://www.econbiz.de/10012472589
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GARCH Gamma
Engle, Robert F. - 1995
This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …
Persistent link: https://www.econbiz.de/10012473758
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Hedging Options in a GARCH Environment : Testing the Term Structure of Stochastic Volatility Models
Engle, Robert F. - 1994
This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term...
Persistent link: https://www.econbiz.de/10012473941
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A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
Hutchinson, James M. - 1994
the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures …
Persistent link: https://www.econbiz.de/10012474210
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The Structure and Conduct of Corporate Lobbying : How Firms Lobby the Federal Communications Commission
de Figueiredo, John M. - 2000
lobbying (internal organization vs. trade association) by firms in administrative agencies. It explores the power and limitations of the collective action theories and transaction cost theories in explaining lobbying. It introduces a dataset of over 900 lobbying contacts cover 101 issues at the...
Persistent link: https://www.econbiz.de/10012471024
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Discriminating Among Alternative Theories of the Multinational Enterprise
Markusen, James R. - 1999
Recent theoretical developments have incorporated endogenous multinational firms into the general-equilibrium model of trade. One simple taxonomy separates the theory into vertical' models in which firms geographically separate activities by stages of production and horizontal' models of...
Persistent link: https://www.econbiz.de/10012471623
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Patterns of Trade in the Market for Used Durables : Theory and Evidence
Porter, Robert H. - 1999
The consumption value of a durable good diminishes as it ages due to physical deterioration and consumers' preference for the new. We develop a model of consumer specialization and trade in the market for used durables based on imperfect substitutability. Imperfect substitutability across...
Persistent link: https://www.econbiz.de/10012471645