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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 …
Persistent link: https://www.econbiz.de/10012472561
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A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
Hutchinson, James M. - 1994
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … 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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An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
Grossman, Sanford J. - 1987
volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a … current lack of information about the extent to which dynamic hedging strategies are in place …
Persistent link: https://www.econbiz.de/10012476711
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Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options
Bodie, Zvi - 1977
This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future...
Persistent link: https://www.econbiz.de/10012478918
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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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A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
Das, Sanjiv R. - 1998
to compute more complicated derivative securities …
Persistent link: https://www.econbiz.de/10012472175
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Ait-Sahalia, Yacine - 1995
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...
Persistent link: https://www.econbiz.de/10012473518
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Nonparametric Pricing of Interest Rate Derivative Securities
Ait-Sahalia, Yacine - 1995
We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative …
Persistent link: https://www.econbiz.de/10012473524
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan T. - 2011
Investors in option markets price in a substantial collective government bailout guarantee in the financial sector, which puts a floor on the equity value of the financial sector as a whole, but not on the value of the individual firms. The guarantee makes put options on the financial sector...
Persistent link: https://www.econbiz.de/10012461509
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Income Inequality and Asset Prices under Redistributive Taxation
Pastor, Lubos - 2015
Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more...
Persistent link: https://www.econbiz.de/10012457001