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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 …-dependent options and options on assets with stochastic volatility and jumps. " …
Persistent link: https://www.econbiz.de/10012472561
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Risk Preferences Implied by Synthetic Options
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper examines...
Persistent link: https://www.econbiz.de/10014436964
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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
impose tight upper and lower bounds on the implied volatility …
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
-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …
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 … securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility … not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility …
Persistent link: https://www.econbiz.de/10012473524
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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 …
Persistent link: https://www.econbiz.de/10012474210
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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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Strategic Real Option Exercising and Second-mover Advantage
Dai, Min; Jiang, Zhaoli; Wang, Neng - National Bureau of Economic Research - 2022
Many business opportunities feature second-mover advantages as there are often positive spillovers and externalities from early entrants to followers. We develop a tractable stochastic duopoly entry game with a second-mover advantage. We show that firms engage in a war-of-attrition game with the...
Persistent link: https://www.econbiz.de/10013334369