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An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
Das, Sanjiv Ranjan - National Bureau of Economic Research (NBER) - 1997
) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice …
Persistent link: https://www.econbiz.de/10005248989
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Continuous Workout Mortgages
Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, M. Shahid - National Bureau of Economic Research (NBER) - 2011
Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and...
Persistent link: https://www.econbiz.de/10009019683
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Incomplete-Market Equilibria Solved Recursively on an Event Tree
Dumas, Bernard; Lyasoff, Andrew - National Bureau of Economic Research (NBER) - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...
Persistent link: https://www.econbiz.de/10005580794
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Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...
Persistent link: https://www.econbiz.de/10010969324
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Commodity and Asset Pricing Models: An Integration
Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - National Bureau of Economic Research (NBER) - 2013
We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates...
Persistent link: https://www.econbiz.de/10010950668
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Risk, Ambiguity, and the Exercise of Employee Stock Options
Izhakian, Yehuda; Yermack, David - National Bureau of Economic Research (NBER) - 2014
traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value … for the volatility and ambiguity variables imply similar magnitudes of economic impact upon the exercise decision, with …
Persistent link: https://www.econbiz.de/10010950897
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Embedded Leverage
Frazzini, Andrea; Pedersen, Lasse Heje - National Bureau of Economic Research (NBER) - 2012
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10010951107
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10011271459
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The Supply and Demand of S&P 500 Put Options
Constantinides, George M.; Lian, Lei - National Bureau of Economic Research (NBER) - 2015
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …
Persistent link: https://www.econbiz.de/10011276422