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Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

Persistent link: https://www.econbiz.de/10005861418

Spectral calibration of exponential Lévy Models [2]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for the good performance of any calibration procedure. Recent empirical...

Persistent link: https://www.econbiz.de/10005861421

Spectral calibration of exponential Lévy Models [1]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...

Persistent link: https://www.econbiz.de/10005861424

Numerics of Implied Binomial Trees

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …

Persistent link: https://www.econbiz.de/10005860517

DSFM fitting of Implied Volatility Surfaces

Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain … yield low dimensional representations of the implied volatility surface (IVS). We discussestimation issues of the model and …

Persistent link: https://www.econbiz.de/10005862106

Common Functional Implied Volatility Analysis

Benko, Michal; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …

Persistent link: https://www.econbiz.de/10005862325

FFT Based Option Pricing

Borak, Szymon; Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find … implied volatility surface. To overcome this problem Carr and Madan (1999) developed a fast method to compute option prices …

Persistent link: https://www.econbiz.de/10005862326

Are CEOs in Family Firms Paid Like Bureaucrats?Evidence from Bayesian and Frequentist Analyses

Block, Jörn Hendrich - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

The relationship between CEO pay and performance has been much analyzed in themanagement and economics literature. This study analyzes the structure of executivecompensation in family and non-family firms. In line with predictions of agency theory, it isfound that the share of base salary is...

Persistent link: https://www.econbiz.de/10005860534

Sensitivities for Bermudan Options by Regression Methods

Belomestny, Denis; Milstein, Grigori; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this article we propose several pathwise and finite difference basedmethods for calculating sensitivities of Bermudan options using regressionmethods and Monte Carlo simulation. These methods rely on conditionalprobabilistic representations which allow, in combination with aregression...

Persistent link: https://www.econbiz.de/10005860987

Why Managers Hold Shares of Their Firms : An Empirical Analysis

Lilienfeld-Toal, Ulf von; Ruenzi, Stefan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We examine the relationship between CEO ownership and stock market performance. Firms in which the CEO voluntarily holds a considerable share of outstanding stocks outperform the market by more than 10% p.a. after controlling for traditional risk factors. The effect is most pronounced in firms...

Persistent link: https://www.econbiz.de/10005860845