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Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

factors representing "shift" and "curvature" of the term structure of "at the money" DAX options. We present a risk management …

Persistent link: https://www.econbiz.de/10009612026

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap

Härdle, Wolfgang; Yatchew, Adonis John - 2001

density estimation ; nonparametric least squares ; bootstrap inference ; monotonicity ; convexity … the residuals. Static and dynamic properties can be tested using both asymptotic and bootstrap methods. Our monte carlo … simulations suggest that bootstrap confidence intervals are far superior to aymptotic ones particularly when estimating …

Persistent link: https://www.econbiz.de/10009620779

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Persistent link: https://www.econbiz.de/10009612020

Confidence intervals for state price densities

Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916784

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Persistent link: https://www.econbiz.de/10009613597

Extracting implicit density functions from short term interest rate options

Nielsen, Hannah - 2001

Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for...

Persistent link: https://www.econbiz.de/10009614294

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - 1997

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the …

Persistent link: https://www.econbiz.de/10009659059

Nonparametric methods on continuous-time finance : a selective review

Cai, Zongwu (contributor); Hong, Yongmiao (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919184