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Müller, Sigrid M. - 2001

This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

Persistent link: https://www.econbiz.de/10009613613

Efficient hedging for a complete jump-diffusion model

Kirch, Michael; Krutchenko, R. N.; Melʹnikov, Aleksandr V. - 2002

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

Persistent link: https://www.econbiz.de/10009621417

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

hedging derivatives and of intertemporal consumption choice. …

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

Semiparametric analysis of German East-West migration intentions : facts and theory

Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...

Persistent link: https://www.econbiz.de/10009574896

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 prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in...

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

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Persistent link: https://www.econbiz.de/10009663844

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

Härdle, Wolfgang; Yatchew, Adonis John - 2001

The economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various...

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

Simulation based option pricing

Lüssem, Jens; Schumacher, Jürgen - 2002

Persistent link: https://www.econbiz.de/10009624847

Estimating state-price densities with nonparametric regression

Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009624851

The analysis of implied volatilities

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - 2001

: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market's expectation …

Persistent link: https://www.econbiz.de/10009615424