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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
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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
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …
Persistent link: https://www.econbiz.de/10009578026
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10009612031
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A local instrumental estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2000
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...
Persistent link: https://www.econbiz.de/10009612037
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Initial offerings of options
Müller, Sigrid M. - 2001
incomplete information about the unknown stochastic volatility. The option price is determined by a uniform-price auction. Thus … unknown stochastic volatility under an explicit market structure. This paper incorporates market microstructure considerations … into an extended Black-Scholes model with incomplete information on the underlying volatility. It relies on the growing …
Persistent link: https://www.econbiz.de/10009613613
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Correlation risk premia for multi-asset equity options
Fengler, Matthias R. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919088
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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-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....
Persistent link: https://www.econbiz.de/10009621417
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American options, multi-armed bandits and optimal consumption plans : a unifying view
Bank, Peter (contributor); Föllmer, Hans (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917057
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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 …
Persistent link: https://www.econbiz.de/10009659059