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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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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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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001
maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …
Persistent link: https://www.econbiz.de/10009613597
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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
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …
Persistent link: https://www.econbiz.de/10009574876
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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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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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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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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …
Persistent link: https://www.econbiz.de/10009579173
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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