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Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market

de Jong, Frank C. J. M.; Donders, M.W.M. - Tilburg University, Center for Economic Research - 1996

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated.Due to market imperfections, one of these markets may reflect information faster.The use of high-frequency data and the choice for a small...

Persistent link: https://www.econbiz.de/10011092782

Instrumental Variable Estimation for Linear Panel Data Models

Lee, M.J. - Tilburg University, Center for Economic Research - 1996

Persistent link: https://www.econbiz.de/10011091348

Testing Parametric versus Semiparametric Modelling in Generalized Linear Models

Härdle, W.K.; Mammen, E.; Müller, M.D. - Tilburg University, Center for Economic Research - 1996

We consider a generalized partially linear model E(Y|X,T) = G{X'b + m(T)} where G is a known function, b is an unknown parameter vector, and m is an unknown function.The paper introduces a test statistic which allows to decide between a parametric and a semiparametric model: (i) m is linear,...

Persistent link: https://www.econbiz.de/10011091631

Analyzing specification errors in models for futures risk premia with hedging pressure

Nijman, Theo; de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011092594

Relaxing Competition through Speculation : Committing to a Negative Supply Slope

Holmberg, P.; Willems, Bert - Tilburg University, Center for Economic Research - 2012

Abstract: We demonstrate how suppliers can take strategic speculative positions in derivatives markets to soften competition in the spot market. In our game, suppliers first choose a portfolio of call options and then compete with supply functions. In equilibrium firms sell forward contracts and...

Persistent link: https://www.econbiz.de/10011092737

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Jiang, G.J.; van der Sluis, P.J. - Tilburg University, Center for Economic Research - 2000

allowing for stochastic volatility can reduce the pricing errors and allowing for asymmetric volatility or "leverage effect … SV models can largely reduce the option pricing errors, suggesting the importance of incorporating the information from … the options market inpricing options. Finally, both the model diagnostics and option pricing errors in our study suggest …

Persistent link: https://www.econbiz.de/10011092809

The Impact of Overnight Periods on Option Pricing

Drost, Feike C.; Werker, Bas J.M.; Boes, M.J. - Tilburg University, Center for Economic Research - 2005

This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently, the overnight asset price process is...

Persistent link: https://www.econbiz.de/10011092893

Exchange rate target zones : A new approach

de Jong, Frank C. J. M.; Drost, Feike C.; Werker, Bas J.M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011090368

Analytic American Option Pricing and Applications

Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...

Persistent link: https://www.econbiz.de/10011090493

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

Magis, P.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis.We show how much a ¯rm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing...

Persistent link: https://www.econbiz.de/10011090631