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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

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

A Preference-Free Formula to Value Commodity Derivatives

Rodríguez, Juan Carlos - Tilburg University, Center for Economic Research - 2007

This paper studies a new model of commodity prices in which the stochastic convenience yield is an affine function of past commodity returns. While preserving market completeness, the model exhibits price nonstationarity and mean reversion under the martingale measure, and, as a consequence, it...

Persistent link: https://www.econbiz.de/10011091124

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Driessen, Joost; Melenberg, Bertrand; Klaassen, P. - Tilburg University, Center for Economic Research - 2000

In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

Persistent link: https://www.econbiz.de/10011091164

Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?

Calcagno, R. - Tilburg University, Center for Economic Research - 2000

We consider a model in which the principal-agent relation between inside shareholders and the management affects the firm value.We study the effect of financing the project with risky debt in changing the incentive for a risk-neutral shareholder (the principal) to implement the project-value...

Persistent link: https://www.econbiz.de/10011091167

New Evidence on Price and Volatility Effects of Stock Option Introductions

Kabir, M.R. - Tilburg University, Center for Economic Research - 1997

This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,...

Persistent link: https://www.econbiz.de/10011091201