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Option pricing with a dynamic fat-tailed model

Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2014

has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …

Persistent link: https://www.econbiz.de/10011115231

GARCH option pricing under skew

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2005

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Persistent link: https://www.econbiz.de/10011144031

The reactive volatility model

Valeyre, Sébastien; Grebenkov, Denis; Aboura, Sofiane; … - Université Paris-Dauphine (Paris IX) - 2013

The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and...

Persistent link: https://www.econbiz.de/10010742272

Arbitrage in securities markets with short-sales constraints

Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 1995

In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists...

Persistent link: https://www.econbiz.de/10010706423

Arbitrage pricing and equilibrium pricing : compatibility conditions

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Persistent link: https://www.econbiz.de/10010707894

Segmentation in the Crude Oil Futures Term Structure

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

Whereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented...

Persistent link: https://www.econbiz.de/10011072171

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2006

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...

Persistent link: https://www.econbiz.de/10011073697

Information Flows in the term structure of commodity prices

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2014

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...

Persistent link: https://www.econbiz.de/10011096669

Option Pricing with a Dynamic Fat-Tailed Model

Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2013

Persistent link: https://www.econbiz.de/10010891139

Décisions d’investissement et de démantèlement sous incertitude : une application au secteur électrique

Chaton, Corinne - Université Paris-Dauphine (Paris IX) - 2001

The purpose of this study is to use real options theory to answer the following question: Is it necessary, in France …

Persistent link: https://www.econbiz.de/10010706628

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