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Asset pricing with heterogeneous consumers

Constantinides, George; Duffie, Darrel - University of Bonn, Germany - 1992

Persistent link: https://www.econbiz.de/10005001443

Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994

This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a microeconomic equilibrium approach, we develop a diffusion model for stock prices explicitly incorporating the technical demand induced by hedging strategies. This leads to a...

Persistent link: https://www.econbiz.de/10004968203

Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Mahayni, Antje; Suchanecki, Michael - University of Bonn, Germany - 2005

Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a...

Persistent link: https://www.econbiz.de/10005001506

Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies

Chen, An - University of Bonn, Germany - 2005

contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included …. Based on Møller (1998), we particularly investigate the situation where the company applies a time-discretized risk …-minimizing hedging strategy, i.e., a trading restriction is imposed on a continuous-time risk-minimizing strategy. Therefore, the …

Persistent link: https://www.econbiz.de/10004989624

Existence and optimality of equilibria in markets with tradeable derivative securities

Henrotte, Philippe - University of Bonn, Germany - 1992

Persistent link: https://www.econbiz.de/10005032094

Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - University of Bonn, Germany - 1998

world of incomplete markets in such a way that based on a concept of risk compatible with the axioms of Artzner et al. we … (other than monotonicity and risk aversion). Price processes of contingent claims are martingales under a unique martingale … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …

Persistent link: https://www.econbiz.de/10004968199

Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility

Frey, Rüdiger - University of Bonn, Germany - 1997

In this survey we discuss models with level-dependent and stochastic volatility from the viewpoint of erivative asset analysis. Both classes of models are generalisations of the classical Black-Scholes model; they have been developed in an effort to build models that are flexible enough to cope...

Persistent link: https://www.econbiz.de/10004968274

Building a Consistent Pricing Model from Observed Option Prices

Laurent, Jean-Paul; Leisen, Dietmar P.J. - University of Bonn, Germany - 1998

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps....

Persistent link: https://www.econbiz.de/10004968290

Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk

Leisen, Dietmar P.J. - University of Bonn, Germany - 1999

This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price...

Persistent link: https://www.econbiz.de/10004968297

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - University of Bonn, Germany - 1995

of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we …

Persistent link: https://www.econbiz.de/10004968300

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