Narrow search
Showing 1 - 10 of 94
Cover Image
The joint estimation of term structures and credit spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011301164
Cover Image
Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
by the winter-summer price differences. This paper provides a numerical solution for pricing storage capacity, by taking …
Persistent link: https://www.econbiz.de/10011333083
Cover Image
Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as …
Persistent link: https://www.econbiz.de/10011334345
Cover Image
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
Cover Image
Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009784936
Cover Image
Lockdowns as options
Wijnbergen, Sweder van - 2021
and eventual effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a …
Persistent link: https://www.econbiz.de/10012510750
Cover Image
Discounting the future : on climate change, ambiguity aversion and Epstein-Zin preferences
Olijslagers, Stan; Wijnbergen, Sweder van - 2019
We focus on the effect of preference specifications on the current day valuation of future outcomes. Specifically, we analyze the effect of risk aversion, ambiguity aversion and the elasticity of intertemporal substitution on the willingness to pay to avoid climate change risk. The first part of...
Persistent link: https://www.econbiz.de/10012024032
Cover Image
What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …
Persistent link: https://www.econbiz.de/10011940034
Cover Image
Accounting noise and the pricing of cocos
Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018
distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can …
Persistent link: https://www.econbiz.de/10011818282
Cover Image
The social cost of carbon under climate volatility risk
Lin, Xu; Wijnbergen, Sweder van - 2023
We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic integrated climate-economy model where representative agents are...
Persistent link: https://www.econbiz.de/10014290496