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Need for speed? : exchange latency and liquidity

Menkveld, Albert J.; Zoican, Marius A. - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

Persistent link: https://www.econbiz.de/10010384388

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Persistent link: https://www.econbiz.de/10011333083

Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

. First, empirical data are often characterized by time-varying volatility and fat tails; therefore we use Gaussian GAS …

Persistent link: https://www.econbiz.de/10010465169

Single stock call options as lottery tickets

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2016

This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight small probability events and overpay for such...

Persistent link: https://www.econbiz.de/10011446895

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

Persistent link: https://www.econbiz.de/10010465152

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140