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Single stock call options as lottery tickets
Félix, Luiz; Kräussl, Roman; Stork, Philip - 2016
match a set of subjective density functions derived from risk-neutral densities, including the CPT with the empirical …
Persistent link: https://www.econbiz.de/10011446895
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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002 - This version: 12-Mar-2002 13:27
replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic …
Persistent link: https://www.econbiz.de/10011326973
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An empirical comparison of default swap pricing models
Houweling, Patrick; Vorst, Ton - 2001
In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for...
Persistent link: https://www.econbiz.de/10011325974
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An empirical comparison of default swap pricing models
Houweling, Patrick; Vorst, Ton - 2001
Persistent link: https://www.econbiz.de/10001639524
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...
Persistent link: https://www.econbiz.de/10011386124
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - 2022
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...
Persistent link: https://www.econbiz.de/10013413523
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …
Persistent link: https://www.econbiz.de/10011334834
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Insurance sector risk
Slijkerman, Jan Frederik - 2006
the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …
Persistent link: https://www.econbiz.de/10011349192
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Multiple uncertainty, forward-futures markets and international trade
Viaene, Jean-Marie; Zilcha, Itzhak - 1995
Persistent link: https://www.econbiz.de/10000915617