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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
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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
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Credit default swap auctions
Helwege, Jean; Maurer, Samuel; Sarkar, Asani; Wang, Yuan - 2009
The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these contracts, replacing physical transfers...
Persistent link: https://www.econbiz.de/10003864520
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Broker-dealer risk appetite and commodity returns
Etula, Erkko M. - 2010 - Rev.
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10003947918
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Understanding Mortgage Spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10010404146
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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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
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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
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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
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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