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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...
Persistent link: https://www.econbiz.de/10011208297
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Efficient hedging: Cost versus shortfall risk
FÃllmer, Hans; Leukert, Peter - In: Finance and Stochastics 4 (2000) 2, pp. 117-146
An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...
Persistent link: https://www.econbiz.de/10005184386
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A model of financial market with several interacting assets. Complete market case
Steblovskaya, Victoria; Albeverio, Sergio - In: Finance and Stochastics 6 (2002) 3, pp. 383-396
contingent claims based on several assets (e.g. index options) is considered and explicit formulas are derived. …
Persistent link: https://www.econbiz.de/10005613408
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Quantile hedging
FÃllmer, Hans; Leukert, Peter - In: Finance and Stochastics 3 (1999) 3, pp. 251-273
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10005613416
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An analysis of a least squares regression method for American option pricing
Protter, Philip; Clément, Emmanuelle; Lamberton, Damien - In: Finance and Stochastics 6 (2002) 4, pp. 449-471
Recently, various authors proposed Monte-Carlo methods for the computation of American option prices, based on least squares regression. The purpose of this paper is to analyze an algorithm due to Longstaff and Schwartz. This algorithm involves two types of approximation. Approximation one:...
Persistent link: https://www.econbiz.de/10005613445
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The numeraire portfolio for unbounded semimartingales
Becherer, Dirk - In: Finance and Stochastics 5 (2001) 3, pp. 327-341
Asset prices discounted by a tradable numeraire N should be (local) martingales under some measure Q that is equivalent to the original probability measure P. Instead of studying the set of equivalent martingale measures with respect to a prespecified numeraire, we will look for a tradable...
Persistent link: https://www.econbiz.de/10005613459
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Weighted norm inequalities and hedging in incomplete markets
Schweizer, Martin; Stricker, Christophe; Delbaen, Freddy; … - In: Finance and Stochastics 1 (1997) 3, pp. 181-227
Let $X$ be an ${\Bbb R}^d$-valued special semimartingale on a probability space $(\Omega , {\cal F} , ({\cal F} _t)_{0 \leq t \leq T} ,P)$ with canonical decomposition $X=X_0+M+A$. Denote by $G_T(\Theta )$ the space of all random variables $(\theta \cdot X)_T$, where $\theta $ is a predictable...
Persistent link: https://www.econbiz.de/10005390678
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Option pricing with transaction costs and a nonlinear Black-Scholes equation
Soner, Halil Mete; Barles, Guy - In: Finance and Stochastics 2 (1998) 4, pp. 369-397
. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this …
Persistent link: https://www.econbiz.de/10005166845
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Does option trading convey stock price information?
Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock … independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the … cross section controlling for the past stock and options returns, but the imbalance independent of options has only a …
Persistent link: https://www.econbiz.de/10010743556
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Pinning in the S&P 500 futures
Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585
options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …
Persistent link: https://www.econbiz.de/10010587978