Narrow search
Showing 1 - 10 of 185
Cover Image
Tractable rare disaster probability and options-pricing
Barro, Robert J.; Liao, Gordon Y. - 2019
We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of disasters follows a power law, and the...
Persistent link: https://www.econbiz.de/10012182396
Cover Image
Variance disparity and market frictions
Park, Yang-Ho - 2019
This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...
Persistent link: https://www.econbiz.de/10012182042
Cover Image
A Tale of Two Option Markets : Pricing Kernels and Volatility Risk
Song, Zhaogang; Xiu, Dacheng - 2017
Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates of marginal pricing kernels of the market return and...
Persistent link: https://www.econbiz.de/10014121051
Cover Image
The Informational Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2013
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In almost all of our regressions, the embedded option return index is significant even in the presence … of traditional inflation variables, such as lagged inflation, the return on gold, the return on crude oil, the VIX index …
Persistent link: https://www.econbiz.de/10013082224
Cover Image
The Information Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2012
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of … traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX …
Persistent link: https://www.econbiz.de/10013112923
Cover Image
The History of Cyclical Macroprudential Policy in the United States
Elliott, Douglas - 2015
," undesirable rates of inflation, and high levels of consumer spending, among others. Ongoing statistical work suggests that macrop …
Persistent link: https://www.econbiz.de/10013035558
Cover Image
Financial Capital and the Macroeconomy : Policy Considerations
Kiley, Michael T.; Sim, Jae - 2011
We develop a macroeconomic model in which the balance sheet/liquidity condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete...
Persistent link: https://www.econbiz.de/10014182096
Cover Image
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Priebsch, Marcel - 2013
This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a "shadow-rate model" as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be...
Persistent link: https://www.econbiz.de/10013073345
Cover Image
Options, equity risks, and the value of capital structure adjustments
Borochin, Paul; Yang, Jie - 2016 - This version: October, 2016
We use exchange-traded options to identify risks relevant to capital structure adjustments in firms. These forward-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting data. They matter most during contractionary...
Persistent link: https://www.econbiz.de/10011579117
Cover Image
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Ghamami, Samim - 2015
Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty...
Persistent link: https://www.econbiz.de/10013031111