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The Effects of Option Expiration on NSE volume and prices
Gupta, Akash; Metia, Samik; Trivedi, Prashant - EconWPA - 2004
This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...
Persistent link: https://www.econbiz.de/10005134925
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Why VAR Fails: Long Memory and Extreme Events in Financial Markets
Los, Cornelis A. - EconWPA - 2004
The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...
Persistent link: https://www.econbiz.de/10005413041
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank, Emirates Bank International, National Bank of Dubai,...
Persistent link: https://www.econbiz.de/10005413135
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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10005561601
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Term structure of interest rates and the pricing of fixed income claims and bonds
Marsh, Terry Alan - In: Finance, (pp. 273-314). 1995
Persistent link: https://www.econbiz.de/10001318010
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005
In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion...
Persistent link: https://www.econbiz.de/10005076950
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An empirical analysis of structural models of corporate debt pricing
Teixeira, Joao C. A. - EconWPA - 2005
This paper tests empirically the performance of three structural models of corporate bond pricing, namely Merton (1974 …), Leland (1994) and Fan and Sundaresan (2000). While the first two models overestimate bond prices, the Fan and Sundaresan … systematically related to some bond- and firm-specific variables, as well as term structure variables. …
Persistent link: https://www.econbiz.de/10005076981
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From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
Denzler, Stefan; Dacorogna, Michel M.; Mueller, Ulrich A.; … - EconWPA - 2005
Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of … an out-of-sample setting, it produces consistent results on the European bond market where data are scarce and can be …
Persistent link: https://www.econbiz.de/10005077017
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Option pricing with Levy Process
Benhamou, Eric - EconWPA - 2002
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices. This enables us to generate an implicit volatility...
Persistent link: https://www.econbiz.de/10005125062
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Accouting for Biases in Black-Scholes
Backus, David; Foresi, Silverio; Wu, Liuren - EconWPA - 2002
Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average, with maturity). We account for both using Gram­Charlier...
Persistent link: https://www.econbiz.de/10005134642