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Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
Ardia, David - Volkswirtschaftliche Fakultät, … - 2002
This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.
Persistent link: https://www.econbiz.de/10008528725
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On the demand pressure hypothesis in option markets: the case of a redundant option
Bennour, Khaled - Volkswirtschaftliche Fakultät, … - 2011
Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …
Persistent link: https://www.econbiz.de/10011113296
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On the liquidity of CAC 40 index options Market
François-Heude, Alain; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2013
enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …
Persistent link: https://www.econbiz.de/10011113793
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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10005786918
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Natural volatility and option pricing
Carey, Alexander - Volkswirtschaftliche Fakultät, … - 2008
show that to price a European-exercise path-(in)dependent option, it is enough to model the evolution of the variance of …
Persistent link: https://www.econbiz.de/10005786986
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Numeraire Invariance and application to Option Pricing and Hedging
Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2008
This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are diffusions, explicit representations in...
Persistent link: https://www.econbiz.de/10005787005
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A semiparametric factor model for electricity forward curve dynamics
Borak, Szymon; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2008
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10005787045
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Unit root behavior in energy futures prices
Serletis, Apostolos - Volkswirtschaftliche Fakultät, … - 1992
This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art...
Persistent link: https://www.econbiz.de/10005789239
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Dynamic Conditioning and Credit Correlation Baskets
Albanese, Claudio; Vidler, Alicia - Volkswirtschaftliche Fakultät, … - 2008
Dynamic conditioning is a technique that allows one to formulate correlation models for large baskets without incurring in the curse of dimensionality. The individual price processes for each reference name can be described by a lattice model specified semi-parametrically or even...
Persistent link: https://www.econbiz.de/10005789763
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Options valuation.
ilya, gikhman - Volkswirtschaftliche Fakultät, … - 2005
This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete … setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the … Scholes’s is that it represents the option price as a stochastic process. This stochastic interpretation can not give …
Persistent link: https://www.econbiz.de/10005789779