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Ait-Sahalia, Yacine - 2003

Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...

Persistent link: https://www.econbiz.de/10012468781

Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance

Das, Sanjiv Ranjan - 1997

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

Persistent link: https://www.econbiz.de/10012472845

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2006

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012465916

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2006

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

Persistent link: https://www.econbiz.de/10012466328

Hedging Options in a GARCH Environment : Testing the Term Structure of Stochastic Volatility Models

Engle, Robert F. - 1994

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic … volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their … ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black …

Persistent link: https://www.econbiz.de/10012473941

Jumps and Stochastic Volatility : Exchange Rate Processes Implicit in thePHLX Deutschemark Options

Bates, David S. - 1993

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

Persistent link: https://www.econbiz.de/10012474344

Evaluation of Subjective Probability Distributions in the HRS

Hurd, Michael D. - 1993

In the Health and Retirement Survey respondents were asked about the chances they would live to 75 or to 85, and the chances they would work after age 62 or 65. We analyze the responses to determine if they behave like probabilities, if their averages are close to average probabilities in the...

Persistent link: https://www.econbiz.de/10012474380

Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters

Engelberg, Joseph - 2006

We use data from the Survey of Professional Forecasters to compare point forecasts of GDP growth and inflation with the subjective probability distributions held by forecasters. We find that SPF forecasters summarize their underlying distributions in different ways and that their summaries tend...

Persistent link: https://www.econbiz.de/10012466693

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

Bali, Turan G.; Hirshleifer, David; Peng, Lin; Tang, Yi - National Bureau of Economic Research - 2021

We find that among stocks dominated by retail investors, the lottery anomaly is amplified by high investor attention (proxied by high analyst coverage, salient earnings surprises, or recency of extreme positive returns) and intense social interactions (proxied by Facebook social connectedness or...

Persistent link: https://www.econbiz.de/10012794571

Mispriced Index Option Portfolios

Constantinides, George M. - 2017

The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...

Persistent link: https://www.econbiz.de/10012454974