Showing 1 - 10 of 1,344
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10012465200
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
We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads,...
Persistent link: https://www.econbiz.de/10012457890
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …
Persistent link: https://www.econbiz.de/10012472561
-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …
Persistent link: https://www.econbiz.de/10012473518
elasticity of variance, stochastic volatility, and jump-diffusion models. Since options are derivative assets, the central …-based inferences and option prices agree with respect to volatility, changes in volatility, and higher moments. The paper surveys the …
Persistent link: https://www.econbiz.de/10012473757
This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future...
Persistent link: https://www.econbiz.de/10012478918
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …
Persistent link: https://www.econbiz.de/10012467775
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
of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the … joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump …
Persistent link: https://www.econbiz.de/10012471694