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1
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter
;
Gourier, Elise
;
Huitema, Robert
; …
-
2016
-
This version: May 20, 2016
In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...
Persistent link: https://www.econbiz.de/10011507774
Saved in:
2
Discrete-time option pricing with stochastic liquidity
Leippold, Markus
;
Schärer, Steven
-
2016
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant...
Persistent link: https://www.econbiz.de/10011515968
Saved in:
3
Linear credit risk models
Ackerer, Damien
;
Filipović, Damir
-
2016
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by...
Persistent link: https://www.econbiz.de/10011516035
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4
A term-structure model for dividends and interest rates
Filipović, Damir
;
Willems, Sander
-
2017
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
Persistent link: https://www.econbiz.de/10011874740
Saved in:
5
Sentimental recovery
Pazarbasi, Altan
;
Schneider, Paul
;
Vilkov, Grigory
-
2019
-
This version: November 29, 2019
We investigate the market-compatible degree of agent heterogeneity by identifying and analyzing the full range of conditional beliefs consistent with observed asset prices and good-deal bounds. Our methodology neither makes assumptions on underlying processes nor does it use survey data. It can...
Persistent link: https://www.econbiz.de/10012134438
Saved in:
6
Volatility
dependent structured products
Dyachenko, Artem
;
Farkas, Walter
;
Rieger, Marc Oliver
-
2019
We construct a
derivative
that depends on the SPY and VIX and, in this way, incorporates both the market risk premium …
Persistent link: https://www.econbiz.de/10012177147
Saved in:
7
Realizing smiles: pricing options with realized
volatility
Corsi, Fulvio
;
Fusari, Nicola
;
Vecchia, Davide la
-
2010
We develop a discrete-time stochastic
volatility
option pricing model, which exploits the information contained in high …-frequency data. The Realized
Volatility
(RV) is used as a proxy of the unobservable log-returns
volatility
. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic
volatility
pricing models. The pricing improvement can be ascribed to …
Persistent link: https://www.econbiz.de/10003973052
Saved in:
8
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
-
2010
along with the specification of (a) the initial density, and (b) the
volatility
structure of the density. The
volatility
…
Persistent link: https://www.econbiz.de/10008797695
Saved in:
9
Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
prices, which translates into skew and smile patterns for implied
volatility
curves even under constant volatilities … the market. collateral requirements, funding costs,
volatility
smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Saved in:
10
Inferring
volatility
dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
-
2013
of the parameters driving the risk-neutral conditional distributions and term structure of
volatility
, thereby enhancing …
Persistent link: https://www.econbiz.de/10010256394
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