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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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Realizing smiles: pricing options with realized volatility
Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010
measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …
Persistent link: https://www.econbiz.de/10003973052
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …
Persistent link: https://www.econbiz.de/10008797695
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Weak approximation of G-expectations
Dolinsky, Yan; Nutz, Marcel; Soner, Halil Mete - 2011
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...
Persistent link: https://www.econbiz.de/10009009518
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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …
Persistent link: https://www.econbiz.de/10009375107
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A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - 2011
options in general and the error can become substantially large. VIX option pricing ; affine jump diffusion ; characteristic …
Persistent link: https://www.econbiz.de/10009554553
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Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus; Stromberg, Jacob - 2012 - This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
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Macroeconomic determinants of stock market volatility and volatility risk-premiums
Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and volatility risk-premia are stochastic and derive...
Persistent link: https://www.econbiz.de/10009558368
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Detecting informed trading activities in the options markets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies … tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding … millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times …
Persistent link: https://www.econbiz.de/10009314008