Showing 1 - 10 of 36
This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic derivatives. The autocallable payoff embeds an...
Persistent link: https://www.econbiz.de/10013491888
We develop a novel methodology for extracting information from option implied volatility (IV) surfaces for the cross-section of stock returns, using image recognition techniques from machine learning (ML). The predictive information we identify is essentially uncorrelated with most of the...
Persistent link: https://www.econbiz.de/10014361994
We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model,...
Persistent link: https://www.econbiz.de/10014238265
measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …
Persistent link: https://www.econbiz.de/10003973052
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
Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a …
Persistent link: https://www.econbiz.de/10009554553
Popular yield curve models include affine term structure models. These models are usually based on a fixed set of parameters which is calibrated to the actual financial market conditions. Under changing market conditions also parametrization changes. We discuss how parameters need to be updated...
Persistent link: https://www.econbiz.de/10011412102
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump size to depend on the state and...
Persistent link: https://www.econbiz.de/10011762245
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...
Persistent link: https://www.econbiz.de/10011625896