Similar Search Results

Explaining asset pricing puzzles associated with the 1987 market crash

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010

equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …

Persistent link: https://www.econbiz.de/10010292171

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Persistent link: https://www.econbiz.de/10010305730

Non-Institutional Market Making Behavior: The Dalian Futures Exchange

Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002

This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...

Persistent link: https://www.econbiz.de/10010318591

Continuous time regime switching models and applications in estimating processes with stochastic volatility and jumps

Chourdakis, Kyriakos - 2002

A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...

Persistent link: https://www.econbiz.de/10010284206

Pricing American options under stochastic volatility: A new method using Chebyshev polynomials to approximate the early exercise boundary

Tzavalis, Elias; Wang, Shijun - 2003

This paper presents a new numerical method for pricing American call options when the volatility of the price of the … under stochastic volatility. This representation is used to develop a numerical method for pricing the American options … numerical approach can quickly and accurately price American call options both under stochastic and/or constant volatility. …

Persistent link: https://www.econbiz.de/10010284217

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

We introduce a new class of flexible and tractable matrix a±ne jump-diffusions (AJD) to modelmultivariate sources of financial risk. We first provide a complete transform analysis of this model class,which opens a range of new potential applications to, e.g., multivariate option pricing with...

Persistent link: https://www.econbiz.de/10009248844

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

dynamics and the cross-sectional features of index and individual stock options.[...] …

Persistent link: https://www.econbiz.de/10009305103

Exponential utility indifference valuation in two Brownian settings with stochastic correlation

Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...

Persistent link: https://www.econbiz.de/10005857735

Arbitrage-free market models for option prices : The multi-strike case

Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008

with one stock, one bond and a family of European call options for one ﬁxed maturity and all strikes. After arguing that …

Persistent link: https://www.econbiz.de/10005858204

Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance

Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility …

Persistent link: https://www.econbiz.de/10005858246