Showing 1 - 10 of 140
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10010334336
strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …
Persistent link: https://www.econbiz.de/10013208416
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the...
Persistent link: https://www.econbiz.de/10010318377
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10011380992
dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general … equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash … shortmaturity at-the-money and deep out-of- the-money S&P 500 put options, as well as the prices of individual stock options …
Persistent link: https://www.econbiz.de/10010292137
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
The quality of match of the statistical match used in the Levy Institute Measure of Time and Consumption Poverty (LIMTCP) estimates for Turkey in 2006 is described. The match combines the 2006 Zaman Kullanim Anketi (ZKA 2006) with the 2006 Hanehalki Bütçe Anketi (HBA 2006). These are the...
Persistent link: https://www.econbiz.de/10010318649
The method for simulation of labor market participation used in the LIMTIP models for Argentina, Chile, and Mexico is described. In each case, all eligible adults not working full-time were assigned full-time jobs. In all households that included job recipients, the time spent on household...
Persistent link: https://www.econbiz.de/10010318666
This paper summarizes the background, type, logic, and working procedure of the statistical matching used in the Levy Institute Measure of Economic Well-Being (LIMEW) project to combine the various data sets used to produce the synthetic data set with which the LIMEW is constructed. The authors...
Persistent link: https://www.econbiz.de/10010266457
The presence of seasonal fluctuations (regular behavior along the year related to weather or institutional factors) invalidates monthly (quarterly) comparisons. In turn, since inter-annual variations depend on the comparison basis being used, they could provide very little information to the...
Persistent link: https://www.econbiz.de/10010325094