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Missing parameters in option prices
Heston, Steven L. - 1992
Persistent link: https://www.econbiz.de/10000912009
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Pitfalls in estimating jump-diffusion models
Honoré, Peter - 1998
Persistent link: https://www.econbiz.de/10000994072
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Fair valuation of life insurance liabilities : the impact of interest rate guarantees, surrender options, and bonus policies
Grosen, Anders; Løchte Jørgensen, Peter - 1999
Persistent link: https://www.econbiz.de/10001375327
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Stock index dynamics and the valuation of stock index derivatives in a general equilibrium model with stochastic interest rates
Sørensen, Carsten - 1996
Persistent link: https://www.econbiz.de/10000950913
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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Cross-currency LIBOR market models
Mikkelsen, Peter - 2001
Persistent link: https://www.econbiz.de/10001634329
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Efficient control variates for Monte-Carlo valuation of American options
Søndergaard Rasmussen, Nicki - 2002
Persistent link: https://www.econbiz.de/10001721470
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Put-call parity with futures-style margining
Easton, Stephen Andrew - 1996
Persistent link: https://www.econbiz.de/10000947719
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Exotic unit-linked life insurance contracts
Ekern, Steinar; Persson, Svein-Arne - 1995
Persistent link: https://www.econbiz.de/10000925608
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A new predictor of real economic activity : the S&P 500 option implied risk aversion
Sarantopoulou-Chiourea, Sylvia; Skiadopoulos, George - 2015 - This draft: 17 March 2015
We propose a new predictor of real economic activity (REA), namely the representative investor's implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA exploits the forward-looking information in option prices. It increases as risk averse investors enter the market,...
Persistent link: https://www.econbiz.de/10010499597