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Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …
Persistent link: https://www.econbiz.de/10005867630
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"Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
Branger, Nicole; Schlag, Christian; Wu, Lue - 2015
compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that … the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more …
Persistent link: https://www.econbiz.de/10011315454
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Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
expected in ation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed …
Persistent link: https://www.econbiz.de/10012000998
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Optimists and pessimists in (in)complete markets
Branger, Nicole; Konermann, Patrick; Schlag, Christian - 2019
We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when …
Persistent link: https://www.econbiz.de/10012023733
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Horizontal industry relationships and return predictability
Schlag, Christian; Zeng, Kailin - 2019
It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)).We show that robust predictability also arises from horizontal links between industries, i.e., from the fact that...
Persistent link: https://www.econbiz.de/10012051979
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The collateralizability premium
Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian - 2019
A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides...
Persistent link: https://www.econbiz.de/10012113831
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Volatility-of-volatility risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified modelfree from the option price data as...
Persistent link: https://www.econbiz.de/10011849504
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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2018
equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an asset's shock …
Persistent link: https://www.econbiz.de/10011902329
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …
Persistent link: https://www.econbiz.de/10010263305
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Predictability and the cross-section of expected returns: A challenge for asset pricing models
Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271695