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The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …
Persistent link: https://www.econbiz.de/10005558915
A huge number of financial institutions and companies use the options in risk management. A particularly important issue that arises when it comes to options is fixing their value. In this paper we present the classical models for valuing options: Black-Scholes model and binomial model....
Persistent link: https://www.econbiz.de/10010819491
Standard derivative pricing theory is based on the assumption of agents acting as price takers on the market for the underlying asset. We relax this hypothesis and study if and how a large agent whose trades move prices can replicate the payoff of a derivative security. Our analysis extends...
Persistent link: https://www.econbiz.de/10005184372
accurate approximations. We illustrate this method in a variety of contexts including option pricing with stochastic volatility …
Persistent link: https://www.econbiz.de/10011039202
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …
Persistent link: https://www.econbiz.de/10011259838
This paper derives an adjusted Black-Scholes pricing formula. In separating risk and uncertainty using the robust control technique, we find that both uncertainty and risk raise management’s subjective evaluation of real options. We suggest a simple method to filter the risk of the project and...
Persistent link: https://www.econbiz.de/10011260880
price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …
Persistent link: https://www.econbiz.de/10011114826
This paper investigates the roles of illiquidity and credit risk in determining the relations between price volatility …. We find a positive relation between volatility and trading frequency and a negative relation between volatility and trade … volatility and trading activity in the corporate bond market. …
Persistent link: https://www.econbiz.de/10011118061
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10010778692