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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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Macroeconomic Bond Risks at the Zero Lower Bound
Branger, Nicole - 2016
Close-to-zero interest rates challenge standard economic models in which zero lower bound (ZLB) is absent. We estimate a recursive utility model which features time-varying latent expected real growth, expected inflation, and stochastic inflation volatility. Using an approximate solution to bond...
Persistent link: https://www.econbiz.de/10012985547
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The Case of Herding ist Stronger than You Think
Bohl, Martin T.; Branger, Nicole; Trede, Mark - Center for Quantitative Economics (CQE), … - 2015
In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...
Persistent link: https://www.econbiz.de/10011127576
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Equilibrium asset pricing in networks with mutually exciting jumps
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - Research Center SAFE (Sustainable Architecture for … - 2014
provides a flexible and tractable unifying foundation for asset pricing in networks. The model endogenously generates results …
Persistent link: https://www.econbiz.de/10010960471
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How does contagion affect general equilibrium asset prices?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - Research Center SAFE (Sustainable Architecture for … - 2013
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … trigger a regime shift to a bad economic state. We document that these contagious jumps have far-reaching asset pricing …
Persistent link: https://www.econbiz.de/10010955143
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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - Research Center SAFE (Sustainable Architecture for … - 2013
We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher....
Persistent link: https://www.econbiz.de/10010982106
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539953
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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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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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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013
We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher....
Persistent link: https://www.econbiz.de/10010327810