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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

Commodities, financialization, and heterogeneous agents

Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 28, 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/10011539849

Commodities, financialization, and heterogeneous agents

Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 5, 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/10011448180

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

When are Static Superhedging Strategies Optimal?

Branger, Nicole; Esser, Angelika; Schlag, Christian - 2004

This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which generate payoffs at least as high as that of a given contingent claim. The simplest solution to this problem is in many cases a static superhedge, i.e. a buy-and-hold strategy...

Persistent link: https://www.econbiz.de/10010263307

Tractable Hedging: An Implementation of Robust Hedging Strategies

Branger, Nicole; Mahayni, Antje - 2004

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...

Persistent link: https://www.econbiz.de/10010316082

Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors

Branger, Nicole; Schlag, Christian - 2004

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on option hedging errors. We derive a closed-form solution...

Persistent link: https://www.econbiz.de/10010316083

What is the impact of stock market contagion on an investor's portfolio choice?

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009

Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...

Persistent link: https://www.econbiz.de/10010316140

Commodities, financialization, and heterogeneous agents

Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016

Persistent link: https://www.econbiz.de/10011539953

An Economic Motivation for Variance Contracts

Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005

Variance contracts permit the trading of ’variance risk’, i.e. the risk that the realizedvariance of stock returns changes randomly over time. We discuss why investorsmight want to trade this type of risk, and why they might prefer a variance contractto standard calls and puts for this...

Persistent link: https://www.econbiz.de/10005867623