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Pricing options by simulation using realized volatility
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009
Persistent link: https://www.econbiz.de/10003869596
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10010326266
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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Jaskowski, Marcin; McAleer, Michael - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...
Persistent link: https://www.econbiz.de/10010326423
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Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009784936
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva-tives” is to highlight some areas in which novel...
Persistent link: https://www.econbiz.de/10010907433
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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...
Persistent link: https://www.econbiz.de/10011268659
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Estimating the Leverage Parameter of Continuous-Time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011
volatilities of the two processes, is in-fill consistent for rho. Finite sample simulation results show that the proposed estimator …
Persistent link: https://www.econbiz.de/10014186411
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Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - Facultad de Ciencias Económicas y Empresariales, … - 2011
the two processes, is in-fill consistent for  . Finite sample simulation results show that the proposed estimator …
Persistent link: https://www.econbiz.de/10009142363
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Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - Institute of Economic Research, Kyoto University - 2011
period is fixed. Finite sample simulation results show that the proposed estimator delivers accurate estimates of the …
Persistent link: https://www.econbiz.de/10008828716
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Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - Department of Economics and Finance, College of … - 2011
period is fixed. Finite sample simulation results show that the proposed estimator delivers accurate estimates of the …
Persistent link: https://www.econbiz.de/10008836557