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Pricing Derivatives Under A Gains Tax Regime: New Impacts
Wöster, Christoph - 2006
Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...
Persistent link: https://www.econbiz.de/10009452631
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Pricing and hedging derivative securities in a regime-switching model with state-dependent jumps
Lee, Michael Shou-Cheng, Banking & Finance, Australian … - 2007
In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …
Persistent link: https://www.econbiz.de/10009484250
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Anwendungsorientierte Grundlagenforschung und produktorientierte Anwendungsforschung als Spekulationsgeschäft - ein Anwendungsfall für die Optionspreistheorie
Schultheiß, Rainer - 2000
Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …
Persistent link: https://www.econbiz.de/10009467496
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Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence
Constantinides, George M.; Czerwonko, Michal; … - 2008
American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...
Persistent link: https://www.econbiz.de/10009471662
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Dynamic semiparametric factor models
Borak, Szymon - 2008
resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …
Persistent link: https://www.econbiz.de/10009467069
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Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken
Wiesent, Julia - 2011
Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...
Persistent link: https://www.econbiz.de/10009482328
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Uncertain Duration of Reform: Dynamic Implications
Calvo, Guillermo A.; Drazen, Allan - 1998
We develop a framework to study the effects of policies of uncertain duration onconsumption dynamics under both complete and incomplete markets. We focus on the dynamicimplications of market incompleteness, specifically on the lack of state-contingent bonds. Twopolicies are considered: pure...
Persistent link: https://www.econbiz.de/10009450564
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Risikomanagement unter besonderer Berücksichtigung des Hedging von Rohstoffpreisen : eine theoretische Betrachtung
Matzer, Gertrude - 2010
nicht vorhanden
Persistent link: https://www.econbiz.de/10009434231
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A simplified approach to modeling the co-movement of asset returns
Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon - 2007
The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....
Persistent link: https://www.econbiz.de/10009440897
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Robust estimation of the optimal hedge ratio
Harris, Richard D. F.; Shen, Jian - 2003
When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate … the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging …
Persistent link: https://www.econbiz.de/10009440947