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Closed form integration of artificial neural networks with some applications

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

on approximations to the density of stock returns; Recovering risk neutral densities for the valuation of options from …

Persistent link: https://www.econbiz.de/10010301753

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer; Veith, Jochen - 2006

rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …

Persistent link: https://www.econbiz.de/10010301798

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Persistent link: https://www.econbiz.de/10010305730

Investors with too many options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …

Persistent link: https://www.econbiz.de/10011605243

Non-Institutional Market Making Behavior: The Dalian Futures Exchange

Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002

This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...

Persistent link: https://www.econbiz.de/10010318591

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale...

Persistent link: https://www.econbiz.de/10010320000

Relaxing Competition through Speculation: Committing to a Negative Supply Slope

Holmberg, Pär; Willems, Bert - 2012

the spot market. In our game, suppliers first choose a portfolio of call options and then compete with supply functions …. In equilibrium firms sell forward contracts and buy call options to commit to downward sloping supply functions. Although …

Persistent link: https://www.econbiz.de/10010320360

Incomplete diversification and asset pricing

Elliott, Robert; Madan, Dilip; Milne, Frank - 2002

Investors in equilibrium are modeled as facing investor specific risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that reflects market risk exposures. It is observed on invoking...

Persistent link: https://www.econbiz.de/10010290440

Statistics of risk aversion

Giacomini, Enzo; Härdle, Wolfgang Karl - 2007

Persistent link: https://www.econbiz.de/10010274128

Empirical pricing kernels and investor preferences

Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10010275864