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Asymmetric information about volatility and option markets

Nandi, Saikat - 1995

This paper develops a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset but not the future asset price. It is shown that there exists an equilibrium in which the investor trades an option on the asset and...

Persistent link: https://www.econbiz.de/10010397427

A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - 1997

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag)...

Persistent link: https://www.econbiz.de/10010397476

A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility

Heston, Steven L.; Nandi, Saikat - 1999

of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European … options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options …

Persistent link: https://www.econbiz.de/10010397477

Derivatives on volatility: some simple solutions based on observables

Heston, Steven L.; Nandi, Saikat - 2000

contributes to this nascent literature by developing closed-form/analytical formulae for prices of options and futures on …

Persistent link: https://www.econbiz.de/10010397484

Efficiency in index options markets and trading in stock baskets

Ackert, Lucy F.; Tian, Yisong S. - 1999

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository...

Persistent link: https://www.econbiz.de/10010397522

Pricing and hedging index options under stochastic volatility: an empirical examination

Nandi, Saikat - 1996

the options market and using S&P 500 futures to hedge, it is found that the stochastic volatility model yields lower …

Persistent link: https://www.econbiz.de/10010397571

Preference-free option pricing with path-dependent volatility: A closed-form approach

Heston, Steven L.; Nandi, Saikat - 1998

This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete-time GARCH model of Heston and Nandi (1997) that allows...

Persistent link: https://www.econbiz.de/10010397572

Pricing S&P 500 index options using a Hilbert space basis

Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Sailesh - 1996

This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index...

Persistent link: https://www.econbiz.de/10010397584

What are the implications of the global crisis and its aftermath for developing countries, 2010-2020?

Sumner, Andy; Ballantyne, Joe; Curry, Andrew - 2010

Development Goals (MDGs) to 2015 and afterwards. Futureproofing the MDGs is about thinking how future(s) might impact the Goals … plausible futures - are a vehicle both for acting on possible future(s) and interpreting their implications. This paper explores … the implications for growth and poverty reduction in developing countries of four futures scenarios to address the …

Persistent link: https://www.econbiz.de/10010293278

Liquidity constrained exporters: Trade and futures hedging

Broll, Udo; Wahl, Jack E. - 2009

liquidate the futures position. We show that preferences and expectations become important for optimumexport and hedging …

Persistent link: https://www.econbiz.de/10010301364