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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
Messow, Philip - 2012
credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …
Persistent link: https://www.econbiz.de/10010287293
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A quantitative mirror on the Euribor market using implied probability density functions
de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10011605327
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Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011
The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...
Persistent link: https://www.econbiz.de/10010292137
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171
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Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation
Franzke, Stefanie A.; Schlag, Christian - 2002
Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price....
Persistent link: https://www.econbiz.de/10010292627
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Extracting risk-neutral probability distributions from option prices using trading volume as a filter
Dupont, Dominique Y. - 2001
This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability...
Persistent link: https://www.econbiz.de/10010292748
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Empirical performance of the Czech and Hungarian index options under jump
Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001
Hungarian Index) biases reported for the short term out-of-the-money call options can be explained by the Jump option pricing …
Persistent link: https://www.econbiz.de/10010292775
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A diffusion approximation for the riskless profit under selling of discrete time call options
Nagaev, Sergei A. - 2003
A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is...
Persistent link: https://www.econbiz.de/10010292785
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Hedging barrier options: Current methods and alternatives
Dupont, Dominique Y. - 2001
preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …
Persistent link: https://www.econbiz.de/10010292791