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Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Peeters, Bas; Dert, Cees L.; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...
Persistent link: https://www.econbiz.de/10010324983
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(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?
Berg, Tobias; Mölls, Sascha H.; Willershausen, Timo - 2009
The purpose of this paper is to analyze the influence of uncertainty on the value of real options while allowing for a possible change in the value of the underlying asset. We show that the proposition of a strictly positive influence of uncertainty does not hold, if the value of the underlying...
Persistent link: https://www.econbiz.de/10011558716
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How to Avoid a Hedging Bias
Dudenhausen, Antje - 2002
In this paper, the effects of so-called model misspecification and the effects of dropping the assumption that continuous rebalancing is possible are examined. Strategies which are robust if applied continuously fail to be robust if applied in discrete time. Therefore, the hedging bias which...
Persistent link: https://www.econbiz.de/10010263078
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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The BMW model as a static approximation of a foreward-looking New Keynesian macroeconomic model
Bofinger, Peter; Mayer, Eric; Wollmershäuser, Timo - 2003
Over the last decade a new consensus model has emerged in monetary macroeconomics, labelled New Keynesian macroeconomics (Clarida et al., 1999). It consists of three simple building blocs: a forward-looking IS-equation that is derived from the optimization problem of a representative household,...
Persistent link: https://www.econbiz.de/10010305736
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The BMW model: A new framework for teaching monetary macroeconomics in closed and open economies
Bofinger, Peter; Mayer, Eric; Wollmershäuser, Timo; … - 2003
While the IS/LM-AS/AD model is still the central tool of macroeconomic teaching it has been criticised by several economists. The model is unable to deal with a monetary policy that uses the interest rate as its operating target ( Romer [2000]). Walsh [2002] has criticised that it is not suited...
Persistent link: https://www.econbiz.de/10010305749
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Multisided media markets: Applying the theory of multisided markets to media markets
Lindstädt, Nadine - 2009
Media markets recently have been identified as multisided markets. The application of the theory of multisided markets … theory of multisided markets and subsequently applies it to media markets. Finally the paper draws attention to the new … perspectives and insights the theory provides but also brings open research questions to light. …
Persistent link: https://www.econbiz.de/10010321700
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How prediction markets can save event studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...
Persistent link: https://www.econbiz.de/10010274808
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Efficiency-wage hypothesis and the operational production pattern
Naqvi, Nadeem; Schürg, Carolin V. - 2011
An economy's production set is the collection of all net output vectors that the economy is capable of producing with a given technology and fixed quantities of primary factors of production. The boundary of this set is called the production possibility frontier or PPF. We show that, if the...
Persistent link: https://www.econbiz.de/10010286384