Showing 1 - 10 of 1,471
our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …
Persistent link: https://www.econbiz.de/10010301798
This paper shows that preferences alone cannot explain the patterns reported in the literature.
Persistent link: https://www.econbiz.de/10005843337
pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …
Persistent link: https://www.econbiz.de/10010290440
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …
Persistent link: https://www.econbiz.de/10003633572
from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading …
Persistent link: https://www.econbiz.de/10009314008
This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...
Persistent link: https://www.econbiz.de/10009314012
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental … theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking … nullsets thus distorting the investor's risk premium. It follows that the relative empirical pricing kernel is no longer a true …
Persistent link: https://www.econbiz.de/10011506352
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices. They present an equilibrium model which focuses on the stochastic behavior of tastes in addition to the dynamics of investor beliefs.
Persistent link: https://www.econbiz.de/10005846139