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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098521
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Benchmarked Risk Minimization for Jump Diffusion Markets
Platen, Eckhard - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098766
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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …
Persistent link: https://www.econbiz.de/10011506354
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities, and products, including variance swaps, straddles, and...
Persistent link: https://www.econbiz.de/10011904683
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...
Persistent link: https://www.econbiz.de/10008746123
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Collateralization, Market Incompleteness and Asset Overvaluation
Dow, James - 2016
We study a simple static economy with collateralized loan contracts and an incomplete asset market. We study whether economic forces operate to keep asset price equal to fundamentals in this economy. We find that asset prices may be higher than the valuation of any agent in the economy, i.e.,...
Persistent link: https://www.econbiz.de/10013000446
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Variance Trading and Market Price of Variance Risk
Bondarenko, Oleg - 2014
hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …
Persistent link: https://www.econbiz.de/10013067300
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Why is Portfolio Insurance Attractive to Investors?
Vrecko, Dennis - 2009
This paper examines whether and how the popularity of portfolio insurance strategies can be justified theoretically. The analysis employs three different return generating processes with and without stochastic volatility and jumps. We find that an investor with constant relative risk aversion...
Persistent link: https://www.econbiz.de/10013153296
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Corporate Hedging and the Variance of Stock Returns
Biguri, Kizkitza - 2019
By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …
Persistent link: https://www.econbiz.de/10012899849
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Hedging and Pricing Illiquid Options with Market Impacts
Saito, Taiga - 2016
In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to …
Persistent link: https://www.econbiz.de/10013005775