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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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What determines volatility smile in China?
Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
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Explaining time-varying risk of electricity forwards : trading activity and news announcements
Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011
We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...
Persistent link: https://www.econbiz.de/10008989697
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Price discovery and foreign participation in the Republic of Korea's government bond cash and futures markets
Park, Cyn-Young; Mercado, Rogelio V. <Jr.>; Choi, Jaehun; … - 2015
This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading...
Persistent link: https://www.econbiz.de/10010519526
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Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
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
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Volatility impact of stock index futures trading : a revised analysis
Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126
The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...
Persistent link: https://www.econbiz.de/10009673721
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10009612031
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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The Puzzle of Privately-Imposed Price Limits : Are the Limits Imposed by Financial Exchanges Effective
Buyuksahin, Bahattin - 2011
futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that … would have occurred on the futures market migrates to the options market, and options prices accurately predict the … (unconstrained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on …
Persistent link: https://www.econbiz.de/10013131781
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Trading Activity and Realized Volatility : Evidence with Decomposed Trading Volume and Order Imbalance
Ting, Sze Shih - 2010
This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...
Persistent link: https://www.econbiz.de/10013138999