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Spot price modelling of industrial metals :an heterogeneous agent based model for copper
Geman, Hélyette; Scheiber, Matthias - 2014
Persistent link: https://www.econbiz.de/10010366820
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37
-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold … possibilities. In the short-run, ("Noise Trader" and "High-Frequency Trader") only a few equities are insensitive to Oil and Gold … the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta …
Persistent link: https://www.econbiz.de/10012500129
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
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Isolating the disaster risk premium with equity options
Horvath, Jaroslav - In: Journal of empirical finance 51 (2019), pp. 138-148
Persistent link: https://www.econbiz.de/10012170406
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346
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Valuation of callable/putable corporate bonds in a one-factor lognormal interest-rate model
Goldberg, Robert S.; Ronn, Ehud I.; Xu, Liying - In: The journal of fixed income : JFI 31 (2021) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10012613114
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Moment risk premiums in option markets : on measurement, structure, and investment implications
Dörries, Julian - 2021
Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...
Persistent link: https://www.econbiz.de/10012816290
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Approximating option prices under large changes of underlying asset prices
Jun, Jae-Yun; Rakotondratsimba, Yves - In: International journal of theoretical and applied … 26 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014305917