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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

Financial history and financial economics

Turner, John D. - 2014

This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial...

Persistent link: https://www.econbiz.de/10010347674

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

Option-implied term structures

Vogt, Erik - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework …

Persistent link: https://www.econbiz.de/10010459730

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

Optimal multi-period consumption and investment with short-sale constraints

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Pınar, Mustafa Ç - In: Finance research letters 11 (2014) 1, pp. 16-24

Persistent link: https://www.econbiz.de/10010393634

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

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

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

Shadow costs of incomplete information and short sales in the valuation of the firm and its assets

Bellalah, Mondher - In: The North American journal of economics and finance : a … 37 (2016), pp. 406-419

Persistent link: https://www.econbiz.de/10011672986