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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …
Persistent link: https://www.econbiz.de/10011506352
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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Asset pricing in the early twentieth century
Moore, Lyndon C. - 2006
Persistent link: https://www.econbiz.de/10003908181
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On the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven; Chernih, Andrew; Schoutens, Wim - 2007
Persistent link: https://www.econbiz.de/10003613733
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An empirical analysis of the Nikkei 225 put options using realized GARCH models
Takeuchi-Nogimori, Asuka - 2012
Persistent link: https://www.econbiz.de/10009618595
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Option pricing under habit formation and event risks
Du, Du - 2007
Persistent link: https://www.econbiz.de/10003617810
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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(Un)Modelling the Volatility Surface : Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions
Flint, Emlyn James - 2016
The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for underlying asset prices. However, it is known that empirical data violates this assumption. In this report we describe, motivate and apply a model-independent,...
Persistent link: https://www.econbiz.de/10012994178
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai - 2017
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10012966248