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Endogenous Extreme Events and the Dual Role of Prices
Danielsson, Jon; Shin, Hyun Song; Zigrand, Jean-Pierre - 2012
that arrive from outside the system. The combination of risk-sensitive behavior rules and the coordinated actions implied … Gaussian. We illustrate such endogenous extreme events through the pricing density resulting from dynamic hedging of options … and the flash crash of May 2010 …
Persistent link: https://www.econbiz.de/10014166131
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019
Persistent link: https://www.econbiz.de/10012124936
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020
Persistent link: https://www.econbiz.de/10012300973
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012650655
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10013224964
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10012480268
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Demand-based option pricing
Garleanu, Nicolae (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003726854
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Demand-based option pricing
Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - In: The review of financial studies 22 (2009) 10, pp. 4259-4299
Persistent link: https://www.econbiz.de/10003887031
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Demand-based option pricing
Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - 2005
Persistent link: https://www.econbiz.de/10003240184