Narrow search
Showing 1 - 10 of 463
Cover Image
Hedging barrier options: Current methods and alternatives
Dupont, Dominique Y. - 2001
preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …
Persistent link: https://www.econbiz.de/10010292791
Cover Image
A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10010303744
Cover Image
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10010326219
Cover Image
Investors with too many options?
Dorn, Daniel - 2010
pricing is well understood. The search cost is estimated to average 1% of the amount invested, the same order of magnitude as …
Persistent link: https://www.econbiz.de/10011605243
Cover Image
Mispricing of S&P 500 index options
Constantinides, George M.; Jackwerth, Jens Carsten; … - 2005
We document widespread violations of stochastic dominance in the one-month S&P 500 index options market over the period 1986-2002. These violations imply that a trader can improve her expected utility by engaging in a zero-net-cost trade. We allow the market to be incomplete and also imperfect...
Persistent link: https://www.econbiz.de/10010266937
Cover Image
When did the options market in Enron lose its' smirk?
Mizrach, Bruce - 2002
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the...
Persistent link: https://www.econbiz.de/10010318377
Cover Image
Y2K options and the liquidity premium in treasury bond markets
Sundaresan, Suresh; Wang, Zhenyu - 2006
Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right...
Persistent link: https://www.econbiz.de/10010283316
Cover Image
Market expectations and option prices: Evidence for the Can$/US$ exchange rate
García, Alejandro; Prokopiw, Andrei - 2010
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...
Persistent link: https://www.econbiz.de/10010289724
Cover Image
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options … ; coherent market hypothesis ; market polarization ; option pricing ; overreaction ; chaotic market ; repelling market …
Persistent link: https://www.econbiz.de/10003636657
Cover Image
Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V. (contributor) - 2006
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10003375783