Narrow search
Showing 1 - 10 of 1,230
Cover Image
Are options on index futures profitable for risk averse investors? : empirical evidence
Jackwerth, Jens Carsten; Kōnstantinidēs, Giōrgos; … - 2008
American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of … mispricing ; futures options ; derivatives pricing; stochastic dominance; transaction costs ; market efficiency …
Persistent link: https://www.econbiz.de/10003876987
Cover Image
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …
Persistent link: https://www.econbiz.de/10011507774
Cover Image
Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model
Persistent link: https://www.econbiz.de/10013113731
Cover Image
Risk Minimizing Hedging of Crude-Oil Options : Theory and Empirical Performance
Ewald, Christian-Oliver - 2011
We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging … strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump …
Persistent link: https://www.econbiz.de/10013125115
Cover Image
Tightening Robust Price Bounds for Exotic Derivatives
Lütkebohmert, Eva - 2018
We investigate the optimal martingale transport problem under additional constraints and its application to robust price bounds for financial derivatives. More specifically, we derive improved price bounds by taking into account supplementary information about the variance of the returns on the...
Persistent link: https://www.econbiz.de/10012907432
Cover Image
What Drives the Price Convergence between Credit Default Swap and Put Option : New Evidence
Chan, Ka Kei - 2019
Credit default swaps (CDSs) and deep out-of-the-money put (DOOMP) options can both be used as a credit protection instrument. However, partial market segmentation results in deviations between firm hazard rates implied by these contracts. These deviations are driven by a systematic...
Persistent link: https://www.econbiz.de/10012899167
Cover Image
Deep Reinforcement Learning for Option Replication and Hedging
Du, Jiayi - 2020
The authors propose models for the solution of the fundamental problem of option replication subject to discrete trading, round lotting and nonlinear transaction costs using state-of-the-art methods in deep reinforcement learning (DRL), including deep Q-learning, deep Q-learning with Pop-Art and...
Persistent link: https://www.econbiz.de/10012825238
Cover Image
The Portfolio Diversification Potential of Long VIX Futures and Options Strategies
Szado, Edward - 2019
futures and options may have the potential to provide significant diversification benefits for traditional portfolios. However …, since the term structure of VIX futures is generally upward sloping, long VIX futures positions can place a significant drag … on portfolio performance.In this paper we consider the performance of strategies that buy VIX futures or VIX call options …
Persistent link: https://www.econbiz.de/10012870101
Cover Image
The Option to Stock Volume Ratio and Future Returns
Johnson, Travis L. - 2020
We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket symmetric information model, we show that equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests,...
Persistent link: https://www.econbiz.de/10012857551
Cover Image
Risk Premia in Option Markets
Madan, Dilip B. - 2015
Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk premia seen as the ratio of the three parameters. The...
Persistent link: https://www.econbiz.de/10013018782