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Solving incomplete markets models by derivative aggregation

Grasl, Tobias - 2013

Persistent link: https://www.econbiz.de/10009739531

Growth uncertainty, rational learning, and option prices

Babiak, Mykola; Kozhan, Roman - 2021

Persistent link: https://www.econbiz.de/10012542894

Option Pricing Under Dividend Barrier Strategies

Jiang, Zhengjun - 2015

This paper investigates risk-neutral price of European option under dividend barrier strategy when cumulative log-return during time interval [0,t] of the underlying stock in the absence of dividends follows a Brownian motion with drift. Such a dividend barrier strategy means that in the...

Persistent link: https://www.econbiz.de/10013028368

Minsky, Options and Subprime

Oldani, Chiara - 2010

The Financial Instability Hypothesis-FIH (Minsky, 1977) explains the endogenous creation of the business cycle by considering how the economic units contribute to the capital development, and the debt impact. The FIH is a powerful model to describe how financial markets become unstable, also in...

Persistent link: https://www.econbiz.de/10013140057

Growth Uncertainty, Rational Learning, and Option Prices

Babiak, Mykola; Kozhan, Roman - 2022

We examine implications of introducing parameter uncertainty in endowment and production economies for index option premiums. We estimate two-state models of consumption and productivity growth using post-war U.S. data and allow for rational learning about unknown persistence of economic growth....

Persistent link: https://www.econbiz.de/10014238945

A Macro-Finance Model for Option Prices : A Story of Rare Economic Events

Hasler, Michael - 2020

are followed by economic recoveries, the slope of the implied volatility term structure is positive in good times but … turns negative in bad times. Additionally, implied volatility decreases with moneyness in bad times (volatility skew), while … the dynamics of the implied volatility surface while keeping standard asset pricing moments realistic …

Persistent link: https://www.econbiz.de/10012835346

Option Valuation with Macro-Finance Variables

Dorion, Christian - 2016

asset and its volatility, the price of an option in the model depends on macroeconomic conditions. Using an index of current … two-component volatility benchmark …

Persistent link: https://www.econbiz.de/10013008886

Implementing real options valuation under macroeconomic risk and normally distributed cash flows

Instefjord, Norvald; Kenç, Turalay - In: International econometric review 16 (2024) 1, pp. 50-67

The paper highlights the encountered problems in implementing real options under more realistic assumptions such as business cycle risk and normally distributed cash flows. The problems considered include (i) estimating empirical distribution of cash flows from real option investments; (ii)...

Persistent link: https://www.econbiz.de/10015375466

Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting

Tvedt, Jostein - In: Applied mathematical finance 23 (2016) 3/4, pp. 261-277

Persistent link: https://www.econbiz.de/10011704235

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel puzzle". This article explores the pricing kernel under...

Persistent link: https://www.econbiz.de/10015192948