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Kourtis, Apostolos; Markellos, Raphael N. - In: Managerial Finance 37 (2011) 11, pp. 978-984

correcting observed option prices, prior to investigating the rationality of early exercise decisions, or in measuring the size … opening/closing times and days, to American option prices. …

Persistent link: https://www.econbiz.de/10014940200

Do Economists' and Financial Markets' Perspectiveson the New Members of the Eu Differ?

Schadler, Susan; Luengnaruemitchai, Pipat - International Monetary Fund (IMF) - 2007

In the past several years, the ten new Central and Eastern European members of the European Union have enjoyed rapid growth but frequently alongside growing external imbalances. Economists have pointed to rising vulnerabilities, but markets compressed sovereign bond yields. This paper examines...

Persistent link: https://www.econbiz.de/10005599415

Spline methods for extracting interest rate curves from coupon bond prices

Waggoner, Daniel F. - 1997

Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, more recently, Fisher, Nychka, and Zervos used smoothed splines, with the roughness penalty selected by...

Persistent link: https://www.econbiz.de/10010397460

A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - 1997

which current volatility is easily estimated from historical asset prices observed at discrete intervals. Empirical analysis … Black-Scholes model is updated every period and uses implied volatilities from option prices, while the parameters of the … GARCH model are held constant and volatility is filtered from the history of asset prices. The improvement is due largely to …

Persistent link: https://www.econbiz.de/10010397476

Jump risk, time-varying risk premia, and technical trading profits

Feng, Chenyang; Smith, Stephen D. - 1997

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

Persistent link: https://www.econbiz.de/10010397482

Testing term structure estimation methods

Bliss, Robert R. - 1996

the discount rate function directly to bond prices. ; The tests demonstrate the dangers of in-sample goodness-of-fit as … detect misspecification of the underlying pricing equation relating the term structure to bond prices. These tests establish … the presence of unspecified, but nonetheless systematic, omitted factors in the prices of long maturity notes and bonds …

Persistent link: https://www.econbiz.de/10010397495