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The 2019 government shutdown increased uncertainty in major agricultural commodity markets
Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012817189
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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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Are Regime Shift Risks Priced in Asset Markets?
Chourdakis, Kyriakos - 2011
In this paper we introduce a discrete time pricing model for a European call option when the log-return of the underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be priced in the market. The paper shows how to estimate this...
Persistent link: https://www.econbiz.de/10013130931
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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
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Pricing of Volatility Risk in REITs
DeLisle, Jared - 2013
We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic) volatility. In contrast to the negative and significant...
Persistent link: https://www.econbiz.de/10013092294
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics of equity forward prices. Transition probabilities are in the variance gamma class with spot dependent parameters. Markov chain approximations give access to option prices. The...
Persistent link: https://www.econbiz.de/10013064149
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Market Jump Risk and the Price Structure of Individual Equity Options
Elkamhi, Redouane - 2010
The role of market jump risk premium implicit in individual equity options has not been examined to date. This paper …. We estimate the model on a large cross section of equity returns and options. We find that market jump risk embedded in … equity options is about 3.18%. This magnitude is consistent with those found in index options pricing studies which suggests …
Persistent link: https://www.econbiz.de/10013152217
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Volatility-Decay Risk Premia
Galai, Dan - 2019
these hedged options' portfolios yield compensate ‎investors for the uncertain magnitude and duration of volatility decay …
Persistent link: https://www.econbiz.de/10012905610
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The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps can be used to explore the relationship between the implied variance in option prices and realized variance, so too can skew swaps be used to explore the relationship between...
Persistent link: https://www.econbiz.de/10012906107