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Asset pricing with endogenous disasters
Tiu, Cristian; Yoeli, Uzi - In: The review of financial studies 26 (2013) 11, pp. 2916-2960
Persistent link: https://www.econbiz.de/10010225875
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Beyond arbitrage : good-deal asset price bounds in incomplete markets
Cochrane, John H.; Saá-Requejo, Jesús - In: Journal of political economy 108 (2000) 1, pp. 79-119
Persistent link: https://www.econbiz.de/10001454786
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Beyond Arbitrage : "Good-Deal" Asset Price Bounds in Incomplete Markets
Cochrane, John H. - 1996
including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree …
Persistent link: https://www.econbiz.de/10012473370
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International risk sharing is better than you think : or exchange rates are much too smooth
Brandt, Michael W. (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10003732449
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International risk sharing is better than you think, or exchange rates are too smooth
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of monetary economics 53 (2006) 4, pp. 671-698
Persistent link: https://www.econbiz.de/10003333393
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Risks for the long run : an explanation of international finance puzzles
Colacito, Riccardo - 2006
Persistent link: https://www.econbiz.de/10003971785
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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Identifying Volatility Risk Premia from Fixed Income Asian Options
Almeida, Caio - 2018
depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …
Persistent link: https://www.econbiz.de/10012924537
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Entangled risks in incomplete FX markets
Maurer, Thomas; Tran, Ngoc-Khanh - In: Journal of financial economics 142 (2021) 1, pp. 146-165
Persistent link: https://www.econbiz.de/10012650663
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International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2021
Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...
Persistent link: https://www.econbiz.de/10013222977