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Hedging and Pricing Illiquid Options with Market Impacts
Saito, Taiga - 2016
In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the …
Persistent link: https://www.econbiz.de/10013005775
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Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis : The Case of Crude Oil and Gold
Junttila, Juha-Pekka - 2017
. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging …
Persistent link: https://www.econbiz.de/10012949196
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Analyst Disagreement and Aggregate Volatility Risk
Barinov, Alexander - 2015
The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal...
Persistent link: https://www.econbiz.de/10013039417
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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098521
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Benchmarked Risk Minimization for Jump Diffusion Markets
Platen, Eckhard - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098766
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The Price of Commodity Risk in Stock and Futures Markets
Boons, Martijn - 2014
We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure mainly via...
Persistent link: https://www.econbiz.de/10013068442
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
Persistent link: https://www.econbiz.de/10011303715
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Large-scale empirical tests of the Markov Tree model
Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318
-of-sample hedging errors than competing models. This comparison includes versions of Markov Tree and Black-Scholes models in which … indicates that the Markov Tree model's superior hedging performance is due to its robustness with respect to noise in option …
Persistent link: https://www.econbiz.de/10011312214
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VIX Exchange Traded Products : Price Discovery, Hedging and Trading Strategy
Bordonado, Christoffer - 2016
discovery, hedging ability and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to … ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk …
Persistent link: https://www.econbiz.de/10012996298
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The Term Structure of the Price of Variance Risk
Andries, Marianne - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
Persistent link: https://www.econbiz.de/10013018005