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Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives

Ahčan, Aleš - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 131-138

Persistent link: https://www.econbiz.de/10009501692

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10008901645

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

Analysis of rainfall derivatives using daily precipitation models : opportunities and pitfalls

Odening, Martin; Musshoff, Oliver; Xu, Wei - In: Agricultural finance review 67 (2007) 1, pp. 135-156

Persistent link: https://www.econbiz.de/10003495791

Testing the Stability of Implied Probability Density Functions

Bliss, Robert R.; Panigirtzoglou, Nikolaos - 2000

Implied probability density functions (PDFs) estimated from cross-sections of observed option prices are gaining increasing attention amongst academics and practitioners. To date, however, little attention has been paid to the robustness of these estimates or to the confidence that users can...

Persistent link: https://www.econbiz.de/10014154879

Good Volatility, Bad Volatility and Option Pricing

Feunou, Bruno - 2017

Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of...

Persistent link: https://www.econbiz.de/10012969893

Risk-neutral moment-based estimation of affine option pricing models

Feunou, Bruno; Okou, Cédric - 2017

This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We … synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk … Andersen, Fusari, and Todorov (2015b) option valuation model to risk-neutral moments captures the bulk of the information in …

Persistent link: https://www.econbiz.de/10011777846

Good volatility, bad volatility and option pricing

Feunou, Bruno; Okou, Cédric - 2017

Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of...

Persistent link: https://www.econbiz.de/10011777891

Are climate change risks priced in the U.S. Stock market?

Faccini, Renato; Matin, Rastin; Skiadopoulos, George - 2021

We construct novel proxies of physical and transition climate risks by conducting textual analysis of climate-change news over the period 2000-2018. This analysis uncovers four textual variables related to the topics of U.S. climate policy, international summits, natural disasters, and global...

Persistent link: https://www.econbiz.de/10012432328

Pricing and hedging options on assets with options on related assets

Madan, Dilip B.; Wang, King - In: The journal of derivatives : JOD 29 (2021) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10012612942

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