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This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572
This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...
Persistent link: https://www.econbiz.de/10003905608
latter then be replaced by the continuous fit. The results can be interpreted as pricing perpetual American lookback options … reflection ; a change-of-variable formula with local time on surfaces ; perpetual lookback American options …
Persistent link: https://www.econbiz.de/10003375784
a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work … we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters …
Persistent link: https://www.econbiz.de/10008663372
measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …
Persistent link: https://www.econbiz.de/10003973052
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...
Persistent link: https://www.econbiz.de/10003952994
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...
Persistent link: https://www.econbiz.de/10008746123
the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …
Persistent link: https://www.econbiz.de/10008797695