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Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...
Persistent link: https://www.econbiz.de/10012225151
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10003947918
We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...
Persistent link: https://www.econbiz.de/10010361995
An vielen Börsen sind heute elektronische Handelssysteme im Einsatz, die nach dem Auktionsprinzip funktionieren. Limitierte Aufträge werden dabei in einem Orderbuch zusammengefaßt, das von den Handelsteilnehmern eingesehen werden kann. In vielen Handelssystemen (darunter Xetra) werden dabei...
Persistent link: https://www.econbiz.de/10005854126
An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...
Persistent link: https://www.econbiz.de/10013118115
This paper presents a new transform-based approach for path-independent lattice construction for pricing American options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct efficient path-independent lattices for virtually all...
Persistent link: https://www.econbiz.de/10013152949
This paper explores the leverage effect (the negative association between the stock return today and the stock return's volatility tomorrow), by utilizing the exponential ARCH type specification for panel data with a large number of stock issues and a small number of daily time series...
Persistent link: https://www.econbiz.de/10012957656
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10012857609
listing requirements on the various markets. We analyze the IPO techniques: the fixed-price offerings, auctions, book …
Persistent link: https://www.econbiz.de/10013026463
We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...
Persistent link: https://www.econbiz.de/10013033634