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Palmowski, Zbigniew; Serafin, Tomasz - In: Risks 8 (2020) 3, pp. 1-19

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a Û-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...

Persistent link: https://www.econbiz.de/10013200623

On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - In: Risks 9 (2021) 1, pp. 1-18

The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...

Persistent link: https://www.econbiz.de/10013200690

An equilibrium-based measure of systemic risk

Ivanov, Katerina; Schulte, James; Tian, Weidong; Tseng, … - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-24

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...

Persistent link: https://www.econbiz.de/10013201098

Measuring credit risk in family firms

Abinzano, Isabel; Corredor, Pilar; Martinez, Beatriz - In: BRQ Business Research Quarterly 25 (2022) 3, pp. 265-282

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000-2016. The results show that the...

Persistent link: https://www.econbiz.de/10013327744

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial Innovation 6 (2020) 1, pp. 1-29

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

Persistent link: https://www.econbiz.de/10012602883

Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

Switzer, Lorne N.; Fan, Haibo - In: International Econometric Review (IER) 2 (2010) 1, pp. 11-35

The behaviour of limit order quotes and trading activity are studied using a unique and rich database that includes the identity of market participants from a fully automated derivatives market. The analysis is performed using transactions records for three aggregated trader types and three...

Persistent link: https://www.econbiz.de/10012610930

The Commodity Futures Volatility and Macroeconomic Fundamentals - The Case of Oil and Oilseed Commodities in India

Joarder, Suranjana - In: International Econometric Review (IER) 10 (2018) 2, pp. 33-50

findings have important implications for commodity production decision making, commodity hedging and commodity price …

Persistent link: https://www.econbiz.de/10012610971

Arbitrage free approximations to candidate volatility surface quotations

Madan, Dilip B.; Schoutens, Wim - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-21

processes with independent increments. Calibrations are illustrated for data on 2695 options across 28 maturities for SPY as at …

Persistent link: https://www.econbiz.de/10012611129

Efficient numerical pricing of American call options using symmetry arguments

Stentoft, Lars - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-26

sample of options with characteristics of relevance in real-life applications, the symmetric method performs much better on … average than the regular pricing method, is the best method for most of the options, never performs poorly and, as a result …. Using the symmetric method to price, for example, real options, many of which are call options with long maturities on …

Persistent link: https://www.econbiz.de/10012611139

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-21

our mLRNVR when pricing options with GARCH models. …

Persistent link: https://www.econbiz.de/10012611270