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The valuation of corporate liabilities : theory and tests
Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … spreads ; default ; structural bond pricing models …
Persistent link: https://www.econbiz.de/10001600071
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Hedging barrier options : current methods and alternatives
Dupont, Dominique Y. - 2001
Persistent link: https://www.econbiz.de/10001608104
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The pricing of derivatives on assets with quadratic volatility
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001667065
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A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Persistent link: https://www.econbiz.de/10002569872
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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Persistent link: https://www.econbiz.de/10002569891
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Towards a general theory of good deal bounds
Björk, Tomas (contributor); Slinko, Irina (contributor) - 2005 - First version: October 2003
framework we study arbitrage free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa … pricing …
Persistent link: https://www.econbiz.de/10002757005
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Pricing Autocallables under Local-Stochastic Volatility
Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022
This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … exotic derivatives such as autocallables. We use quasi-Monte Carlo methods to study the pricing given the Heston LSV model …
Persistent link: https://www.econbiz.de/10013491888
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Risk Preferences Implied by Synthetic Options
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
risk of hedging options exposures have declined, consistent with a model in which intermediaries drive option prices …
Persistent link: https://www.econbiz.de/10014436964
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Recent Developments in Financial Risk and the Real Economy
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
This paper reviews recent developments in macro and finance on the relationship between financial risk and the real economy. We focus on three specific topics: the term structure of uncertainty, time variation - and specifically the long-term decline - in the variance risk premium, and time...
Persistent link: https://www.econbiz.de/10014437009
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444