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Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design

Decamps, J.-P.; Faure-Grimaud, A. - Groupe de Recherche en Économie Mathématique et … - 1997

This paper aims at measuring the loss in the value of a firm due to the gamble for resurrection, in a standard contingent claims model. Just before a debt repayment is due, the equityholders of a levered firm can decide to shut the firm down or to keep it as an ongoing concern. We study how...

Persistent link: https://www.econbiz.de/10005639388

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005646662

Approximating the Asset Pricing Kernel.

Chapman, D.A. - William E. Simon Graduate School of Business … - 1996

This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel …

Persistent link: https://www.econbiz.de/10005646719

Pricing of non-redundant derivatives in a complete market

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

Persistent link: https://www.econbiz.de/10010709003

Humps in the volatility structure of the crude oil futures market: New evidence

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy Economics 40 (2013) C, pp. 989-1000

feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under …

Persistent link: https://www.econbiz.de/10010718761

Pricing of non-redundant derivatives in a complete market.

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999

Persistent link: https://www.econbiz.de/10008800245

Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market

de Jong, Frank C. J. M.; Donders, M.W.M. - Tilburg University, Center for Economic Research - 1996

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated.Due to market imperfections, one of these markets may reflect information faster.The use of high-frequency data and the choice for a small...

Persistent link: https://www.econbiz.de/10011092782

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

Persistent link: https://www.econbiz.de/10011110035

Hedging American contingent claims with constrained portfolios

Karatzas, Ioannis; (*), S. G. Kou - In: Finance and Stochastics 2 (1998) 3, pp. 215-258

The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the...

Persistent link: https://www.econbiz.de/10005390719

Pricing American-Style Securities Using Simulation.

Broadie, M.; Glasserman, P. - Graduate School of Business, Columbia University - 1996

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

Persistent link: https://www.econbiz.de/10005630991