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Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of Derivatives Research 25 (2022) 3, pp. 315-339

correction term that is model-independent and only requires option prices at the two outermost strikes. We show how to apply this …

Persistent link: https://www.econbiz.de/10015192461

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015199518

Optimal Shortfall Hedging of Credit Risk

Lotz, Christopher - 1999

jump time of a Poisson process. The write-down after default is stochastic and independent of the time of default. In this …

Persistent link: https://www.econbiz.de/10005841289

Pseudo-Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - 1998

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no …

Persistent link: https://www.econbiz.de/10005841326

Locally Minimizing the Credit Risk

Lotz, Christopher - 1998

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to model the interest rate risk, and the time of default is determined by the first jump time of a point process. (...)

Persistent link: https://www.econbiz.de/10005841328

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

Dudenhausen, Antje; Schlögl, Erik; Schlögl, Lutz - 1999

. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

Persistent link: https://www.econbiz.de/10005841332

Derivative asset analysis in models with level-dependent and stochastic volatility

Frey, Rüdiger - 1997

start by briefly recalling the standard theory for pricing and hedging derivatives in complete frictionless markets and the … volatility models. We discuss several recent developments in the theory of derivative pricing under incompleteness in the context … of stochastic volatility models and review analytical and numerical approaches to the actual computation of option values. …

Persistent link: https://www.econbiz.de/10005841337

Market Volatility and Feedback Effects from Dynamic Hedging

Frey, Rüdiger; Stremme, Alexander - 1995

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of hedging. It turns out that market volatility increases...

Persistent link: https://www.econbiz.de/10005841370

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - 1996

provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …

Persistent link: https://www.econbiz.de/10005841374