Narrow search
Showing 1 - 10 of 40,702
Cover Image
The value of tradeability
Chesney, Marc; Kempf, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … the value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is … information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock …
Persistent link: https://www.econbiz.de/10010957228
Cover Image
The Value of Tradeability
CHESNEY, Marc; KEMPF, Alexander
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is … information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock …
Persistent link: https://www.econbiz.de/10010680453
Cover Image
The value of tradeability
Chesney, Marc; Kempf, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … the value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is … information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock …
Persistent link: https://www.econbiz.de/10008684966
Cover Image
The value of tradeability
Chesney, Marc; Kempf, Alexander - In: Review of derivatives research 15 (2012) 3, pp. 193-216
Persistent link: https://www.econbiz.de/10009709689
Cover Image
The value of tradeability
Chesney, Marc; Kempf, Alexander - In: Review of Derivatives Research 15 (2012) 3, pp. 193-216
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is …. Uncertainty increases the value of tradeability, no matter whether the uncertainty results from noise trading or from new …
Persistent link: https://www.econbiz.de/10010867550
Cover Image
Discrete-time option pricing with stochastic liquidity
Leippold, Markus; Schärer, Steven - 2016
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …
Persistent link: https://www.econbiz.de/10011515968
Cover Image
THE LIQUIDITY EFFECT IN OPTION PRICING: AN EMPIRICAL ANALYSIS
Feng, Shih-Ping - In: The International Journal of Business and Finance Research 5 (2011) 2, pp. 35-43
This paper empirically examines whether asset’s liquidity can help resolve the known strike-price biases of the Black …-Scholes model for different liquidity measures based on trading volume, bid-ask spread and the Amihud’s ILLIQ. Our results … indicate that, when the underlying asset or its derivative exhibit lower liquidity, the degree of curvature of the strike …
Persistent link: https://www.econbiz.de/10011206031
Cover Image
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011
The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...
Persistent link: https://www.econbiz.de/10010292137
Cover Image
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171
Cover Image
Solving the Esscher puzzle: the NEF-GHS option pricing model
Fischer, Matthias J. - 2002
With the celebrated model of Black and Scholes in 1973 the development of modern option pricing models started. One of the assumptions of the Black and Scholes model is that the risky asset evolves according to a geometric Brownian motion which implies normally distributed log-returns. As...
Persistent link: https://www.econbiz.de/10010299822