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A systematic approach for valuing American-style installment options with continuous payment plan

Ciurlia, Pierangelo - Dipartimento di Economia, Università degli Studi di Roma 3 - 2010

installment options, we propose a unified and easily applicable method to deal with a wide range of monotonic payo functions and … continuous payment plans. Finally, by using the illustrative example of American vanilla installment call options, an explicit …

Persistent link: https://www.econbiz.de/10008642192

Commodities inventory effect

CARPANTIER, Jean - François - Center for Operations Research and Econometrics (CORE), … - 2010

Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are...

Persistent link: https://www.econbiz.de/10008642223

Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach

Casassus, Jaime; Ceballos, Diego - Instituto de Economía, Facultad de Ciencia Económicas … - 2010

We use a general equilibrium model of a monetary economy to understand the economics behind the correlation between in nation and oil futures returns. Oil is used as both, an input to the production of capital and as a consumption good. We estimate our model using maximum likelihood with the...

Persistent link: https://www.econbiz.de/10008642618

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models …, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When … forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

Persistent link: https://www.econbiz.de/10008642728

Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market

Guasoni, Paolo - Banca d'Italia - 2004

We study the problem of extracting the state price densities from the market prices of listed options. Adapting a model … to the application of this model to real data and show results on listed options on the Italian MIB30 equity index. …

Persistent link: https://www.econbiz.de/10005113632

Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations

Fornari, Fabio; Mele, Antonio - Banca d'Italia - 2001

This paper uses Garch models to estimate the objective and risk-neutral density functions of financial asset prices and, by comparing their shapes, recover detailed information on economic agents' attitudes toward risk. It differs from recent papers investigating analogous issues because it uses...

Persistent link: https://www.econbiz.de/10005113677

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Hara, C.; Kuzmics, Christoph - Faculty of Economics, University of Cambridge - 2004

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must...

Persistent link: https://www.econbiz.de/10005113739

On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options

Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2002

warrants and executive stock options is simply a matter of whether the contract is traded or not. We use the term warrant to …

Persistent link: https://www.econbiz.de/10005113894

Estimation of Continuous Time Models for Stock Returns and Interest Rates

Tauchen, George E.; Gallant, A. Ronald - Duke University, Department of Economics - 1995

The paper uses and extends the Efficient Method of Moments (EMM) technique to estimate and test continuous time diffusion models for stock returns and interest rates. The EMM technique, developed in previous papers by Gallatn and Tauchen along with various collaborators, is a simulation-based...

Persistent link: https://www.econbiz.de/10005114033

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data

Christensen, Bent Jesper; Nielsen, Morten Ø. - School of Economics and Management, University of Aarhus

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration. This concept allows derivation of useful long-run relations even among stationary long memory processes. The approach uses a degenerating part of the periodogram...

Persistent link: https://www.econbiz.de/10005114057