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Hedging dynamics with gold futures
Singh, Saurabh; Saharawat, Swati - Volkswirtschaftliche Fakultät, … - 2011
People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...
Persistent link: https://www.econbiz.de/10011258372
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Variance risk, financial intermediation, and the cross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - C.E.P.R. Discussion Papers - 2011
, including the pricing differences between index and stock options, the cross-sectional variation in stock option expensiveness …
Persistent link: https://www.econbiz.de/10008854530
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Model Selection and Estimation of Long-Memory Time-Series Models
Carbonez, Katelijne A.E. - In: Review of Business and Economics LIV (2009) 4, pp. 512-554
An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...
Persistent link: https://www.econbiz.de/10008854569
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Commentary: Some Methodological Suggestions
Hayashi, Fumio - In: International Journal of Central Banking 7 (2011) 1, pp. 217-223
Methodological suggestions are made for two separate issues. First, I show how a consistent estimate of the level of the expected inflation can be gleaned from inflation swap rates. Second, I indicate how the dynamic general equilibrium model in question can be modified to generate the observed...
Persistent link: https://www.econbiz.de/10008855743
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Option Pricing with a Dynamic Fat-Tailed Model
Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2013
has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …
Persistent link: https://www.econbiz.de/10010891139
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Incentives from stock option grants: a behavioral approach
Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011
This paper examines the incentives from stock options for loss-averse employees subject to probability weighting … time model to value options from the perspective of a representative employee. Consistent with a growing body of empirical … overestimate the value of his options in-excess of their risk-neutral value. This is nevertheless in stark contrast with a common …
Persistent link: https://www.econbiz.de/10010891141
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Incentives from stock option grants: a behavioral approach
Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011
This paper examines the incentives from stock options for loss-averse employees subject to probability weighting … time model to value options from the perspective of a representative employee. Consistent with a growing body of empirical … overestimate the value of his options in-excess of their risk-neutral value. This is nevertheless in stark contrast with a common …
Persistent link: https://www.econbiz.de/10010891143
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Incentives from stock option grants: a behavioral approach
Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011
This paper examines the incentives from stock options for loss-averse employees subject to probability weighting … time model to value options from the perspective of a representative employee. Consistent with a growing body of empirical … and experimental studies, the model predicts that the employee may overestimate the value of his options in-excess of …
Persistent link: https://www.econbiz.de/10010891144
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Factor Structure in Commodity Futures Return and Volatility
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...
Persistent link: https://www.econbiz.de/10010892067
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A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic
Han, Qian; Turvey, Calum G. - 2013
continuous time stochastic volatility model completed by liquidly traded options. The relation is robust as it is valid for both … formation preferences. The relation can be used in practice to construct a daily market risk aversion index from options market. …
Persistent link: https://www.econbiz.de/10010892111