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Why Are Put Options So Expensive?
Bondarenko, Oleg - In: Quarterly Journal of Finance (QJF) 04 (2014) 03, pp. 1450015-1
, Statistical Arbitrage and Securities Prices, Review of Financial Studies 16, 875–919]. The methodology requires no parametric …
Persistent link: https://www.econbiz.de/10011078374
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012
This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …
Persistent link: https://www.econbiz.de/10009750074
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An empirical comparison of the performance of alternative option pricing models
Gago, Mónica; Rubio Irigoyen, Gonzalo; León, Angel; … - Departamento de Fundamentos del Análisis Económico … - 2002
Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.
Persistent link: https://www.econbiz.de/10004972695
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The Finite Moment Log Stable Process and Option Pricing
Carr, Peter; Wu, Liuren - EconWPA - 2002
We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts...
Persistent link: https://www.econbiz.de/10005134742
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...
Persistent link: https://www.econbiz.de/10005836494
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On Real Options and Information Costs.
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...
Persistent link: https://www.econbiz.de/10008532470
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On Real Options and Information Costs
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine (Paris IX) - 2002
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...
Persistent link: https://www.econbiz.de/10010708647
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Macroeconomic uncertainty and the cross-section of option returns
Aramonte, Sirio - In: Journal of Financial Markets 21 (2014) C, pp. 25-49
I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a...
Persistent link: https://www.econbiz.de/10011116726
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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International Review of Economics & Finance 33 (2014) C, pp. 199-216
Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log-base arbitrage are …
Persistent link: https://www.econbiz.de/10010930966