Similar Search Results

Skewness and Kurtosis Adjusted Black-Scholes Model : A Note on Hedging Performance

Vähämaa, Sami - 2021

This article investigates the delta hedging performance of the skewness and kurtosis adjusted Black-Scholes model of Corrado and Su (1996) and Brown and Robinson (2002). The empirical tests in the FTSE 100 index option market show that the more sophisticated skewness and kurtosis adjusted model...

Persistent link: https://www.econbiz.de/10013244227

Four Things You Might Not Know about the Black-Scholes Formula

Poulsen, Rolf - 2007

Persistent link: https://www.econbiz.de/10014050093

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

Persistent link: https://www.econbiz.de/10011334345

Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk …

Persistent link: https://www.econbiz.de/10011506352

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...

Persistent link: https://www.econbiz.de/10011506354

The Pricing Kernel Is U-shaped

Sichert, Tobias - 2020

Numerous studies find S-shaped pricing kernels, which is conflicting with standard theory. In contrast to that, based …

Persistent link: https://www.econbiz.de/10012853175

Smiles & Smirks : A Tale of Factors

Ballotta, Laura - 2018

In this paper we propose a novel flexible framework based on time changed Lévy process for the joint evolution of stock log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a robust calibration, repricing and hedging performance....

Persistent link: https://www.econbiz.de/10012933831

Approximating Option Prices under Large Changes of Underlying Asset Prices

Jun, Jae-Yun; Rakotondratsimba, Yves - 2021

When investing in derivatives portfolios (such as options), the delta-gamma approximation (DGA) is often used as a risk management strategy to reduce the risk associated with the underlying asset price. However, this approximation is accepted only for small changes of the underlying asset price....

Persistent link: https://www.econbiz.de/10013244955

Option Pricing with a Local Bimodal Distribution of Underlying Asset Price

Hsiao, Chiu-Ming - 2022

This research proposes a new option pricing model. The model revises the unimodal probability distribution assumption used in the past, and proposes a bimodal probability distribution for option pricing. The bimodal probability distribution proposed in this study can be degenerated to a unimodal...

Persistent link: https://www.econbiz.de/10013296061

From Rationality to Hyperreality : Paradigm Poker

Macintosh, Norman B. - 2009

poker game, argues that finance and accounting researchers should take the “linguistic turn” that has rejuvenated theory and … economy.The paper recommends that researchers in finance and accounting adopt paradigms from literary theory, semiotics …, linguistics, and semiology rather than continue to rely on economics-based theory, which has lost its power for explaining and …

Persistent link: https://www.econbiz.de/10013160463