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Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection

Amilon, Henrik - 2001

strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …

Persistent link: https://www.econbiz.de/10013208416

Option Pricing by Mathematical Programming

Flåm, Sjur - 2007

Financial options typically incorporate times of exercise. Alternatively, they embody set-up costs or indivisibilities …

Persistent link: https://www.econbiz.de/10013208513

Testing the information-based trading hypothesis in the option market: Evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-11

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … accounts for prescient pricing behavior in options relative to stocks. …

Persistent link: https://www.econbiz.de/10012611204

Exponentially fitted block backward differentiation formulas for pricing options

Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18

parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation … of options on a non-dividend-paying stock. Specific EFBBDFs of order 2 and 4 are applied to solve the PDE after reducing … options, we elect to focus on the put due to its optimality. …

Persistent link: https://www.econbiz.de/10014001336

Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation

Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...

Persistent link: https://www.econbiz.de/10014321750

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10014332691

ESG as protection against downside risk

Kräussl, Roman; Oladiran, Tobi; Stefanova, Denitsa - 2023

We examine whether the uncertainty related to environmental, social, and governance (ESG) regulation developments is reflected in asset prices. We proxy the sensitivity of firms to ESG regulation uncertainty by the disparity across the components of their ESG ratings. Firms with high ESG...

Persistent link: https://www.econbiz.de/10014493159

Cryptocurrency volatility markets

Woebbeking, Fabian - In: Digital Finance 3 (2021) 3-4, pp. 273-298

-day cryptocurrency options data, which spans over the COVID-19 pandemic period. CVX data therefore capture 'normal' market dynamics as …

Persistent link: https://www.econbiz.de/10014501763

Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Scharnagl, Michael; Stapf, Jelena - 2014

options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …

Persistent link: https://www.econbiz.de/10010420873

Derivatives and Default Risk

Scholz, Sebastian - 2010

is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …

Persistent link: https://www.econbiz.de/10010427577