Search Results - subject:"Constant elasticity of variance"

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, Peter - 2017

The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...

Persistent link: https://www.econbiz.de/10012706677

A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2012

time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative …

Persistent link: https://www.econbiz.de/10010617687

Real World Pricing for a Modified Constant Elasticity of Variance Model

Miller, Shane M; Platen, Eckhard - Finance Discipline Group, Business School - 2008

This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant … elasticity of variance form for the volatility of the growth optimal portfolio (GOP) in a continuous market. It leads to a GOP … Constant Elasticity of Variance Model Shane M. Miller 1 and Eckhard Platen 2 November 14, 2008 Abstract This paper considers a …

Persistent link: https://www.econbiz.de/10005041728

Assessing Credit with Equity: A CEV Model with Jump to Default

Campi, Luciano; Polbennikov, Simon; Sbuelz - Dipartimento di Scienze Economiche, Facoltà di Economia - 2005

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps. Restrictive assumptions on the firm’s capital structure are avoided. Default is parsimoniously represented by equity value hitting...

Persistent link: https://www.econbiz.de/10005418859

Assessing Credit with Equity: A CEV Model with Jump to Default

Campi, Luciano; Polbennikov, Simon; Sbuelz - Dipartimento di Scienze Economiche, Facoltà di Economia - 2005

Persistent link: https://www.econbiz.de/10011265774

Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Campi, L.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

Persistent link: https://www.econbiz.de/10011090550

Assessing Credit with Equity : A CEV Model with Jump to Default

Campi, L.; Polbennikov, S.Y.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the...

Persistent link: https://www.econbiz.de/10011090897

Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2002

This paper considers a modification of the well-known constant elasticity of variance model where it is used to model …

Persistent link: https://www.econbiz.de/10004984496