Search Results - subject:"Optionspreistheorie"

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://www.econbiz.de/10015615258

Carbon, natural capital and the option values of climate policies

Edenhofer, Ottmar; Franks, Max - 2026

We develop a unified cost-benefit framework that allows for a better understanding of nature conservation and climate policies under risk and uncertainty. We derive modified Hotelling rules from a social planner’s welfare optimization. They reveal four forces that jointly determine market...

Persistent link: https://www.econbiz.de/10015592817

In search of seasonality in intraday and overnight option returns

Bali, Turan G.; Goyal, Amit; Mörke, Mathis; Weigert, … - 2026

We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days, with economic magnitudes of 0.22% to 0.45% per half-day. Specifically, returns show strong momentum within the same period (e.g., intraday-to-intraday) but reverse sharply...

Persistent link: https://www.econbiz.de/10015591093

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de/10015591116

Monetary policy under high uncertainty : the option value of waiting

Wang, Haobin; Allen Ng - 2026

Persistent link: https://www.econbiz.de/10015624533

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de/10015628389

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://www.econbiz.de/10015637968

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de/10015638968

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - 2026

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse-affine components in the instantaneous volatility...

Persistent link: https://www.econbiz.de/10015638992

Volatility modelling : what drives CEE currency option prices?

Mielus, Piotr - 2026

This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries. Currencies in non-euro EU countries are particularly sensitive to changes in market sentiment. Risk aversion significantly impacts the implied volatility surface for FX...

Persistent link: https://www.econbiz.de/10015639172