Showing 1 - 10 of 124
In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available information. Puccetti and Ruschendorf (2012a) and...
Persistent link: https://www.econbiz.de/10012972100
Albrecher et al. (2008) have proposed model-independent lower bounds for arithmetic Asian options. In this paper we provide an alternative and more elementary derivation of their results. We use the bounds as control variates to develop a simple Monte Carlo method for pricing contracts with...
Persistent link: https://www.econbiz.de/10013060705
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Persistent link: https://www.econbiz.de/10015134981
We examine the effect of limits to arbitrage on skewness pricing using a reform of China's stock market that limits first-day price movements. We document that the reform causes a significant increase in the impact of IPOs' expected skewness on both their initial returns and trading interference...
Persistent link: https://www.econbiz.de/10012826125
Lives or livelihoods" is a hard trade-off when confronting COVID-19, especially for cities in the Global South. Countermeasures to protect people's lives may exert negative impacts on urban households and test their livelihood resilience. Did COVID-19 discriminate? Did livelihood resilience vary...
Persistent link: https://www.econbiz.de/10015130634
When two random variables are bivariate normally distributed Stein's original lemma allows to conveniently express the covariance of the first variable with a function of the second. Landsman & Neslehova (2007) extend this seminal result to the family of multivariate elliptical distributions. In...
Persistent link: https://www.econbiz.de/10013063812
We develop an algorithm that makes it possible to generate all correlation matrices satisfying a constraint on their average value. We extend the results to the case of multiple constraints. These results can be used to assess the extent to which methodologies driven by correlation matrices are...
Persistent link: https://www.econbiz.de/10012843227
We provide new closed-form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, i.e., when log-returns are modeled as Brownian motions (Black-Scholes model), Variance Gamma processes (VG model) or Normal Inverse Gaussian processes (NIG...
Persistent link: https://www.econbiz.de/10012930306
Brown et al. (2006) derive a Stein-type inequality for the multivariate Student-t distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable
Persistent link: https://www.econbiz.de/10013044486