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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998
One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...
Persistent link: https://www.econbiz.de/10005100613
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The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
Ghysels, Eric; Seon, Junghoon - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...
Persistent link: https://www.econbiz.de/10005100707
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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Testing and Comparing Value-at-Risk Measures
Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001
implicites dans le prix des options; les VaR sont également vérifiées et comparées. …
Persistent link: https://www.econbiz.de/10005100810
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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...
Persistent link: https://www.econbiz.de/10011268659
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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Pelsser, Antoon - Tinbergen Instituut - 2002
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011255515
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Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices
Kilic, Mehtap; Huisman, Ronald - Tinbergen Instituut - 2010
Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...
Persistent link: https://www.econbiz.de/10011255605
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …
Persistent link: https://www.econbiz.de/10011255776
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011255975
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The Forward Premium Puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011256149