Similar Search Results

Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994

This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …

Persistent link: https://www.econbiz.de/10004968203

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

Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets

Kramkov, D.O. - University of Bonn, Germany - 1994

Let M(X) be a family of all equivalent local martingale measures for some locally bounded d-dimensional process X, and V be a positive process. Main result of the paper (Theorem 2.1) states that the process V is a supermartingale whatever Q in M(X), if and only if this process admits the...

Persistent link: https://www.econbiz.de/10004968206

New Techniques to Extract Market expectations from Financial Instruments

Söderlind, Paul; Svensson, Lars E.O. - Economics Institute for Research (SIR), … - 1996

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...

Persistent link: https://www.econbiz.de/10005423847

On the Term Structure of Futures and Forward Prices

Björk, Tomas; Landen, Camilla - Economics Institute for Research (SIR), … - 2000

models. We also derive two general pricing formulas for futures options. Finally we present an easily applicable sufficient …

Persistent link: https://www.econbiz.de/10005190879

Market Expectations in the UK Before and After the ERM Crisis

Söderlind, Paul - Economics Institute for Research (SIR), … - 1997

The British pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market's probability distribution of the future...

Persistent link: https://www.econbiz.de/10005649327

A Market Model for Stochastic Implied Volatility

Schönbucher, Philpp J. - University of Bonn, Germany

implied Black-Scholes volatilities of a set of given standard options. Thus the model is able to capture the stochastic …

Persistent link: https://www.econbiz.de/10004968281

The Pricing of Derivatives on Assets with Quadratic Volatility

Zühlsdorff, Christian - University of Bonn, Germany - 2002

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

Persistent link: https://www.econbiz.de/10004968438

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...</i>

Persistent link: https://www.econbiz.de/10011256998

The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...

Persistent link: https://www.econbiz.de/10011256468

1
2
3
4
5
6
7
8
9
10
Next
Last