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Why is Portfolio Insurance Attractive to Investors?
Vrecko, Dennis - 2009
This paper examines whether and how the popularity of portfolio insurance strategies can be justified theoretically. The analysis employs three different return generating processes with and without stochastic volatility and jumps. We find that an investor with constant relative risk aversion...
Persistent link: https://www.econbiz.de/10013153296
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Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options
Alexander, Carol - 2010
on the performance of standard and minimum-variance hedging of vanilla options on the FTSE 100 index. Simple adjustments …-vega hedging and they are robust to varying the option maturities and moneyness, and to different market regimes. On the …
Persistent link: https://www.econbiz.de/10013142571
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Regime-Dependent Smile-Adjusted Delta Hedging
Alexander, Carol - 2011
consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …
Persistent link: https://www.econbiz.de/10013132922
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 28, 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539849
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 5, 2016
The term `financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011448180
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
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Model Risk in Real Option Valuation
Alexander, Carol; Chen, Xi - 2023
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend on the dynamics of project value and investment costs,...
Persistent link: https://www.econbiz.de/10014349659
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An Economic Motivation for Variance Contracts
Branger, Nicole - 2005
hedging errors for the variance contract under different scenarios, namely under pure estimation risk (or parameter risk) in a … one offered by the introduction of additional standard options …
Persistent link: https://www.econbiz.de/10012736668
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On the Continuous Limit of GARCH
Alexander, Carol - 2005
GARCH processes constitute the major area of time series variance analysis, hence the limit of these processes is of considerable interest for continuous time volatility modelling. The continuous time limit of the GARCH(1,1) model is fundamental for limits of other GARCH processes, yet it has...
Persistent link: https://www.econbiz.de/10012737316
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An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds
Yigitbasioglu, Ali Bora - 2004
Arbitrage-free price bounds for convertible bonds are obtained assuming a stochastic volatility process for the common stock that lies within a band but makes few other assumptions about volatility dynamics. Equity-linked hazard rates, stochastic interest rates and different assumptions about...
Persistent link: https://www.econbiz.de/10012738169