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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of Economic Dynamics and Control 37 (2013) 3, pp. 611-632
the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …
Persistent link: https://www.econbiz.de/10011051905
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Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order
Schlögl, Erik - 2010
the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …
Persistent link: https://www.econbiz.de/10013135174
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Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
Dudenhausen, Antje; Schlögl, Erik; Schlögl, Lutz - 1999
The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust. This is true for all models that imply...
Persistent link: https://www.econbiz.de/10005841332
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Factor Models and the Shape of the Term Structure
Schlögl, Erik; Sommer, Daniel - 1997
shapes the models generate, and use spread options as an aggregate measure of the relative importance assigned to rising and …
Persistent link: https://www.econbiz.de/10005841339
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A tractable term structure model with endogenous interpolation and positive interest rates
Schlögl, Erik; Schlögl, Lutz - 1997
This paper presents the one- and the multifactor versions of a term structure model in which the factor dynamics are given by Cox/Ingersoll/Ross (CIR) type "square root" diffusions with piecewise constant parameters. The model is fitted to initial term structures given by a finite number of data...
Persistent link: https://www.econbiz.de/10005841581
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Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares
Chung, Tsz-Kin; Li, Ka-Fai; Hui, Cho-Hoi - Hong Kong Institute for Monetary Research (HKIMR), … - 2011
The price disparity between the dual-listed Chinese firms in the A- and H-share markets is one of the most intriguing puzzles in the Mainland and Hong Kong financial markets. In this paper, we revisit this price disparity puzzle using the channel of parameter uncertainty. In the presence of...
Persistent link: https://www.econbiz.de/10009350583
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The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010
Hui, Cho-Hoi; Chung, Tsz-Kin - Hong Kong Institute for Monetary Research (HKIMR), … - 2010
The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...
Persistent link: https://www.econbiz.de/10008680479
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Equity-linked pension schemes with guarantees
Nielsen, J. Aase; Sandmann, Klaus; Schlögl, Erik - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 547-564
This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor’s contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and surplus...
Persistent link: https://www.econbiz.de/10011046586
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Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
Hui, Cho-Hoi; Chung, Tsz-Kin; Lo, Chi-Fai - Hong Kong Monetary Authority - 2010
Following the bankruptcy of Lehman Brothers in mid-September 2008, there were severe disruptions in international money markets and banks reportedly faced severe liquidity shocks, in particular US-dollar funding shortages, prompting central banks around the world to adopt unprecedented policy...
Persistent link: https://www.econbiz.de/10010617549
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Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011
Hui, Cho-Hoi; Fong, Tom - Hong Kong Institute for Monetary Research (HKIMR), … - 2011
While the US dollar and Japanese yen are considered as safe-haven currencies, both their sovereign credit default swap (CDS) spreads and exchange rate have varied in a wide range since late 2007. This raises the question of interconnectivity between the anticipated sovereign credit risk and the...
Persistent link: https://www.econbiz.de/10010617722