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Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For...
Persistent link: https://www.econbiz.de/10009476305
The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) "Speculation and Economic Stability", The Review of Economic Studies 7, 1–27] and Working [Working, H....
Persistent link: https://www.econbiz.de/10009476292
We address the problem of managing a storable commodity portfolio, that includes physical assets and positions in spot and forward markets. The vast amount of capital involved in the acquisition of a power plant or storage facility implies that the financing period stretches over a period of...
Persistent link: https://www.econbiz.de/10009476293
The aim of the paper is to analyze the diversification effect brought by crude oil Futures contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have documented the very low- and essentially negative-correlations between commodities and equities typically...
Persistent link: https://www.econbiz.de/10009476294
Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under– studied and under– valued, certainly under– represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best...
Persistent link: https://www.econbiz.de/10009476337
Consider the radial projection onto the unit sphereof the path a $d$-dimensional Brownian motion $W$,started at the center of the sphere and run for unit time. Given the occupation measure $mu$ of this projectedpath, what can be said about the terminal point $W(1)$, or about therange of the...
Persistent link: https://www.econbiz.de/10009461514
Vanilla (standard European) options are actively traded on many underlying asset classes, such as equities, commodities and foreign exchange (FX). The market quotes for these options are typically used by exotic options traders to calibrate the parameters of the (risk-neutral) stochastic process...
Persistent link: https://www.econbiz.de/10009455406
We show that under the Black–Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility. This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no...
Persistent link: https://www.econbiz.de/10009455602
This paper represents an attempt to make visible the impact of enterprise culture on small business enterprise activity. In doing this it sets out to explore understandings of the enterprise culture phenomenon, by subjecting the conventional conceptualization to critical scrutiny. In particular...
Persistent link: https://www.econbiz.de/10009455752
We develop a simple robust test for the presence of continuous and discontinuous (jump) components in the price of an asset underlying an option. Our test examines the prices of at-the-money and out-of-the-money options as the option maturity approaches zero. We show that these prices converge...
Persistent link: https://www.econbiz.de/10009440725