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On the use of numeraires in option pricing

Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …

Persistent link: https://www.econbiz.de/10010281218

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

Persistent link: https://www.econbiz.de/10011605102

Implied volatility of foreign exchange options: Is it worth tracking?

Gereben, Áron; Pintér, Klára - 2005

linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …

Persistent link: https://www.econbiz.de/10010322417

Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of Derivatives Research 25 (2022) 3, pp. 315-339

correction term that is model-independent and only requires option prices at the two outermost strikes. We show how to apply this …

Persistent link: https://www.econbiz.de/10015192461

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015199518

The Term Structure of Currency Futures' Risk Premia

Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Caspar - In: Journal of Money, Credit and Banking 54 (2022) 1, pp. 5-38

The use of futures instead of forwards exchange contracts completes the ma-turity spectrum of the correlation between spot yields and the premium. Wefind that the forward premium puzzle appears to be a precrisis phenomenonand is only observed for maturities longer than about 1 month....

Persistent link: https://www.econbiz.de/10013367049

Liquidity derivatives

Bagnara, Matteo; Jappelli, Ruggero - 2022

. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …

Persistent link: https://www.econbiz.de/10013369419

Arbitrage and Optimal Portfolio Choice with Financial Constraints

Elsinger, Helmut; Summer, Martin - 2001

We analyze the pricing of risky income streams in a world with competitive security markets where investors are … constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques … state prices as in the unconstrained case, additional computational work is needed for deriving from this fact a pricing …

Persistent link: https://www.econbiz.de/10013369966

Are Banks Different? Evidence from the CDS Market

Raunig, Burkhard; Scheicher, Martin - 2009

This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms …

Persistent link: https://www.econbiz.de/10013370069