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CAPM with various utility functions: Theoretical developments and application to international data

Bedoui, Rihab; BenMabrouk, Houda - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-21

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...

Persistent link: https://www.econbiz.de/10011988769

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

Persistent link: https://www.econbiz.de/10010324983

Financialization in commodity markets

Chari, Varadarajan V.; Christiano, Lawrence J. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012030340

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

Persistent link: https://www.econbiz.de/10012433234

High-speed technology trading innovations and capital market performance in Bulgaria

Stefanova, Julia - In: Financial Studies 22 (2018) 2 (80), pp. 6-37

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

Persistent link: https://www.econbiz.de/10012484763

Market expectations and option prices: Evidence for the Can$/US$ exchange rate

García, Alejandro; Prokopiw, Andrei - 2010

Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...

Persistent link: https://www.econbiz.de/10010289724

A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10010293743

Instalment options: a closed-form solution and the limiting case

Griebsch, Susanne; Kühn, Christoph; Wystup, Uwe - 2007

In Foreign Exchange Markets Compound options (options on options) are traded frequently. Instalment options generalize the concept of Compound options as they allow the holder to prolong a Vanilla Call or Put option by paying instalments of a discrete payment plan. We derive a closed-form...

Persistent link: https://www.econbiz.de/10010301708

How to Avoid a Hedging Bias

Dudenhausen, Antje - 2002

in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is … analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown … how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided. …

Persistent link: https://www.econbiz.de/10010263078

Time-dynamic evaluations under non-monotone information generated by marked point processes

Christiansen, Marcus C. - In: Finance and Stochastics 25 (2021) 3, pp. 563-596

The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and...

Persistent link: https://www.econbiz.de/10014497597