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Risk-Free Rates and Variance Futures Prices

Rompolis, Leonidas - 2017

This paper investigates the relation between risk-free rates and ex-ante market volatility. It derives a theoretical model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a direct market-based ex-ante estimate of risk-neutral...

Persistent link: https://www.econbiz.de/10012975203

A Simple Pricing Model for Plain-Vanilla Dividend Futures Options

Vong, Ghislain - 2019

This technical note provides a detailed description of a simple but effective modeling solution to mark and risk manage plain-vanilla options on dividend futures. We focus on equity indices, as dividend products for single stocks are less liquid and observable and we derive a simple pricing...

Persistent link: https://www.econbiz.de/10012869250

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; 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/10011334345

Average price futures contracts : pricing, characteristics, and implications

Yoo, Jin - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 849-876

Persistent link: https://www.econbiz.de/10011471096

Risk Premiums in the Cross-Section of Commodity Convenience Yields

Kind, Axel Herbert - 2010

In this paper we investigate risk premiums in commodity convenience yields. The analysis consists of two steps. First, we use a three-factor model to extract monthly convenience yields from a broad sample of commodity futures. Second, we estimate multi-factor asset pricing models with...

Persistent link: https://www.econbiz.de/10013142023

Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance

Raimbourg, Philippe - 2019

Revisiting the two-factor valuation of financial futures contracts and their derivatives, we propose a new approach in which the covariance process between the underlying asset price and the money market interest rate is set endogenously according to investors' arbitrage operations. The...

Persistent link: https://www.econbiz.de/10012899151

An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle

Takino, Kazuhiro - 2016

principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … pricing rule in the point of the sensitivity of derivative prices …

Persistent link: https://www.econbiz.de/10012999558

CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation

Giovannitti, Stefano - 2016

In this paper we present two (semi)-analytic synthetic CDO tranche pricing formulas using a subordinator Levy Marshall-Olkin credit correlation model. These formulas can be easily evaluated in terms of machine computational time, therefore they are particularly suitable for the correlation model...

Persistent link: https://www.econbiz.de/10013001808

Testing Derivatives Pricing Models under Higher-Order Moment Swaps

Doffou, Ako - 2019

This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option …

Persistent link: https://www.econbiz.de/10012889747

The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Grzelak, Lech A. - 2014

simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …

Persistent link: https://www.econbiz.de/10013070982