Similar Search Results

Canonical Option Pricing and Greeks with Implications for Market Timing

Charles-Cadogan, G. - 2011

Persistent link: https://www.econbiz.de/10013133408

Leung, Tim - 2012

We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral...

Persistent link: https://www.econbiz.de/10013115781

The Relation between Idiosyncratic Volatility and Returns : A Growth Option Model with Stochastic Volatility and Jumps

Shim, Kyung Hwan - 2012

We develop a zero beta industry model of growth options to explain the conflicting empirical findings on the relation between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying idiosyncratic choice variables to exhibit...

Persistent link: https://www.econbiz.de/10013109188

Regulatory-Compliant Derivatives Pricing Is Not Risk-Neutral

Kenyon, Chris - 2014

Regulatory-compliant pricing is not risk-neutral. This has implications for exit prices and mark-to-market …

Persistent link: https://www.econbiz.de/10013062335

Optimal Hedging Strategies for Options in Electricity Futures Markets

Hess, Markus - 2021

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

Persistent link: https://www.econbiz.de/10013232821

Real Extreme R&D Discovery Options

Koh, Wilson - 2009

R&D is often a highly uncertain venture where experiments achieve successful outcomes on an extraordinarily rare basis. Just one successful product could change the future of a company; the discovery stage can often be an invaluable or disastrous experience. We develop a real R&D option model...

Persistent link: https://www.econbiz.de/10013160214

Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009784936

Efficient hedging for a complete jump-diffusion model

Kirch, Michael; Krutchenko, R. N.; Melʹnikov, Aleksandr V. - 2002

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....

Persistent link: https://www.econbiz.de/10009621417

Analysis of Historical and Implied Volatility

Zhao, Yue - 2014

It is an interesting question that if the implied volatility can perfectly predict the fluctuations of the future share market, and how many days of the changes the implied volatility can effectively predict.The purpose of this paper is to find the answers of the above questions. We calculate...

Persistent link: https://www.econbiz.de/10013057437

Information Uncertainty and Implied Volatilities

Hong, Jong-Woon - 2019

In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty … the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …

Persistent link: https://www.econbiz.de/10012870769