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From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011350605

Pricing of derivatives on mean-reverting assets

Lutz, Björn - 2010

the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003846466

Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Jin, Zhuo - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon. In doing so, we include two separate effects: the possibility that the project value is partly describable according to a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011866522

Stock market risk-return inference : an unconditional non-parametric approach

Mikosch, Thomas; Starica, Catalin - 2005

Persistent link: https://ebvufind01.dmz1.zbw.eu/10002789961

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012586709

Jump Risk and Option Liquidity in an Incomplete Market

Hsieh, PeiLin Billy - 2015

factor and by 0.247% for the factor of diffusion volatility. We obtain a R² value above 80%, and the jump risk factor is … explains why and how the jump risk affects options' bid-ask spread and empirically shows that the jump risk influences options …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013032811

The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model

Benth, Fred Espen - 2009

the study is to investigate empirically the implied risk aversion for a representative agent in the option market, as a … model using historical price returns. The implied risk aversion is found by numerically inverting the indifference pricing … explains the stylized facts of returns rather well, we expect the implied risk aversion to be close to ﬂat with respect to …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013155782

Beyond the random walk : a guide to stock market anomalies and low risk investing

Singal, Vijay - 2006 - 1. issued as an Oxford pbk.

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003982793

Radner equilibria under ambiguous volatility

Beißner, Patrick - 2013

The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010212527

Solving incomplete markets models by derivative aggregation

Grasl, Tobias - 2013

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009739531