Showing 1 - 10 of 104
This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently, the overnight asset price process is...
Persistent link: https://www.econbiz.de/10011092893
Abstract: We demonstrate how suppliers can take strategic speculative positions in derivatives markets to soften competition in the spot market. In our game, suppliers first choose a portfolio of call options and then compete with supply functions. In equilibrium firms sell forward contracts and...
Persistent link: https://www.econbiz.de/10011092737
In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated.Due to market imperfections, one of these markets may reflect information faster.The use of high-frequency data and the choice for a small...
Persistent link: https://www.econbiz.de/10011092782
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate...
Persistent link: https://www.econbiz.de/10011092809
Persistent link: https://www.econbiz.de/10011090368
I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...
Persistent link: https://www.econbiz.de/10011090493
We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis.We show how much a ¯rm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing...
Persistent link: https://www.econbiz.de/10011090631
This paper studies a new model of commodity prices in which the stochastic convenience yield is an affine function of past commodity returns. While preserving market completeness, the model exhibits price nonstationarity and mean reversion under the martingale measure, and, as a consequence, it...
Persistent link: https://www.econbiz.de/10011091124
In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which type of data -interest rate data or derivative price...
Persistent link: https://www.econbiz.de/10011091164
We consider a model in which the principal-agent relation between inside shareholders and the management affects the firm value.We study the effect of financing the project with risky debt in changing the incentive for a risk-neutral shareholder (the principal) to implement the project-value...
Persistent link: https://www.econbiz.de/10011091167