Showing 1 - 10 of 24
This paper looks at the timing chosen by CEOs to exercise their stock options and to sell their shares of stock … exercise their options and/or sell their shares, and when other top managers should. Using a tournament approach we find that … other top executives should exercise their stock options later than the CEO. We test this model using an unique data set of …
Persistent link: https://www.econbiz.de/10005100717
implicites dans le prix des options; les VaR sont également vérifiées et comparées. …
Persistent link: https://www.econbiz.de/10005100810
index options. We find reductions of over 50 percent in the root mean squared error of the PBS model when the estimation and … être utilisée pour l'estimation et l'évaluation des modèles d'évaluation d'options? Plusieurs fonctions différentes ont été … Black-Scholes du praticien (PBS) aux options de l'index S&P500. Nous trouvons des réductions de plus de 50 pourcent de la …
Persistent link: https://www.econbiz.de/10005100978
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10008855592
This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...
Persistent link: https://www.econbiz.de/10005100723
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...
Persistent link: https://www.econbiz.de/10005100963
models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is … cette catégorie et examinons leur potentiel en matière de fixation du prix des options. Plus précisément, nous établissons …
Persistent link: https://www.econbiz.de/10008506122
In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … the univariate approach only involving options by and large dominates. A by-product of this finding is that we uncover a … via the conditional kurtosis to price options. This is the case for some long-term options. Moreover, having estimated …
Persistent link: https://www.econbiz.de/10005100549
Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even … formule analytique simple pour évaluer les options américaines, même si la volatilité de l'actif sous-jacent est supposée …
Persistent link: https://www.econbiz.de/10005100553
Lévy. La classe des processus que nous présentons nous fournit également des prix d'options. Une application empirique …
Persistent link: https://www.econbiz.de/10005100581