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Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability
Cao, Melanie - 1997
This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …
Persistent link: https://www.econbiz.de/10011940600
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Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability
Cao, Melanie - Economics Department, Queen's University - 1997
This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …
Persistent link: https://www.econbiz.de/10005653216
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Goodness-of-fit of the Heston model
Joseph, Nathan L.; Daniel, Gilles; Bree, David S. - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005132918
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The intraday behavior of information misreaction across various categories of investors in the Taiwan options market
Chang, Chuang-chang; Hsieh, Pei-Fang; Tang, Chih-Wei; … - In: Journal of financial markets 16 (2013) 2, pp. 362-385
Persistent link: https://www.econbiz.de/10009750772
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Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility
Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124
Persistent link: https://www.econbiz.de/10009514731
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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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Exchange option pricing under stochastic volatility: a correlation expansion
Antonelli, F.; Ramponi, A.; Scarlatti, S. - In: Review of Derivatives Research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10010867543
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The intraday behavior of information misreaction across various categories of investors in the Taiwan options market
Chang, Chuang-Chang; Hsieh, Pei-Fang; Tang, Chih-Wei; … - In: Journal of Financial Markets 16 (2013) 2, pp. 362-385
This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to …
Persistent link: https://www.econbiz.de/10010636203