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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Pelsser, Antoon - Tinbergen Instituut - 2002
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011255515
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Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices
Kilic, Mehtap; Huisman, Ronald - Tinbergen Instituut - 2010
Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...
Persistent link: https://www.econbiz.de/10011255605
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …
Persistent link: https://www.econbiz.de/10011255776
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011255975
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The Forward Premium Puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011256149
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Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - Tinbergen Instituut - 2015
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing di¤erent stock prices at a …xed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10011256168
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Optimal Fourier Inversion in Semi-analytical Option Pricing
Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011256210
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10011256372
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Convertible Bonds and Bank Risk-Taking
Martynova, Natalya; Perotti, Enrico - Tinbergen Instituut - 2012
We study the effect of going-concern contingent capital on bank risk choice. The possibility of debt for equity conversion forces deleveraging in highly levered states, when risk incentives are worse. The additional equity reduces endogenous risk shifting by diluting returns in high states. An...
Persistent link: https://www.econbiz.de/10011256836