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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 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/10010326212

Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation

Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...

Persistent link: https://www.econbiz.de/10014321750

Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump

Allen, David E.; McAleer, Michael; Reid, David McHardy - 2018

State of the Union Addresses (SOUA) by two recent US Presidents, President Obama (2016) and President Trump (2018), and a series of recent of tweets by President Trump, are analysed by means of the data mining technique, sentiment analysis. The intention is to explore the contents and sentiments...

Persistent link: https://www.econbiz.de/10011819535

BayesMultiMode: Bayesian Mode Inference in R

Basturk, Nalan; Cross, Jamie; de Knijff, Peter; … - 2023

Multimodal empirical distributions arise in many fields like Astrophysics, Bioinformatics, Climatology and Economics due to the heterogeneity of the underlying populations. Mixture processes are a popular tool for accurate approximation of such distributions and implied mode detection. Using...

Persistent link: https://www.econbiz.de/10014321814

Fuzzy firm name matching: Merging Amadeus firm data to PATSTAT

Bremer, Leon - 2023

When merging firms across large databases in the absence of common identifiers, text algorithms can help. I propose a high-performance fuzzy firm name matching algorithm that uses existing computational methods and works even under hardware restrictions. The algorithm consists of four steps,...

Persistent link: https://www.econbiz.de/10014469390

Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity

Zhao, Lin; van Wijnbergen, Sweder - 2015

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

Persistent link: https://www.econbiz.de/10011403561

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 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/10010324679

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - 2003

-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the … values of the options in our framework are driven by systematic and idiosyncratic risk factors. Instead of linearly (delta …

Persistent link: https://www.econbiz.de/10010324983

Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

Pelsser, Antoon - 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/10010325024

Why the Rotation Count Algorithm works

Lord, Roger; Kahl, Christian - 2006

completely wrong option prices if options are priced by Fourier inversion. In this paper we prove under non …

Persistent link: https://www.econbiz.de/10010325214