Search Results - subject_exact:"Optionspreistheorie"

Monetary policy under high uncertainty : the option value of waiting

Wang, Haobin; Allen Ng - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015624533

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628389

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615258

In search of seasonality in intraday and overnight option returns

Bali, Turan G.; Goyal, Amit; Mörke, Mathis; Weigert, … - 2026

We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days, with economic magnitudes of 0.22% to 0.45% per half-day. Specifically, returns show strong momentum within the same period (e.g., intraday-to-intraday) but reverse sharply...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591093

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

Carbon, natural capital and the option values of climate policies

Edenhofer, Ottmar; Franks, Max - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618944

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Carbon, natural capital and the option values of climate policies

Edenhofer, Ottmar; Franks, Max - 2026

Book / Working Paper

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640561

Numerical methods to value an option including risk aversion with a constant relative risk aversion function

Pareja-Vasseur, Julian A.; Marin-Sanchez, Freddy H.; … - 2026

This study develops a comprehensive discrete numerical model for option valuation that explicitly incorporates risk preferences, which may deviate from risk neutrality. Unlike the traditional binomial tree models - strictly under the risk-neutral paradigm - our framework embeds a constant...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644841

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637968

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638968

Volatility modelling : what drives CEE currency option prices?

Mielus, Piotr - 2026

This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries. Currencies in non-euro EU countries are particularly sensitive to changes in market sentiment. Risk aversion significantly impacts the implied volatility surface for FX...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639172

Hidden optionalities in American options

El Hassan, Noura; Maddah, Bacel; Taleb, Nassim Nicholas - 2026

We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach remedies the problems of conventional pricing systems,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640263

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - 2026

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse-affine components in the instantaneous volatility...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638992

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

Characteristic function-based factor modeling of affine jump-diffusions using options

Boswijk, Herman Peter; Laeven, Roger J. A.; Marijnen, Niels - 2026

We develop a framework to analyze option markets using factor modeling techniques, offering a novel method to study how many and which risk factors drive the price process of a single asset. We exploit information contained in option prices to construct observations on the characteristic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656743

Appraising model complexity in option pricing

Cummins, Mark; Esposito, Francesco - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376680

Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment

Cao, Jiling; Kim, Jeong-Hoon; Liu, Wenqiang; Zhang, WenJun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372122

The impact of volatility regime dynamics on option pricing

Liu, Shican; Li, Qing; Fan, Siqi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372565

Optimal venture capital entry-exit strategy with jump-diffusion risk

Zuo, Si; Wang, Haijun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372572

Valuing catastrophe equity put options with liquidity risk, default risk and jumps

Tang, Chao; Chen, Peimin; Zhang, Shu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372584

Multi-step double barrier options under time-varying interest rates

Lee, Hangsuck; Kye, Yisub; Kong, Byungdoo; Song, Seongjoo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372649

Subjective probability distributions of nonlinear payoffs : Recovering option payoff, agent’s utility, and pricing kernel distributions

Yamazaki, Akira - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372650

Modelling jumps with CARMA(p,q)-Hawkes : an application to corporate bond markets

Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210073

On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends

Babaei, Esmaeil - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331075

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197067

Semiparametric estimation of probability weighting functions implicit in option prices

Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025 - This version: March 19, 2025

This paper develops a semiparametric estimation method that jointly identifies the probability weighting and utility functions implicit in option prices. Our econometric method avoids direct specification of the objective conditional return distributions, which are instead obtained by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333127

New control variates for pricing basket options

Jipreze, Kam; Date, Paresh - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333130

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2025

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333614

On the curvature of the bachelier implied volatility

Alòs, Elisa; García Lorite, David - 2025

Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models. We also obtain an expression for the short-term limit of this second derivative in terms of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333743

On GARCH and autoregressive stochastic volatility approaches for market calibration and option pricing

Pang, Tao; Zhao, Yang - 2025

In this paper, we carry out a comprehensive comparison of Gaussian generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In particular, we investigate their performance using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334547

Pricing options on the maximum or the minimum of several assets with default risk

Zhang, Jiayi; Zhou, Ke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338077

Serving with a smile on Airbnb : analyzing the economic returns and behavioral underpinnings of the host's smile

Zhang, Shunyuan; Friedman, Elizabeth M. S.; Srinivasan, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338646

Diverging roads : theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339820

A Bayesian stochastic discount factor for the cross-section of individual equity options

Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024

We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015204018

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015181854

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Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2024

Book / Working Paper

An options-pricing approach to forecasting the French presidential election

Fry, John; Hastings, Thomas; Binner, Jane M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015188963

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405342

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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Book / Working Paper

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel puzzle". This article explores the pricing kernel under...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192948