The econometrics of option pricing
Publisher Summary The stochastic discount factor methodology is the central tool in finance
to price assets and provides a natural framework to integrate contributions in discrete and …
to price assets and provides a natural framework to integrate contributions in discrete and …
Forecasting VaR models under different volatility processes and distributions of return innovations
Y Dendramis, GE Spungin, E Tzavalis - Journal of Forecasting, 2014 - Wiley Online Library
This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk)
forecasting performance of alternative parametric volatility models, like EGARCH …
forecasting performance of alternative parametric volatility models, like EGARCH …
Volatility risk premium implications of GARCH option pricing models
I Papantonis - Economic modelling, 2016 - Elsevier
In this paper we explore important implications of capturing volatility risk premium (VRP)
within a parametric GARCH setting. We study the transmission mechanism of shocks from …
within a parametric GARCH setting. We study the transmission mechanism of shocks from …
Pricing and inference with mixtures of conditionally normal processes
H Bertholon, A Monfort, F Pegoraro - 2007 - papers.ssrn.com
We consider the problems of derivative pricing and inference when the stochastic discount
factor has an exponential-affine form and the geometric return of the underlying asset has a …
factor has an exponential-affine form and the geometric return of the underlying asset has a …
[PDF][PDF] CO2-Emissionszertifikate-Preismodellierung und Derivatebewertung
M Wagner - 2007 - d-nb.info
Die vorliegende Arbeit beschäftigt sich mit dem im Jahr 2005 europaweit gestarteten
Emissionshandelssystem für CO2 im Hinblick auf seine Besonderheiten als zusätzlicher …
Emissionshandelssystem für CO2 im Hinblick auf seine Besonderheiten als zusätzlicher …
A fund of hedge funds under regime switching
D Saunders, L Seco, C Vogt… - The Journal of Alternative …, 2013 - search.proquest.com
This article investigates the use of a regime-switching model of returns for the asset
allocation decision of a fund of hedge funds. In each time period, returns follow a multi …
allocation decision of a fund of hedge funds. In each time period, returns follow a multi …
[HTML][HTML] Multi-criteria classification for pricing European options
N Gradojevic - Studies in Nonlinear Dynamics & Econometrics, 2016 - degruyter.com
This paper builds a novel multi-criteria, non-parametric classification framework in order to
improve the accuracy of pricing European options. The proposed approach is based on …
improve the accuracy of pricing European options. The proposed approach is based on …
[PDF][PDF] Merton-style option pricing under regime switching
This paper develops a valuation framework for a perpetual American call option when the
underlying asset return dynamic is modelled by a regime switching process. In particular …
underlying asset return dynamic is modelled by a regime switching process. In particular …
The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market
S Wilkens, K Röder - Global finance journal, 2006 - Elsevier
Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this
paper addresses the informational content of option-implied volatility, skewness, and …
paper addresses the informational content of option-implied volatility, skewness, and …
Are regime-shift sources of risk priced in the market?
K Chourdakis, Y Dendramis, E Tzavalis - Journal of Empirical Finance, 2014 - Elsevier
In this paper we develop a discrete-time pricing model for European options where the log-
return of the underlying asset is subject to discontinuous regime shifts in its mean and/or …
return of the underlying asset is subject to discontinuous regime shifts in its mean and/or …