Download or read book Three Essays in the Use of Option Pricing Theory written by Jeremy Joseph Evnine and published by . This book was released on 1988 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Option Pricing Theory and Applications written by Ramesh K. Rao and published by . This book was released on 1986 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Option Pricing Theory and Applications written by Ramesh K. S. Rao and published by . This book was released on 1980 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in the Use of Option Pricing Theory written by Jeremy Joseph Evnine and published by . This book was released on 1983 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Option Pricing written by Horatio Cuesdeanu and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book THREE ESSAYS ON OBSERVABLE COVARIATES IN OPTION PRICING written by Yoontae Jeon and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays on observable covariates in option pricing. In the first essay, I propose firm-specific public news arrival from Factiva database as an observable covariate in equity options market and study how the public news arrival is priced. I first establish the empirical relationship between the firm-specific public news arrival and jumps in individual equity returns. Subsequently, I build a continuous-time stochastic volatility jump diffusion model where news arrivals driving the jump dynamics. When estimated on equity options data for 20 individual firms, the premia placed on jump frequency and size turn out to be consistent with the theories highlighting both positive and negative effects of public news arrival. The second essay, based on a joint work with Peter Christoffersen, Bruno Feunou and Chayawat Ornthanalai, studies how the stock market illiquidity affects the market crash risk. Our empirical approach is to estimate a continuous-time model with stochastic volatility and dynamic crash probability where stock market illiquidity is used as an observable covariate driving the crash probability. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. This finding suggests that the relationship between variance and jump risk found in the literature is largely due to their common exposure to market illiquidity. Our study highlights the importance of equity market frictions in index return dynamics and explains why prior studies find that crash risk increases with market uncertainty level. The third essay, based on a joint work with Peter Christoffersen and Bruno Feunou, proposes the realized jump variation measure constructed from the intraday S returns data as an observable covariate that helps pricing of index options. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing for straightforward filtering and estimation of the model. When estimated on S index options and returns the new model performs well compared with standard benchmarks.
Download or read book Four Essays in the Application of Option Pricing Theory written by Anand Mohan Vijh and published by . This book was released on 1987 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Buprestidae I written by and published by . This book was released on 1926 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Econometrics of Option Pricing written by Evgenii Vladimirov (Ph. D.) and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation is a collection of three essays that delve into the econometrics of option pricing. The primary objective of these essays is to develop and deploy diverse econometric techniques that enable the accurate extraction of valuable information embedded in option prices. Chapter 2 investigates jump contagion between international stock markets using options data. It introduces a multivariate option pricing model that assesses the contagious effects of market shocks. Chapter 3 tackles the challenge of estimating continuous-time option pricing models. It proposes a new filtering and estimation method for affine jump-diffusion models, enhancing computational efficiency and implementation ease. Finally, Chapter 4 develops a unified framework for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities."--
Download or read book Three Essays on Investments and Time Series Econometrics written by Joshua Andrew Brooks and published by . This book was released on 2015 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.
Download or read book Three Essays on Volatility Specification in Option Valuation written by Karim Mimouni and published by . This book was released on 2007 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In the second essay, we estimate the Constant Elasticity of Variance (CEV) model in order to study the level of nonlinearity in the volatility dynamic. We also estimate a CEV process combined with a jump process (CEVJ) and analyze the effects of the jump component on the nonlinearity coefficient. Estimation is performed using the particle filtering technique on a long series of S&P500 returns and on options data. We find that both returns data and returns-and-options data favor nonlinear specifications for the volatility dynamic, suggesting that the extensive use of linear models is not supported empirically. We also find that the inclusion of jumps does not affect the level of nonlinearity and does not improve the CEV model fit." --
Download or read book Three Essays on the Valuation of Options written by Jung-Jin Lee and published by . This book was released on 1991 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in the Theory of Credit Risk written by Clemens Mueller and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Estimation of Risk Neutral Measures Using Option Pricing Models written by Seung Hwan Lee and published by . This book was released on 2008 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation develops two new parametric and nonparametric methods for estimating risk-neutral measures (RNM) which embody important information about market participants' sentiments concerning prices of the underlying asset in the future, and investigates empirical performance of parametric RNM estimation methods. The first essay, "Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model", constructs a simple representative agent model to provide a theoretical framework for the log-stable option pricing model and then implements a new parametric method for estimating the RNM using a generalized two-factor log-stable option pricing model. Under the generalized two-factor log-stable uncertainty assumption, the RNM for the log of price is a convolution of two exponentially tilted stable distributions. The generalized two-factor log-stable RNM provides a sufficiently accurate tool for estimating the RNM from observed option prices even if the log-stable assumption might not be satisfied. I estimate the RNM using the S & P 500 index options and find that the generalized two-factor log-stable model gives better performance than alternative models in fitting the observed option prices. The second essay, "Parametric Risk Neutral Measure Estimation Methods: A Horse Race", implements 12 parametric RNM estimation methods by means of the closed-form or characteristic function of RNM distributions and then compares the empirical performance under three criteria - -the root mean squared error (RMSE), likelihood ratio (LR), and the root mean integrated squared error (RMISE). The empirical results show that the generalized two-factor log-stable model outperforms other alternative parametric RNM estimation methods. The third essay, "Nonparametric Estimation of Risk-Neutral Measures using Quartic B-Spline CDFs with Power Tails", proposes a new nonparametric (BSP) method. I model a RNM cumulative distribution function (CDF) using quartic B-splines with power tails so that the resulting RNM probability density function (PDF) has continuity C2 and arbitrage-free properties. Since the number of knots is selected optimally in constructing the quartic B-spline RNM CDF, my method avoids both overfitting and oversmoothing. To improve computational efficiency and accuracy I introduce a 3-step RNM estimation procedure that transforms a nonlinear optimization problem into a convex quadratic program, which is efficiently solved by numerical optimization software.
Download or read book Option Pricing with Higher Moments Consideration written by 謝長杰 and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays, one of which examines if it is possible to find the characteristic that can be adapted to abnormal fluctuations and unpredictable cluster effects in the real world by refining the traditional covered-call strategy with stochastic volatility in order to improve this strategy under the Black and Scholes model (1973). Since the distribution of the return of the target asset in the real world is highly likely to be left-skewed and leptokurtic, it will influence the accuracy of the option pricing; otherwise, the basic hypothesis of the return of the target asset is normally distributed, such as in the simple BS model, the GARCH pricing model, and many other stochastic volatility models. Therefore, this study adopts three approximations to price - Gram-Charlier approximate solution, Edgeworth approximate solution, and Shaddlepoint approximate solution - in order to take skewness and kurtosis into account. The first two approximate solutions are derived from the Approximation of Taylor Series Expansion. The laster solution is derived from the asymptotics method from the concept in statistics. Under the consideration of skewness and kurtosis in the pricing model of European options, this paper introduces three analytic solutions and their detailed derivations. First, this paper compares these three approximations with numerical simulations to show the possible bad effects mentioned by other scholars in the past literature. The bad effect entails out of the possible range between zero to one in the probability density function. Second, this paper compares the accuracy among these three approximations by the benchmark Merton jump model (1976). Third, because American option pricing does not possess a closed-form and is not easy to price, many scholars have evaluated the price of American options in many different ways. This paper presents most of the different American option pricing methods that have been introduced in the literature and looks to further improve the American option pricing model introduced by Kallast and Kivinukk (2003). This paper integrates the three approximations into Kim's integral equations and evaluates their accuracy with Monte Carlo simulation..
Download or read book Pricing Commodity Bonds Using Binomial Option Pricing written by and published by World Bank Publications. This book was released on with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
