搜索结果: 1-15 共查到“金融市场 Pricing”相关记录22条 . 查询时间(0.183 秒)
Leverage Asset Pricing
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses det...
Denoising Surprises in Option Pricing
financial time series option premium attenuated volatility
2011/3/30
We perform wavelet decomposition of high frequency financial time series into high and low-energy spectral sectors. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns ...
Pricing of barrier options by marginal functional quantization
Pricing barrier options marginal functional quantization
2011/1/4
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar ...
Asset pricing puzzles explained by incomplete Brownian equilibria
Incomplete markets equity premium puzzle
2010/10/21
We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate co...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
No-arbitrage pricing under cross-ownership
Absolute priority rule capital structure irrelevance contingent claims
2010/10/20
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and deriva...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/10/19
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the stri...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/10/18
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
The impact of uncertainties on the pricing of contingent claims
pricing contingent claims
2010/10/18
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techni...
Pricing Fixed-Income Securities in an Information-Based Framework
Fixed-income securities interest rate theory inflation inflation-linked securities
2010/11/2
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous-time processes that describe the flow of information concerni...
A Review of Volatility and Option Pricing
Option pricing volatility models risk neutral valuation empirical volatility
2010/10/29
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...