Equilibrium Option Prices For A Class Of Distributions
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Equilibrium Option Prices For A Class Of Distributions
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Author : Jongchai Kim
language : en
Publisher:
Release Date : 1996
Equilibrium Option Prices For A Class Of Distributions written by Jongchai Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Goodness-of-fit tests categories.
A General Equilibrium And Preference Free Model For Pricing Options Under Transformed Gamma Distribution
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Author : Luiz Vitiello
language : en
Publisher:
Release Date : 2006
A General Equilibrium And Preference Free Model For Pricing Options Under Transformed Gamma Distribution written by Luiz Vitiello and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
General Equilibrium And Risk Neutral Framework For Option Pricing With Mixture Of Distributions
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Author : Luiz Vitiello
language : en
Publisher:
Release Date : 2006
General Equilibrium And Risk Neutral Framework For Option Pricing With Mixture Of Distributions written by Luiz Vitiello and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
General Equilibrium Option Pricing Method Theoretical And Empirical Study
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Author : Jian Chen
language : en
Publisher: Springer
Release Date : 2018-04-10
General Equilibrium Option Pricing Method Theoretical And Empirical Study written by Jian Chen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-10 with Business & Economics categories.
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Equilibrium Pricing Bounds On Option Prices
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Author : Marie Chazal
language : en
Publisher:
Release Date : 2007
Equilibrium Pricing Bounds On Option Prices written by Marie Chazal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we derive an upper bound on the call option price by putting two kind of restrictions on the pricing probability measure.First, we put a restriction on the second risk-neutral moment of the underlying asset terminal value. Second, from equilibrium pricing arguments one can put a monotonicity restriction on the Radon-Nikodym density of the pricing probability with respect to the true probability measure. This density is restricted to be a nonincreasing function of the underlying price at maturity. The bound appears then as the solution of a constrained optimization problem and we adopt a duality approach to solve it.We obtain a weak sufficient condition for strong duality and existence for the dual problem to hold, for options defined by general payoff functions. Explicit bounds are provided for the call option. Finally, we provide a numerical example.
Stochastic Dominance Option Pricing
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Author : Stylianos Perrakis
language : en
Publisher: Springer
Release Date : 2019-05-03
Stochastic Dominance Option Pricing written by Stylianos Perrakis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-03 with Business & Economics categories.
This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Option Implied Risk Neutral Distributions And Risk Aversion
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Author : Jens Carsten Jackwerth
language : en
Publisher:
Release Date : 2008
Option Implied Risk Neutral Distributions And Risk Aversion written by Jens Carsten Jackwerth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Financial Derivatives
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Author : Rob Quail
language : en
Publisher: John Wiley & Sons
Release Date : 2009-10-15
Financial Derivatives written by Rob Quail and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-15 with Business & Economics categories.
Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.
Equilibrium Price Distributions
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Author : University of Minnesota. Institute for Mathematics and Its Applications
language : en
Publisher:
Release Date : 1984
Equilibrium Price Distributions written by University of Minnesota. Institute for Mathematics and Its Applications and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.
Heterogeneity And Option Pricing
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Author : Joram Mayshar
language : en
Publisher:
Release Date : 1997
Heterogeneity And Option Pricing written by Joram Mayshar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
We consider equilibrium option pricing in a simple two-period economy that is characterized by heterogeneity among agents. We demonstrate that an economy in which agents have constant yet heterogeneous degrees of relative risk aversion will price assets as though it has a single quot;pricing representativequot; agent who displays decreasing relative risk aversion. This result is shown to imply that the pricing kernel has fat tails and yields option prices which do not conform to the standard Black-Scholes formula. Solving for the implied volatility results in a smile pattern, typical of those seen in practice. This pattern was in fact obtained is several cases. Even though we assume a lognormal distribution of the underlying return, we obtain that heterogeneity in either risk aversion or in beliefs concerning the distribution parameters implies a non-lognormal pricing kernel with fatter tails and with quot;over-pricingquot; of out-of-the-money call and put options.