Pricing S P 500 Index Options Using A Hilbert Space Basis
DOWNLOAD
Download Pricing S P 500 Index Options Using A Hilbert Space Basis PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Pricing S P 500 Index Options Using A Hilbert Space Basis book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Pricing S P 500 Index Options Using A Hilbert Space Basis
DOWNLOAD
Author : Peter Albert Abken
language : en
Publisher:
Release Date : 1996
Pricing S P 500 Index Options Using A Hilbert Space Basis written by Peter Albert Abken and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Stock options categories.
Pricing S P 500 Index Options Using A Hilbert Space Basis
DOWNLOAD
Author : Peter A. Abken
language : en
Publisher:
Release Date : 2014
Pricing S P 500 Index Options Using A Hilbert Space Basis written by Peter A. Abken and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on Samp;P 500 index options. Restrictions on the prices of Hermite polynomial risk are imposed that allow all option maturity classes to be used in estimation. These restrictions are rejected by our empirical tests of a four-parameter specification of the model. Nevertheless, the unrestricted four-parameter model, based on a single maturity class, demonstrates better out-of-sample performance than that of the Black-Scholes version of the Hermite model. The unrestricted four- parameter model results indicate skewness and excess kurtosis in the implied risk-neutral density. The skewness of the risk-neutral density contrasts with the symmetry of the statistical density estimated using the Hermite model on the Samp;P 500 index returns.
Handbook Of Financial Engineering
DOWNLOAD
Author : Constantin Zopounidis
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-25
Handbook Of Financial Engineering written by Constantin Zopounidis and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-25 with Business & Economics categories.
This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Pricing S P 500 Index Put Options
DOWNLOAD
Author : Robert L. Geske
language : en
Publisher:
Release Date : 2010
Pricing S P 500 Index Put Options written by Robert L. Geske and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The primary purpose of this paper is to examine whether leverage has a significant statistical and economic effect on the pricing of Samp;P 500 index put options. The secondary purpose is to present information regarding the shape and persistent smile rather than skew of the implied volatility function. This is the first paper to directly test for leverage effects in stock index put options. To analyze these effects we use the Geske (1979) compound option model. The Geske model is closed form, implies stochastic equity volatility, is consistent with Modigliani and Miller, incorporates debt refinancing, and includes possibly differential default and bankruptcy. Black-Scholes (1973) is a special case of the Geske model. In this paper we show that during the years 1996-2004 the aggregate market based debt to equity (D/E) ratio of the firms comprising the Samp;P 500 equity index varies from about 40-120 percent. We believe that we are the first to present a market D/E ratio derived from option theory. We also present evidence that on an average of about 200,000 options during this 8 year period the implied volatility most often exhibits a smile not a smirk or skew. Next and more importantly we are the first to report the details of the statistically significant economic effects that market leverage has on pricing Samp;P 500 index put options. We measure that the Geske model improves the net option valuation of listed in the money (or out of the money) Samp;P 500 index put options on average by about 37% (19%) compared to Black-Scholes values. We demonstrate that the improvement is directly (and monotonically) related to both the time to expiration of the option and the amount of leverage in this market index. For options with longer expirations and/or periods of higher market leverage the improvement is greater, ranging from about 50% to 85%. We also demonstrate economic significance in basis points by showing that dealers making a book in index options can expect benefits of at least several 100 basis points using Geske instead of Black-Scholes. Finally we show that the per cent pricing errors compare very favorably with Heston-Nandi (2000).
Advanced Asset Pricing Theory
DOWNLOAD
Author : Ma Chenghu
language : en
Publisher: World Scientific Publishing Company
Release Date : 2011-01-03
Advanced Asset Pricing Theory written by Ma Chenghu and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-03 with Business & Economics categories.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
The Fed In Print
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 1995
The Fed In Print written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business categories.
A Horse Race Among Competing Option Pricing Models Using S P 500 Index Options
DOWNLOAD
Author : Minqiang Li
language : en
Publisher:
Release Date : 2008
A Horse Race Among Competing Option Pricing Models Using S P 500 Index Options written by Minqiang Li 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.
The last three decades have witnessed a whole array of option pricing models. We compare the predictive performances of a selection of models by carrying out a horse race on Samp;P 500 index options along the lines of Jackwerth and Rubinstein (2001). The models we consider include: Black-Scholes, trader rules, Heston's stochastic volatility model, Merton's jump diffusion models with and without stochastic volatility, and more recent Levy type models. Trader rules still dominate mathematically more sophisticated models, and the performance of the trader rules is further improved by incorporating the stable index skew pattern documented in Li and Pearson (2005). Furthermore, after incorporating the stable index skew pattern, the Black-Scholes model beats all mathematically more sophisticated models in almost all cases. Mathematically more sophisticated models vary in their overall performance and their relative accuracy in forecasting future volatility levels and future volatility skew shapes.
Option Implied Risk Neutral Distributions And Risk Aversion
DOWNLOAD
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.
Spider Options And The S P 500 Index Options Market
DOWNLOAD
Author : Gunther Capelle-Blancard
language : en
Publisher:
Release Date : 2011
Spider Options And The S P 500 Index Options Market written by Gunther Capelle-Blancard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Using daily closing options data for the January 01, 2004 to June 30, 2005 period, we examine if the listing of Spider options on January 10, 2005 had any major impact on the quoted bid-ask spread, volume and implied volatility pattern of the Samp;P 500 Index options. Based on regression-based measures proposed in this paper, we find the call spread and volume to shrink, and the put spread and volume to rise, leading to a minor net volume decline in total. Consequently, index put transaction cost rises for the investors and the market makers enjoy a boost in revenue while the CBOE's fee revenue perhaps suffers a little. Considering spread and volume effects, the liquidity implication is uncertain. Pricing of the Samp;P 500 Index options is not affected as the implied volatility pattern remains largely in tact.
Economic Review
DOWNLOAD
Author : Federal Reserve Bank of Atlanta
language : en
Publisher:
Release Date : 1997
Economic Review written by Federal Reserve Bank of Atlanta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Banks and banking categories.