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Resale Options and Cryptocurrency Mispricing 转售期权和加密货币错误定价
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-09-22 DOI: 10.2139/ssrn.3253208
Wang Chun Wei
{"title":"Resale Options and Cryptocurrency Mispricing","authors":"Wang Chun Wei","doi":"10.2139/ssrn.3253208","DOIUrl":"https://doi.org/10.2139/ssrn.3253208","url":null,"abstract":"We examine the predictions of the resale option hypothesis (Scheinkman and Xiong, 2003) in cryptocurrency markets. The resale option hypothesis yields testable implications on the relationship between the level and volatility of mispricing, and the degree of heterogeneous beliefs. Using turnover as a proxy for heterogeneity, we find evidence supporting the resale option hypothesis. These findings are persistent across various types of cryptocurrencies, and support the notion that cryptocurrencies trade above intrinsic value. Futhermore, we conduct two backtests to show that portfolios with higher turnover or resale option characteristics underperform portfolios with lower turnover or resale option characteristics. This supports the theory that disagreement is negatively related to future returns for positive biased assets (see Atmaz and Basak, 2018).","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129770393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model 分数Vasicek模型中上限和下限合约买入价和卖出价的估值
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-09-22 DOI: 10.2139/ssrn.3255754
Ali Reza Najaf, F. Mehrdoust, H. Samimi
{"title":"Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model","authors":"Ali Reza Najaf, F. Mehrdoust, H. Samimi","doi":"10.2139/ssrn.3255754","DOIUrl":"https://doi.org/10.2139/ssrn.3255754","url":null,"abstract":"This paper derives bid and ask formulas for cap and floor contracts by using Wang trans- form under fractional version of the Vasicek interest rate model. To do this, first the parameters of the model are estimated by MLE calibration method, then standard and fractional version of the Vasicek model are compared by the Akaike information criterion. Finally, we use the model with the set of calibration parameters to calculate Bid-Ask boundaries for interest rate amount and cap and floor prices.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115236622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
MaMaMoMaMa: BTC Options MaMaMoMaMa: BTC 选项
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-09-15 DOI: 10.2139/ssrn.3250760
D. Madan, S. Reyners, W. Schoutens
{"title":"MaMaMoMaMa: BTC Options","authors":"D. Madan, S. Reyners, W. Schoutens","doi":"10.2139/ssrn.3250760","DOIUrl":"https://doi.org/10.2139/ssrn.3250760","url":null,"abstract":"In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the Heston model. We examine their pricing performance and the stability of the optimal risk-neutral parameters over a period of two months. The analysis proceeds with the construction of BlackScholes and Laplace implied volatity smiles. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133858067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Margin Requirements and Equity Option Returns 保证金要求和股票期权回报
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-09-01 DOI: 10.2139/ssrn.2789113
Steffen Hitzemann, Michael Hofmann, M. Uhrig-Homburg, C. Wagner
{"title":"Margin Requirements and Equity Option Returns","authors":"Steffen Hitzemann, Michael Hofmann, M. Uhrig-Homburg, C. Wagner","doi":"10.2139/ssrn.2789113","DOIUrl":"https://doi.org/10.2139/ssrn.2789113","url":null,"abstract":"In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin premium depends on demand pressure: If end-users are on the long side of the market, option returns decrease with margins, while they increase otherwise. Our results are statistically and economically significant and robust to different margin specifications and various control variables. We explain our findings by a model of funding-constrained derivatives dealers that require compensation for satisfying end-users’ option demand.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131196471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Risk-Based Overnight-Linked Futures Design 基于风险的隔夜联系期货设计
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-08-22 DOI: 10.2139/ssrn.3238640
Marc Henrard
{"title":"Risk-Based Overnight-Linked Futures Design","authors":"Marc Henrard","doi":"10.2139/ssrn.3238640","DOIUrl":"https://doi.org/10.2139/ssrn.3238640","url":null,"abstract":"The importance of overnight rate benchmarks has been increasing in the last years and is expected to increase further in the coming years. They could take over the IBOR-like benchmarks as the most important interest rate benchmarks. In this note we propose a new design for an overnight-linked futures. The design borrows on a swap futures design previously proposed by the author. The proposed design creates a potential unified approach to many interest rate futures and contributes to a common language between OTC and ETD markets. The design also reduces some of the drawbacks in existing futures.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116368375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Hybrid Model: A Dynamic Multi-Curve Framework 混合模型:动态多曲线框架
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-08-22 DOI: 10.2139/ssrn.3237403
Marc Henrard
{"title":"Hybrid Model: A Dynamic Multi-Curve Framework","authors":"Marc Henrard","doi":"10.2139/ssrn.3237403","DOIUrl":"https://doi.org/10.2139/ssrn.3237403","url":null,"abstract":"Over the last 10 years, the multi-curve and collateral framework has become the standard for vanilla interest rate derivatives pricing. The static description of the framework, including the curve calibration, is well documented. When going to the dynamic behaviour of the framework, the modelling has not evolved as much and no approach to modelling the multi-curve framework is considered a standard. In this note, we propose an approach to multi-curve framework modelling. We call it hybrid approach as it is based on standard models for the discounting curve and an adjusted approach for IBOR curves which is design to have a natural control on the basis. We show that the approach can match simultaneously the main features of the option market and of historical data.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127343092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market 金融部门压力和风险分担:来自天气衍生品市场的证据
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-07-30 DOI: 10.2139/ssrn.2640352
Daniel Weagley
{"title":"Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market","authors":"Daniel Weagley","doi":"10.2139/ssrn.2640352","DOIUrl":"https://doi.org/10.2139/ssrn.2640352","url":null,"abstract":"I examine the effect of financial sector stress on risk sharing in a novel setting: the CME’s weather derivatives market. The structure of the market allows me to disentangle price movements due to financial sector stress from price movements due to fundamentals. Contracts, which are typically priced near their actuarially fair value, experience significant price declines during periods of financial sector stress. Contracts with greater margin requirements and total risk are the most affected. The results provide causal evidence of the effect of financial sector stress on the pricing of exchange-traded financial contracts and risk sharing in the economy. Received July 21, 2017; editorial decision July 22, 2018 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121975312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
An Overview of the Liquidity of the South African Vanilla Debt Market 南非香草债券市场的流动性概述
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-07-29 DOI: 10.2139/ssrn.3222073
Samantha Jones
{"title":"An Overview of the Liquidity of the South African Vanilla Debt Market","authors":"Samantha Jones","doi":"10.2139/ssrn.3222073","DOIUrl":"https://doi.org/10.2139/ssrn.3222073","url":null,"abstract":"The issue of illiquidity is well known in the South African exchange traded debt market. Lack of trade leads to out-of-date data and stale market prices, which in turn implies unrealiable and dated credit spreads. The problem is heightened by the fact that the derivatives market (such as swaps and FRAs) are OTC based and are traded directly with a bank or prime broker. In addition, the coverage of credit ratings across the South African debt market is poor. This paper illustrates the extent of the illiquidity in the South African debt market (focussing on vanilla bonds) and the adverse effect this lack of trade has on credit spreads. It is the introductory section of a PhD thesis, motivating the need for alternative modelling of credit spreads, which the subsequent chapters of the PhD aim to address.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124933860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Momentum and Reversal Strategies in Chinese Commodity Futures Markets 中国商品期货市场的动量与反转策略
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-07-20 DOI: 10.2139/ssrn.3069253
Yurun Yang, Ahmet Göncü, A. Pantelous
{"title":"Momentum and Reversal Strategies in Chinese Commodity Futures Markets","authors":"Yurun Yang, Ahmet Göncü, A. Pantelous","doi":"10.2139/ssrn.3069253","DOIUrl":"https://doi.org/10.2139/ssrn.3069253","url":null,"abstract":"This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic out-of-sample backtesting results. Distinctively from the existing literature, our dataset does not suffer from liquidity problems since the intra-day data is constructed from the most actively traded contracts for each and every of the 31 commodities included in our sample. Overall, there are three main findings of this study. First, momentum and reversal trading strategies can generate robust and consistent returns over time; however, the intra-day strategies used cannot generate sufficiently enough high excess returns to cover the excessive costs due to the higher frequency of trading. Secondly, at lower trading frequencies and longer holding periods momentum and reversal strategies can generate excess returns, but with higher maximum drawdown risk. Finally, the double-sort strategies statistically improve the performance of the trading strategies.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"41 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116186433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Heterogeneity in Risk Preferences Leads to Stochastic Volatility 风险偏好的异质性导致随机波动
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2018-06-21 DOI: 10.2139/ssrn.3200297
Dietmar P. J. Leisen
{"title":"Heterogeneity in Risk Preferences Leads to Stochastic Volatility","authors":"Dietmar P. J. Leisen","doi":"10.2139/ssrn.3200297","DOIUrl":"https://doi.org/10.2139/ssrn.3200297","url":null,"abstract":"This paper studies the price processes of a claim on terminal endowment and of a claim on firm book value when the underlying variables follow a bivariate geometric Brownian motion. If the state-price process is multiplicatively separable into time and endowment functions, our main result shows that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, the endowment function is not a power function. In a pure exchange economy populated by two agents with constant relative risk aversion (CRRA) preferences we confirm the separability, and we show furthermore that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, both agents are heterogeneous in risk-preferences.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123788505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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