ERN: Asset Pricing Models (Topic)最新文献_第2页

Black-Scholes formulas without the normality assumption: Applications to stochastic volatility and stochastic interest rate 无正态假设的Black-Scholes公式:在随机波动率和随机利率中的应用

ERN: Asset Pricing Models (Topic) Pub Date : 2021-09-06 DOI: 10.2139/ssrn.3918488

Moawia Alghalith

引用次数: 0

SOFR In-Advance Derivative Pricing: Convexity Adjustment in the Forward Market Model SOFR预估衍生品定价:远期市场模型中的凸性调整

ERN: Asset Pricing Models (Topic) Pub Date : 2021-08-10 DOI: 10.2139/ssrn.3903069

Jonathan Rosen

{"title":"SOFR In-Advance Derivative Pricing: Convexity Adjustment in the Forward Market Model","authors":"Jonathan Rosen","doi":"10.2139/ssrn.3903069","DOIUrl":"https://doi.org/10.2139/ssrn.3903069","url":null,"abstract":"As the USD Libor interest rate benchmark is in the process of being discontinued, there is an increasing occurrence of SOFR-based loans and derivatives. Whereas Libor was most commonly set in-advance, an important difference is that SOFR is commonly set in-arrears when it is used in instruments such as overnight index swaps. Loans and interest-rate cap options used as hedges may both choose to fix the SOFR rate in-advance, which is similar to Libor by allowing the rate to be known in-advance of the interest accrual period. Here we adopt the mild assumption of bivariate normal log-forward rates for adjacent rate periods in the forward market model to derive the convexity adjustment for contracts which reference SOFR in-advance. Due to martingale conditions, when adjacent forward rates are uncorrelated there is no convexity adjustment, but when there is non-zero correlation, there is a convexity adjustment for any derivative payoff including the SOFR in-advance forward rate and the caplet/floorlet payoff which references this rate. These results demonstrate that SOFR in-advance derivatives are correlation-sensitive in their pricing and risk management, which is notably more complex than the situation for Libor.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117294266","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

Product Options 产品的选择

ERN: Asset Pricing Models (Topic) Pub Date : 2021-07-09 DOI: 10.2139/ssrn.3883594

D. Madan, King Wang

引用次数: 0

Investment in Art - Specificity, Risks, and Rates of Return 艺术投资的特殊性、风险和回报率

ERN: Asset Pricing Models (Topic) Pub Date : 2021-05-06 DOI: 10.2139/ssrn.3840724

Joanna Białynicka-Birula

{"title":"Investment in Art - Specificity, Risks, and Rates of Return","authors":"Joanna Białynicka-Birula","doi":"10.2139/ssrn.3840724","DOIUrl":"https://doi.org/10.2139/ssrn.3840724","url":null,"abstract":"The paper presents art as a special object of investment. The features of works of art and art market are presented in comparison with characteristics of securities and stock exchange market. The author takes into account the following criteria: commodity features, ownership characteristic, markets' classification, liquidity, access to information on prices (market values), kinds of values, incomes, time horizon of investment, market indexes used for art market and stock exchange indexes. The paper takes up the issue of the most important characteristic connected with any type of investment i.e. risk and rates of return. The author proposes the classification of risks related to art investment. Moreover, the multidimensional aspects of rates of return are discussed. Financial rate of return in art, as in case of securities, can be calculated on the basis of monetary fluctuations in value in time. The methods available for estimation of rates of return in art are presented: price indices, repeat sales regression, hedonic regression, hybrid model, 2-step hedonic approach. Apart from financial rates of return the importance of non-financial rates of return in art is strongly emphasized.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129251971","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: 3

Lezioni di scelta in condizioni di incertezza e asset pricing: Stati di natura discreti e mercati completi. (Choice under Uncertainty and Asset Pricing: Complete Markets) 不确定性和资产定价的选择教训:谨慎的状态和完整的市场。(未确定资产定价下的选择:完成市场)

ERN: Asset Pricing Models (Topic) Pub Date : 2021-03-26 DOI: 10.2139/ssrn.3356609

Maria-Augusta Miceli

{"title":"Lezioni di scelta in condizioni di incertezza e asset pricing: Stati di natura discreti e mercati completi. (Choice under Uncertainty and Asset Pricing: Complete Markets)","authors":"Maria-Augusta Miceli","doi":"10.2139/ssrn.3356609","DOIUrl":"https://doi.org/10.2139/ssrn.3356609","url":null,"abstract":"Italian Abstract: In queste note si cerca di evidenziare come l'asset pricing, nel contesto di stati di natura discreti emercati completi, sia un metodo per spostare ricchezza attraverso gli stati di natura, per ottenere un consumo il più possibile omogeneo nei diversi stati di natura. L'obiettivo è costruire il sistema di equazioni da risolvere per le incognite e come meccanizzare il modello in semplici algoritmi risolvibili dal computer. Vengono esposte le due strategie di soluzioni equivalenti: a ritroso (backward) e in avanti (forward, tramite l'equazione di Bellman). I problemi considerati vanno dal caso più semplice di attività finanziarie \"pure\" ai casi di attività finanziarie \"complesse\" che danno luogo a rendimenti in più o tutti gli stati di natura. English Abstract: In these lecture notes I try to emphasize how asset pricing in discrete states of nature and complete markets, is a way to move wealth around states of nature in order to smooth consumption. The aim is to construct the system of equation to be solved for unknowns and how to mechanize the model into simple software algorithms. Two solution strategies are presented: backward and forward, through Bellman equation. The problems to be solved start from the easy case of pure assets to the case of complex assets having yields in many or all states of nature.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115682289","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

First Passage Time Covariance Matrix Estimators 第一通道时间协方差矩阵估计

ERN: Asset Pricing Models (Topic) Pub Date : 2021-03-11 DOI: 10.2139/ssrn.3802618

Seok Young Hong, O. Linton, Xiaolu Zhao

引用次数: 0

Efficient Variance Reduction with Least-Squares Monte Carlo Pricing 基于最小二乘蒙特卡罗定价的有效方差缩减

ERN: Asset Pricing Models (Topic) Pub Date : 2021-02-26 DOI: 10.2139/ssrn.3795621

François-Michel Boire, R. Reesor, Lars Stentoft

{"title":"Efficient Variance Reduction with Least-Squares Monte Carlo Pricing","authors":"François-Michel Boire, R. Reesor, Lars Stentoft","doi":"10.2139/ssrn.3795621","DOIUrl":"https://doi.org/10.2139/ssrn.3795621","url":null,"abstract":"This paper examines the efficiency of standard variance reduction techniques across option characteristics when pricing American-style call and put options with the Least-Squares Monte Carlo algorithm of Longstaff & Schwartz (2001). Our numerical experiments evaluate the efficiency of antithetic sampling, control variates, importance sampling, and combinations thereof. Whereas most of the American option pricing literature has focused on either put or call options individually, we employ the symmetry relation of McDonald & Schroder (1998) to compare performance for pairs of call and put options whose solution coincide. Our results first show that variance reduction is generally more efficient for put than call options and that control variates is the most efficient stand-alone method. We also find that marginal gains in efficiency are typically achieved by combining variance reduction techniques, though some techniques may interact conflictingly. Finally, since valuation of American-style call options can be improved by pricing symmetric put options instead (Stentoft 2019), we demonstrate that drastic reductions in the standard deviation of the call is obtained by combining all three variance reduction techniques in a symmetric pricing approach, which reduces the standard deviation by a factor of over 20 for long maturity call options on highly volatile assets.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128465521","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

Approximating Option Prices under Large Changes of Underlying Asset Prices 标的资产价格大幅变动下的近似期权价格

ERN: Asset Pricing Models (Topic) Pub Date : 2021-02-22 DOI: 10.2139/ssrn.3790528

Jae-Yun Jun, Y. Rakotondratsimba

{"title":"Approximating Option Prices under Large Changes of Underlying Asset Prices","authors":"Jae-Yun Jun, Y. Rakotondratsimba","doi":"10.2139/ssrn.3790528","DOIUrl":"https://doi.org/10.2139/ssrn.3790528","url":null,"abstract":"When investing in derivatives portfolios (such as options), the delta-gamma approximation (DGA) is often used as a risk management strategy to reduce the risk associated with the underlying asset price. However, this approximation is accepted only for small changes of the underlying asset price. When these changes become large, the option prices estimated by the DGA may significantly differ from those of the market, depending mainly on the time-to-maturity, implied volatility, and moneyness. Hence, in practice, before the change of the underlying asset price becomes large, rebalancing operations are demanded to minimize the losses occurred due to the error introduced by the DGA. The frequency of rebalancing may be high when the rate at which the underlying asset price significantly changes. Nonetheless, frequent rebalancing may be unattainable, as there are associated transaction costs. Hence, there is a trade-off between the losses resulting from the inaccuracy inherent to the DGA and the transaction costs incurring from frequent hedging operations. In the present work, with the objective to increase the accuracy of estimating the option prices, we propose a modified version of the DGA that outperforms the original DGA. As another approach to increase the accuracy, we propose the locally weighted regression to regress the option prices. Finally, we compare the performance of these two methods to that of some other existing methods.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132026222","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

Repeat Offenders: ESG Incident Recidivism and Investor Underreaction 惯犯:ESG事件累犯与投资者反应不足

ERN: Asset Pricing Models (Topic) Pub Date : 2021-02-17 DOI: 10.2139/ssrn.3004689

Simon Glossner

引用次数: 24

The Prior Adaptive Group Lasso with an Application to Risk Factor Selection 先验自适应群体套索及其在风险因子选择中的应用

ERN: Asset Pricing Models (Topic) Pub Date : 2021-02-13 DOI: 10.2139/ssrn.3785286

Kristoffer Pons Bertelsen

{"title":"The Prior Adaptive Group Lasso with an Application to Risk Factor Selection","authors":"Kristoffer Pons Bertelsen","doi":"10.2139/ssrn.3785286","DOIUrl":"https://doi.org/10.2139/ssrn.3785286","url":null,"abstract":"This paper develops and presents the prior adaptive group lasso for generalized linear models. The prior adaptive group lasso is an extension of the prior lasso developed by Jiang, He, and Zhang (2016), which allows for the use of existing information from previous or similar studies in the estimation of the lasso. We demonstrate that the estimator exhibits consistent variable selection and estimation similarly to those derived in Wang and Tian (2019) under at set of similar conditions. The performance of the prior adaptive group lasso estimator is illustrated in a Monte Carlo study. Finally, the estimator is applied in selecting the set of relevant risk factors in asset pricing models conditioning on the fact that the chosen factors must be able to price the test assets as well as the remaining factors. The empirical study shows that the prior adaptive group lasso yields a set of factors that explain the time variation in the returns while delivering 𝛼 estimates close to zero. We also show how this set of factors has evolved over time. We find that the canonical factor models of Fama and French (1993), (Carhart, 1997), (Fama and French, 2015), and (Hou, Xue, and Zhang, 2015) are insufficient to price the cross section of the test assets together with the remaining traded factors, and we find that the required number of pricing factors to include at any given time is closer to 20.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126783409","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