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StructuredMarkets Equity Derivatives Journal最新文献

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One Improved Option-Pricing Method Using the Barndorff-Nielsen and Shephard Model 一种基于Barndorff-Nielsen和Shephard模型的期权定价改进方法
StructuredMarkets Equity Derivatives Journal Pub Date : 2013-02-22 DOI: 10.2139/ssrn.2222974
Yun Peng, Payam Bahamin, R. Cebula
{"title":"One Improved Option-Pricing Method Using the Barndorff-Nielsen and Shephard Model","authors":"Yun Peng, Payam Bahamin, R. Cebula","doi":"10.2139/ssrn.2222974","DOIUrl":"https://doi.org/10.2139/ssrn.2222974","url":null,"abstract":"The Black-Scholes Model (Black-Scholes-Merton Model) is well known among practitioners and researchers in the field of option pricing. The present study explains how to simulate the Levy process to price options and demonstrates that the Barndorff-Nielsen and Shephard Model is empirically superior to the Black-Scholes Model (Black-Scholes-Merton Model) in option pricing. This study also demonstrates how to simulate the Wiener process.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114960060","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
Hedging Structured Credit Products During the Credit Crisis: A Horse Race of 10 Models 信贷危机期间结构性信贷产品的对冲:10个模型的赛马
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-12-31 DOI: 10.2139/ssrn.1969157
Marius Ascheberg, B. Bick, H. Kraft
{"title":"Hedging Structured Credit Products During the Credit Crisis: A Horse Race of 10 Models","authors":"Marius Ascheberg, B. Bick, H. Kraft","doi":"10.2139/ssrn.1969157","DOIUrl":"https://doi.org/10.2139/ssrn.1969157","url":null,"abstract":"Pricing and hedging structured credit products poses major challenges to financial institutions. This paper puts several valuation approaches through a crucial test: How did these models perform in one of the worst periods of economic history, September 2008, when Lehman Brothers went under? Did they produce reasonable hedging strategies? We study several bottom-up and top-down credit portfolio models and compute the resulting delta hedging strategies using either index contracts or a portfolio of single-name CDS contracts as hedging instruments. We compute the profit-and-loss profiles and assess the performances of these hedging strategies. Among all 10 pricing models that we consider the Student-t copula model performs best. The dynamical generalized-Poisson loss model is the best top-down model, but this model class has in general problems to hedge equity tranches. Our major finding is however that single-name and index CDS contracts are not appropriate instruments to hedge CDO tranches.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125735915","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: 7
January Effect in FX Market 外汇市场一月份的影响
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-12-18 DOI: 10.2139/SSRN.2311127
A. Karbalaee
{"title":"January Effect in FX Market","authors":"A. Karbalaee","doi":"10.2139/SSRN.2311127","DOIUrl":"https://doi.org/10.2139/SSRN.2311127","url":null,"abstract":"To study the January effect, four major pairs including EURUSD, USDJPY, GBPUSD and USDCHF during January 2002 to November 2012 are investigated. By calculating average daily return for each month, 12 series are sorted out from January to December in 2002-2012. Initial finding are offering that January has brought the least risk in case of GBPUSD but there is no any other sign for higher/less return or risk in case of other pairs. Also to survey if there is any significant dependency of other months on January, Regression (by Ordinary Least Square) and Resample Bootstrapping are applied but statistically nothing is proved to show January’s daily fluctuations may have any effect on other months. It’s also confirmed by weak autocorrelation on EURUSD, USDJPY, GBPUSD and USDCHF.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130861061","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
Pricing a Credit-Linked Note on a CDX Tranche 信用挂钩票据在CDX部分上的定价
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-11-08 DOI: 10.2139/ssrn.2172929
Daniel Chertok
{"title":"Pricing a Credit-Linked Note on a CDX Tranche","authors":"Daniel Chertok","doi":"10.2139/ssrn.2172929","DOIUrl":"https://doi.org/10.2139/ssrn.2172929","url":null,"abstract":"A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132390505","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
The Most Likely Stream 最有可能的流
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-11-02 DOI: 10.2139/ssrn.2170437
A. Reghai
{"title":"The Most Likely Stream","authors":"A. Reghai","doi":"10.2139/ssrn.2170437","DOIUrl":"https://doi.org/10.2139/ssrn.2170437","url":null,"abstract":"The most likely stream is an extension of the most likely path. It solves at a small algorithmic cost the known defect of the most likely path (i.e. underestimation of the convexity). It offers a fast and robust method to transform a local volatility surface into an implied volatility one. This paper presents new theoretical results accompanied with graphs for better intuition on the problem.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125723344","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
Investors' Heterogeneity and Implied Volatility Smiles 投资者的异质性和隐含波动率微笑
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-09-18 DOI: 10.2139/ssrn.2187057
Tao Li
{"title":"Investors' Heterogeneity and Implied Volatility Smiles","authors":"Tao Li","doi":"10.2139/ssrn.2187057","DOIUrl":"https://doi.org/10.2139/ssrn.2187057","url":null,"abstract":"Heterogeneity in beliefs and time preferences among investors make stock volatility stochastic, even though the volatility of the underlying dividend is constant. Prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas. The Black--Scholes implied volatility surface, which depends on wealth distribution, investors' beliefs, and time preferences, exhibits observed patterns that are widely documented in various options markets. Along with benchmark models, the model is calibrated weekly to the S&P 500 index options from January 1996 to April 2006. It shows comparable performance to the stochastic volatility and jump model and outperforms the traders' rules and two no-arbitrage models (stochastic volatility, and stochastic volatility and stochastic interest rate) in terms of out-of-sample pricing errors. This paper was accepted by Wei Xiong, finance.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"50 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129762517","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: 22
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework 股权-信用风险框架下可转债定价的二项树模型
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2078509
Krasimir Milanov, O. Kounchev
{"title":"Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework","authors":"Krasimir Milanov, O. Kounchev","doi":"10.2139/ssrn.2078509","DOIUrl":"https://doi.org/10.2139/ssrn.2078509","url":null,"abstract":"In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show that this model converges in continuous time to the model developed by Ayache, Forsyth and Vetzal [2003]. To this end, both forms of credit risk modeling, the so-called reduced (constant intensity of default model for the underlying) and the so-called synthesis (variable intensity of default model for the underlying) are considered. We highlight and quantify certain issues that arise, as transition probability analysis and threshold values of model inputs (tree step, underlying stock price, etc.). This study may be considered as an alternative way to develop the price dynamics model of Ayache et al. [2003] for convertible bonds in credit risk environment.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"6 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116379261","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: 4
Strategic Commodity Allocation and The Theory of Storage 战略商品配置与仓储理论
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-04-11 DOI: 10.2139/ssrn.1928620
Pierre Six
{"title":"Strategic Commodity Allocation and The Theory of Storage","authors":"Pierre Six","doi":"10.2139/ssrn.1928620","DOIUrl":"https://doi.org/10.2139/ssrn.1928620","url":null,"abstract":"This article examines the benefit of adding commodity futures and/or spot commodities to a portfolio of bonds and equity based on the theory of storage. We find that an investor who optimally considers the information conveyed by the whole-term structure of commodity futures greatly improves his/her strategy. However, this strategy results in extreme calendar spread positions on the term structure of the commodity futures. Additionally, these spread positions on the term structure of futures prices significantly modify the investment in bonds. Indeed, the cost of carrying a commodity is inherently linked to the time-preference motives. A suboptimal strategy that focuses on the short end of the futures curve hardly modifies the investments in the bond and equity markets but does not improve the benefit of the strategy. Our study then argues in favor of an investment in commodity indexes independent of other asset classes.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116540622","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
Option Pricing Revisited 重新审视期权定价
StructuredMarkets Equity Derivatives Journal Pub Date : 2012-03-06 DOI: 10.2139/ssrn.2017053
I. Gikhman
{"title":"Option Pricing Revisited","authors":"I. Gikhman","doi":"10.2139/ssrn.2017053","DOIUrl":"https://doi.org/10.2139/ssrn.2017053","url":null,"abstract":"In this notice we highlight drawback of the Black and Scholes option pricing as well as ‘perfect’ hedging concepts. We also provide alternative view of the option pricing concept.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128177463","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
Arbitrage of Single Stocks Versus Futures in India 印度单股与期货的套利
StructuredMarkets Equity Derivatives Journal Pub Date : 2011-11-03 DOI: 10.2139/ssrn.1953878
R. T. Slivka, Vikram Shah, Jiawei Wu
{"title":"Arbitrage of Single Stocks Versus Futures in India","authors":"R. T. Slivka, Vikram Shah, Jiawei Wu","doi":"10.2139/ssrn.1953878","DOIUrl":"https://doi.org/10.2139/ssrn.1953878","url":null,"abstract":"Whether for hedging, investing or trading purposes, securities regulators and stock exchanges along with domestic and foreign institutional investors, all have a common interest in having fairly priced futures contracts. Achieving and sustaining fairly valued equity futures depends heavily on the existence of active arbitrage in which stocks and futures are paired off against one another by professional arbitrageurs seeking to exploit any mispricing. Current constraints on efficient arbitrage in India include the high costs of brokerage, government, exchange and regulatory fees, an underdeveloped securities lending business to support short selling and, to a lesser extent, an electronic stock execution platform in need of speedier execution. The result of these costs and constraints is that stock versus futures arbitrage in India is presently confined almost entirely to intraday transactions between selected single stocks and their stock futures contracts. Using recent single stock futures data, this article explores specific arbitrage details of single stocks vs. their futures in the Indian market. The zero arbitrage band width for this type of arbitrage was found to be typically at least twice than that occurring in mature global markets and in serious need of narrowing. If India's regulators, exchanges and taxing authorities wish to encourage the growth of valuable arbitrage business, then steps will be needed to reduce the costs that widen this band. Knowledge of the requirements for successful arbitrage detailed in this paper can suggest to regulators and exchanges steps necessary for improving market liquidity and increasing participation in India's rapidly growing stock and futures markets.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115922435","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
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