Review of Derivatives Research最新文献

The interaction between equity-based compensation and debt in managerial risk choices 股权薪酬与债务在管理者风险选择中的相互作用

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-08-31 DOI: 10.1007/s11147-024-09205-0

Carlos Miguel Glória, José Carlos Dias, João Pedro Ruas, João Pedro Vidal Nunes

引用次数: 0

An affine model for short rates when monetary policy is path dependent 货币政策路径依赖时短期利率的仿射模型

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-05-13 DOI: 10.1007/s11147-024-09202-3

Haitham A. Al-Zoubi

引用次数: 0

A two-factor structural model for valuing corporate securities 公司证券估值的双因素结构模型

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-04-28 DOI: 10.1007/s11147-024-09203-2

Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif, Bruno Rémillard

{"title":"A two-factor structural model for valuing corporate securities","authors":"Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif, Bruno Rémillard","doi":"10.1007/s11147-024-09203-2","DOIUrl":"https://doi.org/10.1007/s11147-024-09203-2","url":null,"abstract":"<p>We propose a general structural model for valuing risky corporate debt securities within a two-dimensional framework. The state variables in our model include the firm’s asset value, described as a geometric Brownian motion stochastic process, and the short-term interest rate, following a mean-reverting Ornstein–Uhlenbeck stochastic process. Our model accommodates flexible debt structure, multiple seniority classes, tax benefits, bankruptcy costs, and a stochastic endogenous default barrier. The proposed methodology relies on a two-dimensional dynamic program coupled with finite elements where key transition parameters are computed in closed form, and effective approximations using local interpolations are made during backward recursion. Our design incorporates space discretization without imposing time discretization, which is advantageous, particularly in the valuation of corporate bonds where exercise opportunities are often distant. Our methodology distinguishes itself by assuming a numerical error, setting it apart from statistical methods. Together, the above features establish dynamic programming coupled with finite elements as a competitive valuation approach as compared to its counterparts in the existing literature. We use parallel computing to enhance the efficiency of our methodology. We conduct a numerical and and an empirical investigation, both of which show consistency with several empirical evidence documented in the literature.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"37 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140812304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Martingale defects in the volatility surface and bubble conditions in the underlying 波动率表面的马丁格尔缺陷和底层的泡沫条件

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-01-19 DOI: 10.1007/s11147-023-09200-x

Philip Stahl, Jérôme Blauth

引用次数: 0

Pricing levered warrants under the CEV diffusion model 根据 CEV 扩散模型为杠杆权证定价

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-01-11 DOI: 10.1007/s11147-023-09199-1

引用次数: 0

Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility 在三因素 CIR 模型下为固定收入衍生品定价的非平移随机波动性

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2024-01-10 DOI: 10.1007/s11147-023-09198-2

Yuecai Han, Fengtong Zhang

引用次数: 0

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 波动性相关的概率加权与定价核难题的动态

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2023-11-29 DOI: 10.1007/s11147-023-09197-3

Maik Dierkes, Jan Krupski, Sebastian Schroen, Philipp Sibbertsen

{"title":"Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle","authors":"Maik Dierkes, Jan Krupski, Sebastian Schroen, Philipp Sibbertsen","doi":"10.1007/s11147-023-09197-3","DOIUrl":"https://doi.org/10.1007/s11147-023-09197-3","url":null,"abstract":"<p>In order to estimate volatility-dependent probability weighting functions, we obtain risk neutral and physical densities from the Pan (J Financ Econ 63(1):3–50, 2002. https://doi.org/10.1016/S0304-405X(01)00088-5) stochastic volatility and jumps model. Across volatility levels, we find pronounced inverse S-shapes, i.e. small probabilities are overweighted, and probability weighting almost monotonically increases in volatility, indicating higher skewness preferences and crash aversion in volatile market environments. Moreover, by estimating probabilistic risk attitudes, equivalent to the share of risk aversion related to probability weighting, we shed further light on the pricing kernel puzzle. While pricing kernels estimated from the Pan (J Financ Econ 63(1):3–50, 2002. https://doi.org/10.1016/S0304-405X(01)00088-5) model display the typical U-shape as documented in the literature, pricing kernels—net of probability weighting—are strictly monotonically decreasing and thus in line with economic theory. Equivalently, we find risk aversion to be positive across wealth levels. Our results are robust to alternative maturities, wealth percentiles, alternative functional forms, a nonparametric empirical setting and variations of the Pan (J Financ Econ 63(1):3–50, 2002. https://doi.org/10.1016/S0304-405X(01)00088-5) coefficient estimates.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"258 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model 离散时间无套利Nelson-Siegel模型下的掉期和零息票期货期权定价

4区经济学

Review of Derivatives Research Pub Date : 2023-10-04 DOI: 10.1007/s11147-023-09196-4

Frédéric Godin, Ramin Eghbalzadeh, Patrice Gaillardetz

引用次数: 0

Implied volatility surfaces: a comprehensive analysis using half a billion option prices 隐含波动率浮出水面:使用5亿期权价格的综合分析

4区经济学

Review of Derivatives Research Pub Date : 2023-09-30 DOI: 10.1007/s11147-023-09195-5

Maxim Ulrich, Lukas Zimmer, Constantin Merbecks

{"title":"Implied volatility surfaces: a comprehensive analysis using half a billion option prices","authors":"Maxim Ulrich, Lukas Zimmer, Constantin Merbecks","doi":"10.1007/s11147-023-09195-5","DOIUrl":"https://doi.org/10.1007/s11147-023-09195-5","url":null,"abstract":"Abstract This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk management, and empirical asset pricing. Utilizing a comprehensive dataset consisting of half a billion daily price observations for options on 499 US individual stocks and the S&P 500, the research investigates the accuracy of diverse methods for constructing volatility surfaces. The comparative evaluation of the three-dimensional kernel smoother by OptionMetrics (IvyDB US file and data reference manual, version 5.2, Rev. 01/27/2022, Computer software manual, New York, 2022), the semi-parametric spline by Figlewski (in: Robert F. Engle (ed) Estimating the implied risk neutral density. Volatility and time series econometrics: Essays in honor, Oxford University Press, Oxford, 2008), and a refined one-dimensional kernel smoother reveals the distinct superiority of the latter. This method consistently outperforms its counterparts across all moneyness, maturity, and liquidity categories, with markedly lower error metrics. The study further uncovers significant distortions in the extraction of Bakshi et al. (Rev Financ Stud 16:101–143, 2003) moments and skewness spanning induced by the noise-infused three-dimensional kernel smoother, which could potentially mislead derivative pricing and trading decisions. The findings offer valuable insights to traders, risk managers, investors, and researchers, suggesting a robust, one-size-fits-all method for crafting more accurate and less noisy volatility predictions. The research advances our understanding of option-implied information, its extraction, and broader implications for financial markets.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136279703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Continuity correction: on the pricing of discrete double barrier options 连续性修正：关于离散双障碍期权的定价

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2022-11-24 DOI: 10.1007/s11147-022-09193-z

S. Luo, Hsin-Chieh Wong

引用次数: 0