发布求助
文献互助 智能选刊 最新文献

Review of Derivatives Research最新文献

筛选
英文 中文
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods 考虑随机便利收益率、利率和交易对手信用风险的商品挂钩债券定价:Mellin变换方法的应用
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-07-17 DOI: 10.1007/s11147-021-09181-9
Zonggang Ma, Chaoqun Ma, Zhijian Wu
{"title":"Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods","authors":"Zonggang Ma, Chaoqun Ma, Zhijian Wu","doi":"10.1007/s11147-021-09181-9","DOIUrl":"https://doi.org/10.1007/s11147-021-09181-9","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"47 - 91"},"PeriodicalIF":0.8,"publicationDate":"2021-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-021-09181-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908856","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
Optimal exercise of American put options near maturity: A new economic perspective 接近到期的美式看跌期权的最优行权:一个新的经济学视角
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-06-28 DOI: 10.1007/s11147-021-09180-w
Anna Battauz, Marzia De Donno, Janusz Gajda, Alessandro Sbuelz
{"title":"Optimal exercise of American put options near maturity: A new economic perspective","authors":"Anna Battauz, Marzia De Donno, Janusz Gajda, Alessandro Sbuelz","doi":"10.1007/s11147-021-09180-w","DOIUrl":"https://doi.org/10.1007/s11147-021-09180-w","url":null,"abstract":"<p>The critical price <span>(S^{*}left( tright) )</span> of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide a new perspective on the determination of the critical price near the option maturity <i>T</i> when the jump-adjusted dividend yield of the underlying stock is either greater than or weakly smaller than the riskfree rate. Firstly, we prove that <span>(S^{*}left( tright) )</span> coincides with the critical price of the covered American put (a portfolio that is long in the put as well as in the stock). Secondly, we show that the stock price that represents the indifference point between exercising the covered put and waiting until <i>T</i> is the European-put critical price, at which the European put is worth its intrinsic value. Finally, we prove that the indifference point’s behavior at <i>T</i> equals <span>(S^{*}left( tright) )</span>’s behavior at <i>T</i> when the stock price is either a geometric Brownian motion or a jump-diffusion. Our results provide a thorough economic analysis of <span>(S^{*}left( tright) )</span> and rigorously show the correspondence of an American option problem to an easier European option problem at maturity .</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"39 3","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513649","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: 1
Valuing fade-in options with default risk in Heston–Nandi GARCH models 在Heston-Nandi GARCH模型中对带有违约风险的渐入期权进行估值
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-06-11 DOI: 10.1007/s11147-021-09179-3
Xingchun Wang
{"title":"Valuing fade-in options with default risk in Heston–Nandi GARCH models","authors":"Xingchun Wang","doi":"10.1007/s11147-021-09179-3","DOIUrl":"https://doi.org/10.1007/s11147-021-09179-3","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"1 - 22"},"PeriodicalIF":0.8,"publicationDate":"2021-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-021-09179-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908844","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: 3
Does model complexity improve pricing accuracy? The case of CoCos 模型复杂性是否提高了定价的准确性?CoCos的案例
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-05-12 DOI: 10.1007/s11147-021-09178-4
Christian Koziol, Sebastian Weitz
{"title":"Does model complexity improve pricing accuracy? The case of CoCos","authors":"Christian Koziol, Sebastian Weitz","doi":"10.1007/s11147-021-09178-4","DOIUrl":"https://doi.org/10.1007/s11147-021-09178-4","url":null,"abstract":"<p>In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out-of-sample pricing ability of four models using a broad dataset that contains all CoCos which were issued between January 1, 2013 and May 31, 2016 in euros. The regarded models include the standard model from De Spiegeleer and Schoutens (J Deriv 20:27–36, 2012), a modified version enriched by credit risk, an extended model that accounts for the effective lifetime of the CoCo, and a trading model, solely based on historic market prices but no pricing theory at all. For a normal market environment, the simple trading model provides a higher pricing accuracy than the theory-based models. Under distress, however, a theory-based model with a sufficiently high complexity is required.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"41 2","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513646","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: 2
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 利率互换:每日复合参考利率与离散参考利率的比较
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-05-07 DOI: 10.1007/s11147-022-09191-1
R. Jarrow, Siguang Li
{"title":"Interest rate swaps: a comparison of compounded daily versus discrete reference rates","authors":"R. Jarrow, Siguang Li","doi":"10.1007/s11147-022-09191-1","DOIUrl":"https://doi.org/10.1007/s11147-022-09191-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"26 1","pages":"1-21"},"PeriodicalIF":0.8,"publicationDate":"2021-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42809598","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 vulnerable options with jump risk and liquidity risk 具有跳跃风险和流动性风险的脆弱期权定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-03-17 DOI: 10.1007/s11147-021-09177-5
Xingchun Wang
{"title":"Pricing vulnerable options with jump risk and liquidity risk","authors":"Xingchun Wang","doi":"10.1007/s11147-021-09177-5","DOIUrl":"https://doi.org/10.1007/s11147-021-09177-5","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"243 - 260"},"PeriodicalIF":0.8,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-021-09177-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908836","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: 6
Mean-variance hedging in the presence of estimation risk 存在估计风险的均值-方差套期保值
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-02-11 DOI: 10.1007/s11147-021-09176-6
Wan-Yi Chiu
{"title":"Mean-variance hedging in the presence of estimation risk","authors":"Wan-Yi Chiu","doi":"10.1007/s11147-021-09176-6","DOIUrl":"https://doi.org/10.1007/s11147-021-09176-6","url":null,"abstract":"<p>The mean-variance hedging (MVH) with a significant risk-aversion coefficient is approximately equal to the minimum-variance (MV) hedge. However, how large the risk-aversion coefficient should be in practice? We determine the boundaries of risk-aversion coefficients that significantly distinguish the MV hedge and the MVH based on the different magnitudes of statistical errors in the presence of estimation risk. Based on the hedged variance, hedged return, and hedge ratio, we show that the MV hedge is statistically justified for MVH investor with an extensive range of risk-aversion coefficients. Additionally, the upper bound of the significant risk-aversion coefficient is positively related to the squared information ratio of futures.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"39 5","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513648","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: 2
Idiosyncratic volatility, option-based measures of informed trading, and investor attention 特殊波动率、基于期权的知情交易指标和投资者关注
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-01-28 DOI: 10.1007/s11147-021-09175-7
Hannes Mohrschladt, Judith C. Schneider
{"title":"Idiosyncratic volatility, option-based measures of informed trading, and investor attention","authors":"Hannes Mohrschladt, Judith C. Schneider","doi":"10.1007/s11147-021-09175-7","DOIUrl":"https://doi.org/10.1007/s11147-021-09175-7","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"197 - 220"},"PeriodicalIF":0.8,"publicationDate":"2021-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-021-09175-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908792","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: 2
Bayesian estimation of the stochastic volatility model with double exponential jumps 双指数跳变随机波动模型的贝叶斯估计
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-01-01 DOI: 10.1007/s11147-020-09173-1
Jinzhi Li
{"title":"Bayesian estimation of the stochastic volatility model with double exponential jumps","authors":"Jinzhi Li","doi":"10.1007/s11147-020-09173-1","DOIUrl":"https://doi.org/10.1007/s11147-020-09173-1","url":null,"abstract":"<p>This paper generalizes the stochastic volatility model to allow for the double exponential jumps. To derive the jumps and time-varying volatility in returns, we implement an efficient Markov chain Monte Carlo approach based on the band and sparse matrix algorithms used in Chan and Hsiao (SSRN Electron J., 2013, https://doi.org/10.2139/ssrn.2359838) to estimate this model. We illustrate the the methodology using the daily data for the Shanghai Composite Index, Hangseng Index, Nikkei 225 Index and Kospi Index. We find that the stochastic volatility model with double exponential jumps provide better fitness in sample period.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"37 4","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513652","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: 1
The impact of the leverage effect on the implied volatility smile: evidence for the German option market 杠杆效应对隐含波动率的影响:德国期权市场的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-09-15 DOI: 10.1007/s11147-020-09171-3
A. Rathgeber, J. Stadler, S. Stöckl
{"title":"The impact of the leverage effect on the implied volatility smile: evidence for the German option market","authors":"A. Rathgeber, J. Stadler, S. Stöckl","doi":"10.1007/s11147-020-09171-3","DOIUrl":"https://doi.org/10.1007/s11147-020-09171-3","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"95 - 133"},"PeriodicalIF":0.8,"publicationDate":"2020-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-020-09171-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41514289","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: 3
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信