Review of Derivatives Research最新文献

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Portfolio construction using bootstrapping neural networks: evidence from global stock market 利用自举神经网络构建投资组合:来自全球股市的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-07-25 DOI: 10.1007/s11147-019-09163-y
Hsiao-Fen Hsiao, Jiang-Chuan Huang, Zheng-Wei Lin
{"title":"Portfolio construction using bootstrapping neural networks: evidence from global stock market","authors":"Hsiao-Fen Hsiao, Jiang-Chuan Huang, Zheng-Wei Lin","doi":"10.1007/s11147-019-09163-y","DOIUrl":"https://doi.org/10.1007/s11147-019-09163-y","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"227 - 247"},"PeriodicalIF":0.8,"publicationDate":"2019-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09163-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48917914","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
Approaching rainfall-based weather derivatives pricing and operational challenges 接近基于降雨的天气衍生品定价和操作挑战
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-07-08 DOI: 10.1007/s11147-019-09161-0
Andrea Martínez Salgueiro, Maria-Antonia Tarrazon-Rodon
{"title":"Approaching rainfall-based weather derivatives pricing and operational challenges","authors":"Andrea Martínez Salgueiro, Maria-Antonia Tarrazon-Rodon","doi":"10.1007/s11147-019-09161-0","DOIUrl":"https://doi.org/10.1007/s11147-019-09161-0","url":null,"abstract":"This article approaches some of the current rainfall derivatives pricing and operational challenges through an empirical application to Comunidad Valenciana, Spain. Regarding the former, two different issues are addressed. First, we examine the rightness of suggesting the Gamma distribution to price rainfall contracts, which is the alternative chosen by previous authors applying the Index Value Simulation technique. This is done for the purpose of determining whether the consideration and comparison of other alternatives may lead to more accurate valuation results. Concretely, two different distributions, in addition to the Gamma, are proposed: the exponential and the mixed exponential, whose fits are assessed through the Kolmogorov–Smirnov/Lilliefors test and graphical analyses. The outcomes attained indicate that this selection process leads indeed to a precise generation of the rainfall index’s moments. Next, we examine the viability of using a unique distribution to model the rainfall risk of regions located nearby, since this would considerably decrease valuation complexity. Our analysis shows that the most convenient choice depends on the period and location considered, although the mixed exponential appears as a reasonable option in most cases. Finally, a relevant operational challenge related to geographical basis risk is approached. Concretely, an evaluation of this type of risk among the locations studied is conducted. The results attained indicate that, given the insufficient degree of correlation between nearby locations, rainfall risk hedging measures may rely on compound derivatives referred to several neighbor stations.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"348 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542851","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
Yield curves from different bond data sets 不同债券数据集的收益率曲线
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-07-05 DOI: 10.1007/s11147-019-09162-z
Antonio Díaz, Francisco Jareño, Eliseo Navarro
{"title":"Yield curves from different bond data sets","authors":"Antonio Díaz, Francisco Jareño, Eliseo Navarro","doi":"10.1007/s11147-019-09162-z","DOIUrl":"https://doi.org/10.1007/s11147-019-09162-z","url":null,"abstract":"It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which the set of security prices used in the yield curve construction of three popular interest rate datasets (from the Federal Reserve Board, the US Department of the Treasury, and Bloomberg) may determine the results of different analyses. Using the same US Treasury prices from GovPX and applying the same fitting technique, we estimate zero coupon rates using different baskets of assets, i.e., including/excluding bills, on-the-run, and off-the-run bonds, attempting to mimic those used by each data providers. To illustrate the uncertainty surrounding these alternatives representations of the underlying yield curve, we examine common uses of these data sets in pricing, risk management and macroeconomic purposes. We find significant and sometime overwhelming differences in the volatility term structure, the pricing of interest rate derivatives, and the correlations among different forward rates particularly in both ends of the yield curve. Relevant implications are also observed on a classic test of the expectations hypothesis. The simplest asset basket, which only includes the on-the-run bills and bonds, is probably the one with the best results.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"14 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542862","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
A generalization of option pricing to price-limit markets 对价格限制市场的期权定价的概括
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-07-03 DOI: 10.1007/s11147-019-09160-1
Jia‐Hau Guo, Lung‐Fu Chang
{"title":"A generalization of option pricing to price-limit markets","authors":"Jia‐Hau Guo, Lung‐Fu Chang","doi":"10.1007/s11147-019-09160-1","DOIUrl":"https://doi.org/10.1007/s11147-019-09160-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"145 - 161"},"PeriodicalIF":0.8,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09160-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908444","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
Time consistent pricing of options with embedded decisions 具有内嵌决策的期权时间一致性定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-05-04 DOI: 10.1007/s11147-019-09158-9
G. Dorfleitner, J. Gerer
{"title":"Time consistent pricing of options with embedded decisions","authors":"G. Dorfleitner, J. Gerer","doi":"10.1007/s11147-019-09158-9","DOIUrl":"https://doi.org/10.1007/s11147-019-09158-9","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"85 - 119"},"PeriodicalIF":0.8,"publicationDate":"2019-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09158-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44754357","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
The global minimum variance hedge 全局最小方差对冲
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-04-30 DOI: 10.1007/s11147-019-09159-8
Wan-Yi Chiu
{"title":"The global minimum variance hedge","authors":"Wan-Yi Chiu","doi":"10.1007/s11147-019-09159-8","DOIUrl":"https://doi.org/10.1007/s11147-019-09159-8","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"121 - 144"},"PeriodicalIF":0.8,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09159-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908236","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
Valuing American-style options under the CEV model: an integral representation based method CEV模型下的美式期权价值评估:基于积分表示的方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-04-29 DOI: 10.1007/s11147-019-09157-w
Aricson Cruz, José Carlos Dias
{"title":"Valuing American-style options under the CEV model: an integral representation based method","authors":"Aricson Cruz, José Carlos Dias","doi":"10.1007/s11147-019-09157-w","DOIUrl":"https://doi.org/10.1007/s11147-019-09157-w","url":null,"abstract":"This article derives a new integral representation of the early exercise boundary for valuing American-style options under the constant elasticity of variance (CEV) model. An important feature of this novel early exercise boundary characterization is that it does not involve the usual (time) recursive procedure that is commonly employed in the so-called integral representation approach well known in the literature. Our non-time recursive pricing method is shown to be analytically tractable under the local volatility CEV process and the numerical experiments demonstrate its robustness and accuracy.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513657","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
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints 基于无套利约束的局部多项式核平滑的期权价格条件风险中性密度
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-03-20 DOI: 10.1007/s11147-019-09156-x
Ana M. Monteiro, Antonio A. F. Santos
{"title":"Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints","authors":"Ana M. Monteiro, Antonio A. F. Santos","doi":"10.1007/s11147-019-09156-x","DOIUrl":"https://doi.org/10.1007/s11147-019-09156-x","url":null,"abstract":"A new approach is considered to estimate risk-neutral densities (RND) within a kernel regression framework, through local cubic polynomial estimation using intraday data. There is a new strategy for the definition of a criterion function used in nonparametric regression that includes calls, puts, and weights in the optimization problem associated with parameters estimation. No-arbitrage constraints are incorporated into the problem through equality and bound constraints. The approach considered yields directly density functions of interest with minimum requirements needed. Within a simulation framework, it is demonstrated the robustness of proposed procedures. Additionally, RNDs are estimated through option prices associated with two indices, S&P500 and VIX.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"43 3","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513636","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: 4
Option-implied Value-at-Risk and the cross-section of stock returns 期权隐含风险价值与股票收益的横截面
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-03-04 DOI: 10.1007/s11147-019-09154-z
Manuel Ammann, Alexander Feser
{"title":"Option-implied Value-at-Risk and the cross-section of stock returns","authors":"Manuel Ammann, Alexander Feser","doi":"10.1007/s11147-019-09154-z","DOIUrl":"https://doi.org/10.1007/s11147-019-09154-z","url":null,"abstract":"Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, we show that option-implied information is priced differently depending on whether it is based on options with strikes close to the current price of the underlying or far-out-of-the-money options. If the rVaR is estimated from options close-to-the-money, i.e., the 50% rVaR, stocks with high risk outperform stocks with low risk by 0.60% per month, in line with downside risk-averse investors. In contrast, if rVaR is estimated from far-out-of-the-money options, i.e., the 90% rVaR, stocks with high risk underperform stocks with low risk by 0.42% per month, implying that stocks with low risk have higher returns in the cross-section of returns. Our results are consistent with investors who prefer reliable information over unreliable information and explain contradictory results of prior studies.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 2","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513642","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
Empirical performance of reduced-form models for emission permit prices 排放许可证价格降阶模型的经验性能
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-01-11 DOI: 10.1007/s11147-018-09152-7
Steffen Hitzemann, M. Uhrig-Homburg
{"title":"Empirical performance of reduced-form models for emission permit prices","authors":"Steffen Hitzemann, M. Uhrig-Homburg","doi":"10.1007/s11147-018-09152-7","DOIUrl":"https://doi.org/10.1007/s11147-018-09152-7","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"389 - 418"},"PeriodicalIF":0.8,"publicationDate":"2019-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-09152-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46424018","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
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