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Review of Derivatives Research最新文献

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An empirical investigation of large trader market manipulation in derivatives markets 衍生品市场中大型交易商市场操纵的实证研究
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-04-18 DOI: 10.1007/s11147-018-9143-0
Robert Jarrow, Scott Fung, Shih-Chuan Tsai
{"title":"An empirical investigation of large trader market manipulation in derivatives markets","authors":"Robert Jarrow, Scott Fung, Shih-Chuan Tsai","doi":"10.1007/s11147-018-9143-0","DOIUrl":"https://doi.org/10.1007/s11147-018-9143-0","url":null,"abstract":"Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. First, large trader’s option positions have a quantity impact on the underlying asset’s price. Second, large traders generate significantly positive alphas from trading options and futures. Among the different investor types, proprietary dealers generate the largest positive alphas. Third, these abnormal returns are consistent with strategic trading and cross-market manipulation. The evidence supports market manipulation across the options and futures markets, but not within the futures market itself.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"5 ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2018-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524742","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
Dynamic hedging with futures: a copula-based GARCH model with high-frequency data 期货动态对冲:高频数据下基于copula的GARCH模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-02-20 DOI: 10.1007/s11147-018-9142-1
Yu‐Sheng Lai
{"title":"Dynamic hedging with futures: a copula-based GARCH model with high-frequency data","authors":"Yu‐Sheng Lai","doi":"10.1007/s11147-018-9142-1","DOIUrl":"https://doi.org/10.1007/s11147-018-9142-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"307 - 329"},"PeriodicalIF":0.8,"publicationDate":"2018-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9142-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907729","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: 8
A model-free approach to multivariate option pricing 多元期权定价的无模型方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-02-01 DOI: 10.1007/s11147-020-09172-2
C. Bernard, Oleg Bondarenko, S. Vanduffel
{"title":"A model-free approach to multivariate option pricing","authors":"C. Bernard, Oleg Bondarenko, S. Vanduffel","doi":"10.1007/s11147-020-09172-2","DOIUrl":"https://doi.org/10.1007/s11147-020-09172-2","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"135 - 155"},"PeriodicalIF":0.8,"publicationDate":"2018-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-020-09172-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908617","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
GARCH option pricing models with Meixner innovations GARCH期权定价模型与迈克斯纳创新
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-12-26 DOI: 10.1007/s11147-017-9141-7
Matthias R. Fengler, A. Melnikov
{"title":"GARCH option pricing models with Meixner innovations","authors":"Matthias R. Fengler, A. Melnikov","doi":"10.1007/s11147-017-9141-7","DOIUrl":"https://doi.org/10.1007/s11147-017-9141-7","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"277 - 305"},"PeriodicalIF":0.8,"publicationDate":"2017-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9141-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907607","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 pricing kernel puzzle in forward looking data 前瞻性数据中的定价核心难题
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-11-08 DOI: 10.1007/s11147-017-9140-8
Horatio Cuesdeanu, J. Jackwerth
{"title":"The pricing kernel puzzle in forward looking data","authors":"Horatio Cuesdeanu, J. Jackwerth","doi":"10.1007/s11147-017-9140-8","DOIUrl":"https://doi.org/10.1007/s11147-017-9140-8","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"253 - 276"},"PeriodicalIF":0.8,"publicationDate":"2017-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9140-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46628525","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: 5
A general closed form option pricing formula 一个通用的封闭式期权定价公式
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-10-30 DOI: 10.2139/ssrn.2210359
C. Necula, Gabriel G. Drimus, W. Farkas
{"title":"A general closed form option pricing formula","authors":"C. Necula, Gabriel G. Drimus, W. Farkas","doi":"10.2139/ssrn.2210359","DOIUrl":"https://doi.org/10.2139/ssrn.2210359","url":null,"abstract":"A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram–Charlier series expansion, known as the Gauss–Hermite expansion. This expansion converges for fat-tailed distributions commonly encountered in the study of financial returns. The expansion coefficients can be calibrated from observed option prices and can also be computed, for example, in models with the probability density function or the characteristic function known in closed form. We investigate the properties of the new option pricing model by calibrating it to both real-world and simulated option prices and find that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on an extensive empirical study, we conclude that the new approximation method outperforms other methods both in-sample and out-of-sample.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"1-40"},"PeriodicalIF":0.8,"publicationDate":"2017-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2210359","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48777028","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: 14
Pricing exotic options in a regime switching economy: a Fourier transform method 制度转换经济中奇异期权定价的傅立叶变换方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-09-25 DOI: 10.1007/s11147-017-9139-1
P. Hieber
{"title":"Pricing exotic options in a regime switching economy: a Fourier transform method","authors":"P. Hieber","doi":"10.1007/s11147-017-9139-1","DOIUrl":"https://doi.org/10.1007/s11147-017-9139-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"231 - 252"},"PeriodicalIF":0.8,"publicationDate":"2017-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9139-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49488967","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: 14
The volatility target effect in structured investment products with capital protection 保本结构性投资产品的波动目标效应
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-08-18 DOI: 10.1007/s11147-017-9138-2
Sergio Albeverio, Victoria Steblovskaya, Kai Wallbaum
{"title":"The volatility target effect in structured investment products with capital protection","authors":"Sergio Albeverio, Victoria Steblovskaya, Kai Wallbaum","doi":"10.1007/s11147-017-9138-2","DOIUrl":"https://doi.org/10.1007/s11147-017-9138-2","url":null,"abstract":"Designing a structured investment product with capital protection which would be characterized by high capital protection level as well as high equity participation rate is a challenging task in the current market environment. Low interest rates and high volatility levels negatively affect the above key parameters of such investment products. One way to increase the participation rate of a structured investment product with a fixed capital protection level is to use a volatility target (VolTarget) strategy as an underlying asset for a financial option embedded in such a product. We introduce an extended VolTarget mechanism with interest rate dependent volatility target levels and provide a detailed comparative numerical study of European options linked to VolTarget strategies within a hybrid Heston–Vasičec model with stochastic volatility and stochastic interest rate.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"68 3","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524775","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: 10
Risk-adjusted option-implied moments 风险调整后的期权隐含时刻
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-08-02 DOI: 10.1007/s11147-017-9136-4
Felix Brinkmann, O. Korn
{"title":"Risk-adjusted option-implied moments","authors":"Felix Brinkmann, O. Korn","doi":"10.1007/s11147-017-9136-4","DOIUrl":"https://doi.org/10.1007/s11147-017-9136-4","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"149 - 173"},"PeriodicalIF":0.8,"publicationDate":"2017-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9136-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43095205","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
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions 美国期权的最优离散套期保值，采用综合方法处理复杂的内嵌决策
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-07-20 DOI: 10.1007/s11147-017-9137-3
J. Gerer, G. Dorfleitner
{"title":"Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions","authors":"J. Gerer, G. Dorfleitner","doi":"10.1007/s11147-017-9137-3","DOIUrl":"https://doi.org/10.1007/s11147-017-9137-3","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"175 - 199"},"PeriodicalIF":0.8,"publicationDate":"2017-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9137-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44549502","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
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