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Review of Derivatives Research最新文献

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Rainbow trend options: valuation and applications 彩虹趋势期权：估值和应用
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-10-05 DOI: 10.1007/s11147-016-9125-z
Jr-Yan Wang, Hsiao-Chuan Wang, Yi-Chen Ko, Mao-Wei Hung
{"title":"Rainbow trend options: valuation and applications","authors":"Jr-Yan Wang, Hsiao-Chuan Wang, Yi-Chen Ko, Mao-Wei Hung","doi":"10.1007/s11147-016-9125-z","DOIUrl":"https://doi.org/10.1007/s11147-016-9125-z","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"91 - 133"},"PeriodicalIF":0.8,"publicationDate":"2016-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9125-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47877178","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
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 : 2016-08-19 DOI: 10.2139/ssrn.2742225
Horatio Cuesdeanu, J. Jackwerth
{"title":"The pricing kernel puzzle in forward looking data","authors":"Horatio Cuesdeanu, J. Jackwerth","doi":"10.2139/ssrn.2742225","DOIUrl":"https://doi.org/10.2139/ssrn.2742225","url":null,"abstract":"The pricing kernel puzzle concerns the locally increasing empirical pricing kernel, which is inconsistent with a risk-averse representative investor in a single period, single state variable setting. Some recent papers worry that the puzzle is caused simply by the mismatch of backward looking subjective and forward looking risk-neutral distributions of index returns. By using a novel test and forward looking information only, we generally confirm the existence of a u-shaped pricing kernel puzzle in the S&P 500 options data. The evidence is weaker for tests against an alternative with a risk-neutral investor and for longer horizons.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"253-276"},"PeriodicalIF":0.8,"publicationDate":"2016-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68282939","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: 33
A bias in the volatility smile 波动微笑中的偏见
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-06-16 DOI: 10.1007/s11147-016-9124-0
D. Chance, Thomas A. Hanson, Weiping Li, J. Muthuswamy
{"title":"A bias in the volatility smile","authors":"D. Chance, Thomas A. Hanson, Weiping Li, J. Muthuswamy","doi":"10.1007/s11147-016-9124-0","DOIUrl":"https://doi.org/10.1007/s11147-016-9124-0","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"47 - 90"},"PeriodicalIF":0.8,"publicationDate":"2016-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9124-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44001737","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
Structural default model with mutual obligations 具有相互义务的结构性违约模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-06-06 DOI: 10.1007/s11147-016-9123-1
A. Itkin, A. Lipton
{"title":"Structural default model with mutual obligations","authors":"A. Itkin, A. Lipton","doi":"10.1007/s11147-016-9123-1","DOIUrl":"https://doi.org/10.1007/s11147-016-9123-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"15 - 46"},"PeriodicalIF":0.8,"publicationDate":"2016-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9123-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907494","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: 9
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 : 2016-06-03 DOI: 10.2139/ssrn.2789314
G. Dorfleitner, J. Gerer
{"title":"Time consistent pricing of options with embedded decisions","authors":"G. Dorfleitner, J. Gerer","doi":"10.2139/ssrn.2789314","DOIUrl":"https://doi.org/10.2139/ssrn.2789314","url":null,"abstract":"Many financial contracts are equipped with exercise rights or other features enabling the parties to actively shape the contract’s payoff. These decisions pose a great challenge for the pricing and hedging of such contracts. The existing literature deals with these decisions by providing methods for specific contracts that are not easily transferable to other models. In this paper we present a framework that allows us to separate the treatment of the decisions from the pricing problem and derive a general pricing principle for the price of an option with decisions by both parties. To accomplish this, we present a general version of the duality between acceptance sets and pricing functions, and use it to translate the pricing problem into the language of acceptance. Expressing certain aspects of economic behavior in this language is sufficient to fully eliminate the decisions from the problem. Further, we demonstrate why time consistent pricing functions are crucial when dealing with options with embedded decisions and how the pricing functions used in many contributions can be derived if time consistency is added to our minimal set of assumptions.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"85-119"},"PeriodicalIF":0.8,"publicationDate":"2016-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2789314","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68325353","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
Empirical performance of reduced-form models for emission permit prices 排污许可价格简化模型的实证表现
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-06-02 DOI: 10.2139/ssrn.2297121
Steffen Hitzemann, M. Uhrig-Homburg
{"title":"Empirical performance of reduced-form models for emission permit prices","authors":"Steffen Hitzemann, M. Uhrig-Homburg","doi":"10.2139/ssrn.2297121","DOIUrl":"https://doi.org/10.2139/ssrn.2297121","url":null,"abstract":"The value of emission permits in environmental markets derives from the particular design features of the underlying cap-and-trade system. In this paper, we evaluate a model framework for the price dynamics of emission permits which accounts for these features in a reduced-form way. Based on permit futures and option data from the European Union Emissions Trading System, the world’s largest environmental market, we show that model variants which represent the design of the system most accurately provide the best fit to historical futures prices and achieve the best option pricing performance. Our results suggest that the specific design of cap-and-trade systems directly translates to the dynamic properties of emission permit prices, and that models tailored to environmental markets are the best choice for related pricing and risk management decisions.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"1 1","pages":"1-30"},"PeriodicalIF":0.8,"publicationDate":"2016-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2297121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68076125","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
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 : 2016-05-17 DOI: 10.2139/ssrn.2764759
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":"10.2139/ssrn.2764759","DOIUrl":"https://doi.org/10.2139/ssrn.2764759","url":null,"abstract":"In order to solve the problem of optimal discrete hedging of American options, this paper utilizes an integrated approach in which the writer’s decisions (including hedging decisions) and the holder’s decisions are treated on equal footing. From basic principles expressed in the language of acceptance sets we derive a general pricing and hedging formula and apply it to American options. The result combines the important aspects of the problem into one price. It finds the optimal compromise between risk reduction and transaction costs, i.e. optimally placed rebalancing times. Moreover, it accounts for the interplay between the early exercise and hedging decisions. We then perform a numerical calculation to compare the price of an agent who has exponential preferences and uses our method of optimal hedging against a delta hedger. The results show that the optimal hedging strategy is influenced by the early exercise boundary and that the worst case holder behavior for a sub-optimal hedger significantly deviates from the classical Black–Scholes exercise boundary.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"175-199"},"PeriodicalIF":0.8,"publicationDate":"2016-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2764759","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68302149","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
Implied risk aversion: an alternative rating system for retail structured products 隐含风险厌恶:零售结构性产品的另类评级体系
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-05-15 DOI: 10.2139/ssrn.2651135
H. Fink, S. Geissel, Jörn Sass, F. Seifried
{"title":"Implied risk aversion: an alternative rating system for retail structured products","authors":"H. Fink, S. Geissel, Jörn Sass, F. Seifried","doi":"10.2139/ssrn.2651135","DOIUrl":"https://doi.org/10.2139/ssrn.2651135","url":null,"abstract":"This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures as introduced by Geissel et al. (Stat Risk Model 35(1–2):73–87, 2017) and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor’s risk aversion: a product is attractive for an investor if his individual relative risk aversion is smaller than the product’s implied risk aversion. We illustrate our approach in a case study with more than 15,000 short-term warrants on DAX that highlights some differences between our rating system and the traditional V@R-based approach.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"1 1","pages":"1-31"},"PeriodicalIF":0.8,"publicationDate":"2016-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2651135","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68239924","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: 9
On the multiplicity of option prices under CEV with positive elasticity of variance 方差弹性为正的CEV下期权价格的多重性
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-04-04 DOI: 10.1007/s11147-016-9122-2
D. Veestraeten
{"title":"On the multiplicity of option prices under CEV with positive elasticity of variance","authors":"D. Veestraeten","doi":"10.1007/s11147-016-9122-2","DOIUrl":"https://doi.org/10.1007/s11147-016-9122-2","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"1 - 13"},"PeriodicalIF":0.8,"publicationDate":"2016-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9122-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46650474","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
The leverage effect puzzle: the case of European sovereign credit default swap market 杠杆效应之谜:以欧洲主权信用违约互换市场为例
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-03-17 DOI: 10.1007/s11147-016-9121-3
Agata Kliber
{"title":"The leverage effect puzzle: the case of European sovereign credit default swap market","authors":"Agata Kliber","doi":"10.1007/s11147-016-9121-3","DOIUrl":"https://doi.org/10.1007/s11147-016-9121-3","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"217 - 235"},"PeriodicalIF":0.8,"publicationDate":"2016-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9121-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907408","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
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