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  • 1
    Article
    Article
    General equilibrium pricing of options with habit formation and event risks (2011)
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    Details
    UID:
    (DE-627)666045623
    Format: graph. Darst.
    ISSN: 0304-405X
    In: Journal of financial economics, Amsterdam [u.a.] : Elsevier, 1974, 99(2011), 2 vom: Feb., Seite 400-426, 0304-405X
    In: volume:99
    In: year:2011
    In: number:2
    In: month:02
    In: pages:400-426
    Language: English
    Keywords: Aufsatz in Zeitschrift
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    GBV
  • 2
    Online Resource
    Online Resource
    General Formulas for Valuing Stocks and Bonds with Structural Changes (2010)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1781227993
    Format: 1 Online-Ressource (59 p)
    Content: Previous studies have documented the impacts on asset valuations under pricing environments with structural changes which is modeled by regime switching. Below, I extend previous models by providing general formulas for valuing assets in the setting of affine factor processes augmented with regime switching (ARS). Based on the extended version of Feyman-Kac theorem, I find closed forms for the prices of both stocks and bonds under ARS with an arbitrary number of factors and regimes. Compared with the other two setups in finance which both work for single-regime scenarios: the linearity generating processes and the affine jump-diffusion models, I document that ARS is more flexible in modeling to accomodate empirical regularities. Next, I investigate several applications which illustrate the power of the general formulas in terms of i) establishing links among existing models in different areas; and ii) providing a convenient way to conceive new tractable models with desired features. A calibrated three-regime consumption-based Peso problem model shows that regime switching provides a simple way to understand the empirically observed yield curves
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 12, 2009 erstellt
    Language: Undetermined
    DOI: 10.2139/ssrn.1365744
    URL: kostenfrei
    URL: kostenfrei
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  • 3
    Article
    Article
    General equilibrium pricing of currency and currency options (2013)
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    Details
    UID:
    (DE-627)780656695
    Format: graph. Darst.
    ISSN: 0304-405X
    In: Journal of financial economics, Amsterdam [u.a.] : Elsevier, 1974, 110(2013), 3 vom: Dez., Seite 730-751, 0304-405X
    In: volume:110
    In: year:2013
    In: number:3
    In: month:12
    In: pages:730-751
    Language: English
    Keywords: Aufsatz in Zeitschrift
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  • 4
    Online Resource
    Online Resource
    General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility (2010)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1793204489
    Format: 1 Online-Ressource (55 p)
    Content: This paper proposes a preference-based general equilibrium model that explains various pricing features of currency and currency options. The central ingredients are i) a variable disaster component that is highly but imperfectly shared across countries, and ii) the separation of EIS from risk aversion facilitated by the Epstein-Zin preference which enables the direct pricing of disaster risks. The predominant global disaster component reconcile the discrepancy between poorly shared consumption shocks and high risk sharing implied from the smooth exchange rate series. When investors strongly prefer earlier resolutions of intertemporal risks, positive shocks on home disaster intensity produce foreign currency premium large enough to offset the associated decreases of home interest rate. As the result, the foreign currency which pays higher interest rate tends to appreciate. Country-specific disasters move independently, and they induce skewness in exchange rate changes with opposite signs, which generates the substantial variations in option risk reversal as a measure of the skewness. The model also accounts for the aggregate stock and option market behaviors
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2010 erstellt
    Language: English
    DOI: 10.2139/ssrn.1570502
    URL: kostenfrei
    URL: kostenfrei
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  • 5
    Book
    Book
    Foreign takeover bids in China and the Netherlands : a comparative study of its legislative design (2020)
    The Hague : Eleven International Publishing
    Details
    UID:
    (DE-602)gbv_1749478455
    Format: xvii, 342 Seiten , Illustrationen , 25 cm
    ISBN: 9789462361669 , 9462361665
    Language: English
    Keywords: China ; Niederlande ; Auslandsinvestition ; Unternehmenskauf ; Takeover ; Recht
    URL: Inhaltsverzeichnis
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    Stabi Berlin get availability status
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  • 6
    Online Resource
    Online Resource
    General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility (2010)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1793228361
    Format: 1 Online-Ressource (56 p)
    Content: This paper proposes a preference-based general equilibrium model that explains various pricing features of currency and currency options. The central ingredients are i) a variable disaster component that is highly but imperfectly shared across countries; and ii) the separation of EIS from risk aversion facilitated by the Epstein-Zin preference which enables the direct pricing of disaster risks. The predominant global disaster component reconcile the discrepancy between poorly shared consumption shocks and high risk sharing implied from the smooth exchange rate series. When investors prefer intertemporal risk to resolve sooner than later, shocks on home disaster intensity produce the negative correlation between the home interest rate and the premia demanded for holding foreign bonds, which explains why high interest paying currencies tend to appreciate. Country-specific disasters move independently, and they induce skewness in exchange rate changes with opposite signs, which generates the substantial variations in option risk reversal as a measure of the skewness. The model also accounts for the aggregate stock and option market behaviors
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 10, 2010 erstellt
    Language: English
    DOI: 10.2139/ssrn.1534365
    URL: kostenfrei
    URL: kostenfrei
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  • 7
    Book
    Book
    Option pricing under habit formation and event risks (2007)
    Hong Kong
    Details
    UID:
    (DE-627)557506174
    Format: 63 S. , graph. Darst.
    Series Statement: Discussion paper series / School of Economics and Finance, the University of Hong Kong 567
    Language: English
    Keywords: Arbeitspapier ; Graue Literatur
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  • 8
    Online Resource
    Online Resource
    Foreign Takeover Bids in China and the Netherlands : A Comparative Study of Its Legislative Design (2020)
    The Hague : Boom Uitgevers Den Haag | Ann Arbor, Michigan : ProQuest
    Details
    UID:
    (DE-603)514218495
    Format: 1 Online-Ressource (362 pages)
    Edition: 1st ed.
    ISBN: 9789059317895
    Note: Description based on publisher supplied metadata and other sources
    Language: English
    Keywords: Electronic books
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    Online Resource
    HeBIS
  • 9
    Online Resource
    Online Resource
    General Equilibrium Pricing of Options with Habit Formation and Event Risks (2009)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1793266557
    Format: 1 Online-Ressource (61 p)
    Content: This paper proposes a preference-based general equilibrium model that explains the pricing of the S&P 500 index options since the 1987 market crash. The central ingredients are a peso component in the consumption growth rate and the time-varying risk aversion induced by habit formation that amplifies consumption shocks. The amplifying effect generates the excess volatility and a large jump-risk premium which combine to produce a pronounced volatility smirk for options written on the aggregate stock. The time-varying volatility and jump-risk premia enable the model to account for the state-dependent smirk patterns observed in the data as well. Besides volatility smirks, the model has a variety of other pricing implications, such as the high equity premium, the option term structure, and variations of price-dividend ratios across time, which are broadly consistent with the aggregate stock and option market data
    Note: In: Journal of Financial Economics, Forthcoming , Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 26, 2009 erstellt
    Language: English
    URL: kostenfrei
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  • 10
    Online Resource
    Online Resource
    How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options Data (2008)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1781453411
    Format: 1 Online-Ressource (65 p)
    Content: This paper proposes a new methodology of using the Samp;P 500 index option data to gauge the magnitudes of the potential economic disasters in the U.S. with a setup incorporating a small-probability consumption jump and habit formation. The estimated economic disasters strike once every 36-64 years in the form of 13.5-17.6% consumption contractions, which induce 36-56% stock market crashes. These results are much more in line with the empirical observations than those estimated with Peso problem models in which habit formation is ignored. The setup also explains a wide variety of the observed pricing features of both options and stocks
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 18, 2008 erstellt
    Language: Undetermined
    DOI: 10.2139/ssrn.1150472
    URL: kostenfrei
    URL: kostenfrei
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