ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
  • Articles  (1,116)
  • Blackwell Publishing Ltd  (1,116)
  • Mathematics  (1,116)
Collection
  • Articles  (1,116)
Source
Publisher
Years
Topic
  • 1
    Electronic Resource
    Electronic Resource
    A DIFFUSION MODEL FOR ELECTRICITY PRICES (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Starting from a simple supply/demand model for electricity, we obtain a diffusion (i.e., jumpless) model for spot prices which can exhibit price spikes. We estimate the parameters in the model using historical data from the Alberta and California markets. and compare this model with some others used for spot prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00125.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    PASSPORT OPTIONS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We relate the theory of passport options with general principles from martingale theory as well as with the theory of Bessel processcs. The calculation of the price of a passport option leads to an equality between two norms on continuous martingales. We also solve the discrete time case for passport options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00126.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00127.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper discusses separablc term structure diffusion models in an arbitrage-free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the particular class of polynomial term structure models. We formulate the appropriate conditions under which the diffusion for a quadratic term structure model is necessarily an Ornstein-Uhlenbeck type process. Finally, we explore the maximal degree problem and show that basically any consistent polynomial term structure model is of degree two or less.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00128.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which is traded. To model this situation, we introduce a second nontraded log Brownian asset into the well-known Merton investment model with power law and exponential utilities. The investor has an option on units of the nontraded asset and the question is how to price and hedge this random payoff. The presence of the second Brownian motion means that we are in the situation of incomplete markets. Employing utility maximization and duality methods we obtain a series approximation to the optimal hedge and reservation price using the power utility. The problem is simpler for the exponential utility, and in this case we derive an explicit representation for the price. Price and hedging strategy are computed for some example options and the results for the utilities are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00129.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 6
    Electronic Resource
    Electronic Resource
    PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00130.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 7
    Electronic Resource
    Electronic Resource
    MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The Black-Scholes option price is increasing and convex with respect to the initial stock price. increasing with respect to volatility and instantaneous interest rate, and decreasing and convex with respect to the strike price. These results have been extended in various directions. In particular, when the underlying stock price follows a one-dimensional diffusion and interest rates are deterministic, it is well known that a European contingent claim's price written on the stock with a convex (concave. respectively) payoff function is also convex (concave) with respect to the initial stock price. This paper discusses extensions of such results under more general settings by simple arguments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00131.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 8
    Electronic Resource
    Electronic Resource
    PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00132.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 9
    Electronic Resource
    Electronic Resource
    A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00133.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 10
    Electronic Resource
    Electronic Resource
    MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces a method for constructing option hedging strategies in the presence of transaction costs. the approach begins with the prescription of a large, but tractable class of strategies. A variational problem is constructed in which the expected square replication error is minimized subject to a fixed initial portfolio value from among the class of strategies. the solution of this variational problem results in a replicating strategy which simulations show outperforms strategies previously considered. We illustrate this method in a particular class of strategies which contains Leland's discrete time replication scheme. We show that a strategy which uses varying time intervals between hedging can significantly reduce replication error for a given initial wealth. We will also construct and assess strategies obtained by optimizing a mean-variance criterion. This methodology extends to other optimization problems involving initial portfolio value and expected square replication error, as well as to other classes of strategies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 11
    Electronic Resource
    Electronic Resource
    ERRATUM TO “A STOCHASTIC EXTENSION OF THE MILLER-MODIGLIANI FRAMEWORK” (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00124.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 12
    Electronic Resource
    Electronic Resource
    A YIELD-FACTOR MODEL OF INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00123.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 13
    Electronic Resource
    Electronic Resource
    PRICING AND HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single-barrier option, the valuation problem is not very difficult (see Merton 1973 and Goldman, Sosin, and Gatto 1979). the situation where the option gets knocked out when the underlying instrument hits either of two well-defined boundaries is less straightforward. Kunitomo and Ikeda (1992) provide a pricing formula expressed as the sum of an infinite series whose convergence is studied through numerical procedures and suggested to be rapid. We follow a methodology which proved quite successful in the case of Asian options (see Geman and Yor 1992,1993) and which has its roots in some fundamental properties of Brownian motion. This methodology permits the derivation of a simple expression of the Laplace transform of the double-barrir price with respect to its maturity date. the inversion of the Laplace transform using techniques developed by Geman and Eydeland (1995), is then fairly easy to perform.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00122.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 14
    Electronic Resource
    Electronic Resource
    PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00116.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 15
    Electronic Resource
    Electronic Resource
    MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the pricing of American options on two stocks without expiration date and with payoff functions which are positively homogeneous with respect to the two stock prices. Examples of such options are the perpetuai Margrabe option, whose payoff is the amount by which one stock outperforms the other, and the perpetual maximum option, whose payoff is the maximum of the two stock prices Our approach to pricing such options is to take advantage of their stationary nature and apply the optional sampling theorem to two martingales constructed with respect to the risk-neutral measure the optimal exercise boundaries, which do not vary with respect to the time variable, are determined by the smooth pasting or high contact condition the martingale approach avoids the use of differential equations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00118.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 16
    Electronic Resource
    Electronic Resource
    CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the violation of the put-call parity and the fact that the components of a security can sell at a premium to the underlying security (primes and scores).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00119.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 17
    Electronic Resource
    Electronic Resource
    OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In the stochastic volatility framework of Hull and White (1987), we characterize the so-called Black and Scholes implied volatility as a function of two arguments the ratio of the strike to the underlying asset price and the instantaneous value of the volatility By studying the variation m the first argument, we show that the usual hedging methods, through the Black and Scholes model, lead to an underhedged (resp. overhedged) position for in-the-money (resp out-of the-money) options, and a perfect partial hedged position for at the-money options These results are shown to be closely related to the smile effect, which is proved to be a natural consequence of the stochastic volatility feature the deterministic dependence of the implied volatility on the underlying volatility process suggests the use of implied volatility data for the estimation of the parameters of interest A statistical procedure of filtering (of the latent volatility process) and estimation (of its parameters) is shown to be strongly consistent and asymptotically normal.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00117.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 18
    Electronic Resource
    Electronic Resource
    INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to honor their commitments and another where default is allowed. In both models, marginal utility of income, at each node, is shown to be bounded, and we prove existence by taking finite-dimensional approximations and applying Fatou's lemma sequentially.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00074.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 19
    Electronic Resource
    Electronic Resource
    GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00120.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 20
    Electronic Resource
    Electronic Resource
    INCOMPLETE MARKETS IN INFINITE HORIZON: DEBT CONSTRAINTS VERSUS NODE PRICES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The general equilibrium model with incomplete markets is here extended to infinite horizon economies populated by a finite number of infinitely lived agents. the crucial issue that divides the infinite horizon setting from the finite horizon setting is in the nature of borrowing constraints, which added to spot constraints, define a plausible budget set for individual agents. the paper relates seven alternative definitions of equilibrium and states corresponding equilibrium existence theorems when assets are one-period and purely financial.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00076.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 21
    Electronic Resource
    Electronic Resource
    HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an optimal solution to the portfolio optimization problem of maximizing utility from terminal wealth in the same model, we also characterize this solution via a transformation to a hedging problem: the optimal portfolio is the one that hedges the inverse of marginal utility evaluated at the shadow state-price density solving the corresponding dual problem, if such exists. We can then use the optimal shadow state-price density for pricing contingent claims in this market. the mathematical tools are those of continuous-time martingales, convex analysis, functional analysis, and duality theory.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00075.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 22
    Electronic Resource
    Electronic Resource
    WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper addresses the problem of estimating and analyzing the residual risk that is not hedged by a discrete hedging strategy. the use of die chaotic representation allows an elegant decomposition of the residual risk to be hedged by adequate assets. Alternative strategies to the classical delta hedging and optimization under the risk-neutral and historical probabilities are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00077.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 23
    Electronic Resource
    Electronic Resource
    EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 24
    Electronic Resource
    Electronic Resource
    PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of pricing path-dependent contingent claims. Classically, this problem can be cast into the Black-Scholes valuation framework through inclusion of the path-dependent variables into the state space. This leads to solving a degenerate advection-diffusion partial differential equation (PDE). We first estabilish necessary and sufficient conditions under which degenerate diffusions can be reduced to lower-dimensional nondegenerate diffusions. We apply these results to path-dependent options. Then, we describe a new numerical technique, called forward shooting grid (FSG) method, that efficiently copes with degenerate diffusion PDEs. Finally, we show that the FSG method is unconditionally stable and convergent. the FSG method is the first capable of dealing with the early exercise condition of American options. Several numerical examples are presented and discussed./〉
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00111.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 25
    Electronic Resource
    Electronic Resource
    DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Ross (1976) has shown, in a static framework, how options can complete financial markets. This paper examines the possible extensions of Ross's idea in a dynamic setup. Surprisingly enough, we find that the answer is very sensitive to the choice of the stochastic model for the underlying security returns. More specifically we obtain the following results: In a discrete-time model, classical European options typically become redundant with some probability (Proposition 2.1). Obnly path dependent (“exotic”) options may generate dynamic spanning (Proposition 4.1). In a continuous-time model with stochastic volatility of the underlying security, and under reasonable assumptions, a European option is always a good instrument for completing markets (Proposition 5.2).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00110.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 26
    Electronic Resource
    Electronic Resource
    ANNOUNCEMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00115.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 27
    Electronic Resource
    Electronic Resource
    PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper derives a closed-form solutin for the price of the European and semi-Amirican callable bond for two popular one-factor models of the term structure of interest rates which have been proposed by Vasicek as well as Cox, Ingersoll, and Ross. the price is derived by means of repeated use of Green's function, which, in turn, is derived from a series solution of the partial differential equation to value a discount bond. the boundary conditions which lead to the well-known formulae for the price of a discount bond are also identified. the algorithm to implement the explicit solution relies on numerical quadrature involving Green's function. It offers both higher accuracy and higher speed of computation than finite difference methods, which suffer from numerical instabilites due to discontinuous boundary values. For suitably small time steps, the proposed algorithm can also be applied to American callable bonds or to any American-type option with Green's function being explicitly known.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00112.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 28
    Electronic Resource
    Electronic Resource
    DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The purpose of this note is to analyze the diffusion coefficient estimator suggested by Chesney, Elliott, Madan, and Yang (1993). I start by correcting their formula (4.1), and by showing that their procedure is a member of a class of estimators sharing the same Milstein approximation. I then show how to select the minimum variance estimator (for constant μσ) within a two-parameter subclass of procedures which do not depend on the current realization of the process. I also show that if μ is small the best procedure only allows moderate reduction in variance with respect to the classical quadratic variation estimator (which is a member of the same class). the note concludes by highlighting the fact that the empirical use of the filtered volatilities poses an error in variables problem which can be addressed using instrumental variables methods.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00114.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 29
    Electronic Resource
    Electronic Resource
    SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The extended Cox-Ingersoll-Ross (ECIR) models of interest rates allow for time-dependent parameters in the CIR square-root model. This article presents closed-form pathwise unique solutions of these unsolved stochastic differential equations (s.d.e.s) in terms of functionals of their driving Brownian motion and parameters. It is shown that quadratics in solution of linear s.d.e.s solve the ECIR model if and only if the dimension of the model is a positive integer and that this solution can be achieved by construction of a pathwise unique generalized Ornstein-Uhlenbeck process from the ECIR Brownian motion. For real valued dimensions an extension of the time-change theorem of Dubins and Schwarz (1965) is presented and applied to show that a lognormal process solves the model through a stochastic time change. Pathwise equivalence to a rescaled time-changed Bessel square process is also established. These novel results are applied to characterize zero-hitting time and to produce transition density and zero-hitting conditions for the ECIR spot rate. the CIR term structure is then extended to ECIR under no arbitrage, and its solutions and the transition density are represented under a new ECIR martingale measure. the findings are employed to derive a closed-form ECIR bond option valuation formula which generalizes that obtained by CIR (1985).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00113.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 30
    Electronic Resource
    Electronic Resource
    OPTIMAL INVESTMENT OF A LIFE INTEREST (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of a trustee faced with investing a sum of money, the interest from which will be received by one party (the life-tenant) during his lifetime while the capital will go to another party (the survivor) on the death of the life-tenant. We assume mat there are n+ 1 assets in which the trustee may invest—n risky assets of geometric Brownian motion type and one nonrisky asset. Under assumptions as to the utility functions of the two parties, we find the collection of Pareto optimal investment strategies for the trustee together with the corresponding payoffs. We do this by optimizing the payoff of the Lagrangian for the problem. We go on to present the Nash optimal solution for the trustee.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00068.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 31
    Electronic Resource
    Electronic Resource
    CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We investigate an optimal consumption/investment decision problem with partially observable drift. Logarithmic utilities are shown to be necessary and sufficient for the certainty equivalence principle to hold. For the sufficiency part of the proof, we allow a general stochastic structure about the unobservable drift. On the other hand, a simple Bayesian structure is assumed for the necessity part in order to utilize the Hamilton-Jacobi-Bellman equations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00069.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 32
    Electronic Resource
    Electronic Resource
    OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing formulas based on the absence of arbitrage opportunities in this context are also developed. the analysis is for the case where assets returns are driven by a finite number of Brownian motions and an m-variate point process. the inclusion of :the additional traded assets in the term structure makes it possible to hedge systematic jumps imbedded in the m variate point process.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00070.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 33
    Electronic Resource
    Electronic Resource
    OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed Traction of his portfolio value each time he trades. We focus on the infinite horizon objective function of maximizing the asymptotic growth rate, so me optimal policies we derive approximate those of an investor with logarithmic utility at a distant horizon. When investment opportunities are modeled as m correlated geometric Brownian motion stocks and a riskless bond, we show that the optimal policy reduces to solving a single stopping time problem. When there is a single risky stock, we give a system of equations whose solution determines the optima! rule. We use numerical methods to solve for the optima! policy when there are two risky stocks. We study several specific examples and observe the general qualitative result that, even with very low transaction cost levels, the optimal policy entails very infrequent trading.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00071.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 34
    Electronic Resource
    Electronic Resource
    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Book Review in this Articleeconomic and financial modelling with mathematica, hal R. varian (editor), telos/springer-verlag. new york 1993
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00073.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 35
    Electronic Resource
    Electronic Resource
    PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We examine the Morton and Pliska (1993) model for the optimal management of a portfolio when there are transaction costs proportional to a fixed fraction of the portfolio value. We analyze this model in the realistic case of small transaction costs by conducting a perturbation analysis about the no-transaction-cost solution. Although the full problem is a free-boundary diffusion problem in as many dimensions as there are assets in the portfolio, we find explicit solutions for the optimal trading policy in this limit. This makes the solution for a realistically large number of assets a practical possibility.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00072.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 36
    Electronic Resource
    Electronic Resource
    DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00064.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 37
    Electronic Resource
    Electronic Resource
    ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for which the normalized (by the numeraire) price processes of traded securities are supermartingales. Also, the tightest arbitrage bounds that can be inferred on the price of a contingent claim without knowing agents’preferences are equal to its largest and smallest expected normalized payoff with respect to the supermartingale measures. In the case where the underlying security price follows a diffusion process and where short selling is possible but costly, we derive partial differential equations that must be satisfied by the arbitrage bounds on derivative securities prices, and we determine optimal hedging strategies. We compute the arbitrage bounds on common securities numerically for several values of the borrowing and short-selling costs and show that they can be quite sharp.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00065.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 38
    Electronic Resource
    Electronic Resource
    EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of p̄, the weighted average of the requested rate of return of individual investors, which tends to infinity as p̄ approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00066.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 39
    Electronic Resource
    Electronic Resource
    TAKEOVERS OF DIFFUSELY HELD FIRMS: A NONSTANDARD APPROACH (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A common theme in the literature on corporate control is that, when share ownership is diffuse, the free-rider problem prevents raiders from making acquisitions at tender prices below the postacquisition share price. In this paper, we address this question by formulating a nonstandard model of takeovers of diffusely held firms. It is demonstrated that, even when individual shareholdings are infinitesimal relative to firm size, takeovers succeed with positive probability and equilibria exist in which the raider earns substantial per share profits. Further, the Nash equilibria of the game are characterized with regard to raider profit, the aggregate fraction of shares tendered, and the relation between raider profit and the degree of randomization exhibited by shareholder tendering strategies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00067.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 40
    Electronic Resource
    Electronic Resource
    CRITICAL STOCK PRICE NEAR EXPIRATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the critical price of an American put option near expiration in the Black-Scholes model. Our main result is an estimate for the difference P̄ (t)- K between the critical price at time t and the exercise price as t approaches the maturity of the option.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00103.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 41
    Electronic Resource
    Electronic Resource
    ATTAINABLE CLAIMS IN A MARKOV MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00105.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 42
    Electronic Resource
    Electronic Resource
    MULTIVARIATE STABLE FUTURES PRICES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter a and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM-dollar and JY-dollar exchange rates data.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00106.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 43
    Electronic Resource
    Electronic Resource
    ISOLATING THE WILD CARD OPTION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Many embedded options are difficult to value the wild card option in the Treasury bond futures contract is one of these embedded options. We illustrate how narrow theoretical bounds on the value of this option, relative to the price of the contract, may be obtained in the presence of other embedded options. Simulations suggest that the value of the wild card option is close to zero. This implies that, in this economy, a simpler pricing model of the Treasury bond futures contract, which ignores the wild card option, will result in only a small loss of accuracy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00107.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 44
    Electronic Resource
    Electronic Resource
    TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market with taxes and shorting costs, however, there is no theoretical support for the existence of a universal term structure for this purpose. What is worse, reliance on linear formulas can be seriously inaccurate relative to true worth and can lead to paradoxes of disequilibrium. A consistent no-arbitrage theory of valuation in such a market requires instead that taxed and untaxed investors be grouped in separate classes with different valuation operators. Such operators are linear to scale but nonlinear with respect to addition. Here it is established that although these valuation operators provide general bounds applicable across an entire class, individual investors within a tax class can have more special operators because of the influence of existing holdings. These customized valuation operators have the feature of not even being linear to scale. In consequence of this nonlinearity, investors from the same or different tax classes can undertake advantageous trades even when the market is in a no-arbitrage state, but such trade opportunities are limited. Some degree of activity in financial markets can thereby be understood without appeal to differences in utility functions or temporary disequilibrium due to random disturbances.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00104.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 45
    Electronic Resource
    Electronic Resource
    ANNOUNCEMENT (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00109.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 46
    Electronic Resource
    Electronic Resource
    FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a two-country economy under the nonarbitrage assumption and where volatilities are stochastic. Assuming the existence of state variables, we show that, under some mild volatility assumptions, the model is actually fully specified. In particular, both term structure dynamics and the exchange rate process can be given endogeneously under the risk-neutral probability. We then derive the exact dependence of the zero-coupon bonds and the exchange rate on the underlying state variables. As a result, some closed-form solutions can be proposed for the derivative assets as futures and options written on foreign zero-coupon bonds.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00108.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 47
    Electronic Resource
    Electronic Resource
    APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction also produces an economy with two agents and infinitely many traded goods which is in equilibrium but has no equilibrium when a new good (recognized by all as redundant) is tentatively traded.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00098.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 48
    Electronic Resource
    Electronic Resource
    THE GARCH OPTION PRICING MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk-neutral valuation relationship (LRNVR). the LRNVR is shown to hold under certain combinations of preference and distribution assumptions. the GARCH option pricing model is capable of reflecting the changes in the conditional volatility of the underlying asset in a parsimonious manner. Numerical analyses suggest that the GARCH model may be able to explain some well-documented systematic biases associated with the Black-Scholes model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00099.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 49
    Electronic Resource
    Electronic Resource
    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Book Review in this Article Dynamic Asset Pricing Theory, By Darrell Duffie
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00102.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 50
    Electronic Resource
    Electronic Resource
    ARBITRAGE AND INFORMATION IN A SEQUENTIAL ECONOMY WITH MANY CREDIT AGENCIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper augments the theoretical foundations of organized commodity futures markets and uncovers singular facts about arbitrage and the role of information. Using the term “credit agency” to embrace organized futures markets such as the Chicago Board of Trade as well as independent brokerage houses, we extend the extant theory of temporary equilibrium for an economy with a single credit agency to economies with many credit agencies. In the process, we find that arbitrage with no risk of bankruptcy and with perfect interagency trade information can be incompatible with equilibrium (exact or approximate). On the other hand, the usual regularity assumptions are sufficient for the existence of at least an approximate equilibrium, provided that interagency trade information is imperfect (or risky). However, such imperfect information limits arbitrage so different agencies can have different prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00100.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 51
    Electronic Resource
    Electronic Resource
    VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a two-dimensional state variable Markov process. the permissible set of volatility structures that accomplishes this goal is shown to be quite large and includes many stochastic structures. In general, analytical characterization of the terminal distributions of the two state variables is unlikely, and numerical procedures are required to value claims. Efficient simulation algorithms using control variates are developed to price claims against the term structure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00101.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 52
    Electronic Resource
    Electronic Resource
    CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Given a sequence of discrete-time option valuation models in which the sequence of processes defining the state variables converges weakly to a diffusion, we prove that the sequence of American option values obtained from these discrete-time models also converges to the corresponding value obtained from the continuous-time model for the standard models in the finance/economics literature. the convergence proof carries over to the case when the limiting risky asset price process follows a diffusion, except it pays discrete dividends on some fixed dates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00059.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 53
    Electronic Resource
    Electronic Resource
    WHEN IS THE SHORT RATE MARKOVIAN? (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We answer this question in the very general context of the n-factor Heath, Jarrow, and Morton model for the evolution of the term structure of interest rates, with nonrandom volatility. the answer is that a constraint is imposed on the behavior of the volatility structure. We explain the importance of this result for the design of efficient numerical algorithms for the valuation of options on the term structure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00060.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 54
    Electronic Resource
    Electronic Resource
    THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity-linked foreign exchange option are studied in detail.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00061.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 55
    Electronic Resource
    Electronic Resource
    RISK-MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct risk-minimizing hedging strategies in the case where there are restrictions on the available information. the underlying price process is a d-dimensional F-martingale, and strategies φ= (ϑ, η) are constrained to have η G-predictable and η G'-adapted for filtrations η G C G’C F. We show that there exists a unique (ηG, G')-risk-minimizing strategy for every contingent claim H ε E ??2 (??T, P) and provide an explicit expression in terms of η G-predictable dual projections. Previous results of Föllmer and Sondermann (1986) and Di Masi, Platen, and Runggaldier (1993) are recovered as special cases. Examples include a Black-Scholes model with delayed information and a jump process model with discrete observations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00062.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 56
    Electronic Resource
    Electronic Resource
    ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00063.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 57
    Electronic Resource
    Electronic Resource
    ERRATUM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00096.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 58
    Electronic Resource
    Electronic Resource
    A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Working within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss-Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20-MHz laptop computer are acceptable.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00095.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 59
    Electronic Resource
    Electronic Resource
    THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A simple model of the term structure of interest rates is introduced in which the family of instantaneous forward rates evolves as a continuous Gaussian random field. A necessary and sufficient condition for the associated family of discounted zero-coupon bond prices to be martingales is given, permitting the consistent pricing of interest rate contingent claims. Examples of the pricing of interest-rate caps and the situation when the Gaussian random field may be viewed as a deterministic time change of the standard Brownian sheet are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00094.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 60
    Electronic Resource
    Electronic Resource
    CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and for which the family of Hermite polynomials serves as an orthonormal basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims written as functions of a single asset price we infer from observed option prices the implicit prices of basis elements and use these to construct the implied equivalent martingale measure density with respect to the reference measure, which in this case is the Black-Scholes geometric Brownian motion model. Data on S & P 500 options from the Wall Street Journal are used to illustrate the calculations involved. On this illustrative data set the equivalent martingale measure deviates from the Black-Scholes model by relatively discounting the larger price movements with a compensating premia placed on the smaller movements.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00093.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 61
    Electronic Resource
    Electronic Resource
    ANNOUNCEMENT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00097.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 62
    Electronic Resource
    Electronic Resource
    A PRICING OPERATOR-BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper develops a cross-market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00053.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 63
    Electronic Resource
    Electronic Resource
    THE STATISTICS OF LONG-HORIZON REGRESSIONS REVISITED (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper compares commonly used approaches for estimating the relation between long-horizon returns and a predetermined variable X1, such as dividend yields. Specifically, we look at regression of (i) nonoverlapping multiperiod returns on Xt (ii) overlapping multiperiod returns on Xt, (iii) single-period returns on multiperiod Xt, and (iv) single-period returns on Xt and its implied long-horizon regression coefficient. We provide analytical formulae which quantify the efficiency of the estimators used in the various approaches. Using the formulae, as well as Monte Carlo simulations, we demonstrate that the relative efficiency of the estimators used in the various approaches differs remarkably, depending on the dynamic structure of the regressor. of special interest for financial economists, when the regressors are highly autocorrelated, we find that the regressions (ii) (iii), and (iv) provide only marginal efficiency gains above and beyond the nonoverlapping long-horizon regression.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00052.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 64
    Electronic Resource
    Electronic Resource
    EFFICIENCY GAINS IN BETA-PRICING MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Recent literature shows that the risk premium is efficiently estimated in the usual two-pass procedure, estimating betas in the unrestricted model, and then regressing returns on estimated betas. This paper shows that this is not so when allowing for factor unobservability. Imposing the financial theory restriction from the outset leads to a strictly positive efficiency gain in the risk premium estimation. In addition, the role of an associated efficiency gain in the beta estimation is studied in the context of a zero-beta model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00054.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 65
    Electronic Resource
    Electronic Resource
    MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00055.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 66
    Electronic Resource
    Electronic Resource
    MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete-time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00057.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 67
    Electronic Resource
    Electronic Resource
    ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE-TIME SQUARE-ROOT PROCESS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper is concerned with asymptotic properties of the maximum likelihood estimators for the discrete-time square-root process. This process and its generalizations are employed in financial literature as models for movements of asset prices. the considered process is nonergodic and therefore standard maximum likelihood theory does not apply. the nonstandard asymptotic theory is developed. Strong consistency of the estimators is established, joint asymptotic distribution of the properly normalized estimators is obtained and confidence intervals for the parameters are constructed. the results of the small simulation study are reported.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00056.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 68
    Electronic Resource
    Electronic Resource
    THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. an important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. the focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. the procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00058.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 69
    Electronic Resource
    Electronic Resource
    OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study an optimal consumption and portfolio selection problem for an investor by a martingale approach. We assume that time is a discrete and finite horizon, the sample space is finite and the number of securities is smaller than that of the possible securities price vector transitions. the investor is prohibited from investing stocks more (less, respectively) than given upper (lower) bounds at any time, and he maximizes an expected time additive utility function for the consumption process. First we give a set of budget feasibility conditions so that a consumption process is attainable by an admissible portfolio process. Also we state the existence of the unique primal optimal solutions. Next we formulate a dual control problem and establish the duality between primal and dual control problems. Also we show the existence of dual optimal solutions. Finally we consider the computational aspect of dual approach through a simple numerical example.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00047.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 70
    Electronic Resource
    Electronic Resource
    ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give a condition under which the componentwise stochastic integration with respect to a given Rd-valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector and the component completeness of a financial market in a special case.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00049.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 71
    Electronic Resource
    Electronic Resource
    A NOTE ON THE GENERALIZED MULTIBETA CAPM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00050.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 72
    Electronic Resource
    Electronic Resource
    MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Let (St)tεI be an Rd-valued adapted stochastic process on (Ω, ?, (?t)tεI, P). A basic problem occurring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on ? equivalent to P such that (St)tεI is a martingale with respect to Q. It is known (see the fundamental papers of Harrison and Kreps 1979; Harrison and Pliska 1981; and Kreps 1981) that there is an intimate relation of this problem with the notions of “no arbitrage” and “no free lunch” in financial economics. We introduce the intermediate concept of “no free lunch with bounded risk.” This is a somewhat more precise version of the notion of “no free lunch.” It requires an absolute bound of the maximal loss occurring in the trading strategies considered in the definition of “no free lunch.” We give an argument as to why the condition of “no free lunch with bounded risk” should be satisfied by a reasonable model of the price process (St)tεI of a securities market. We can establish the equivalence of the condition of “no free lunch with bounded risk” with the existence of an equivalent martingale measure in the case when the index set I is discrete but (possibly) infinite. A similar theorem was recently obtained by Delbaen (1992) for continuous-time processes with continuous paths. We can combine these two theorems to get a similar result for the continuous-time case when the process (St)tεR+ is bounded and, roughly speaking, the jumps occur at predictable times. In the infinite horizon setting, the price process has to be “almost a martingale” in order to allow an equivalent martingale measure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00048.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 73
    Electronic Resource
    Electronic Resource
    CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS IN THE FINITE-DIMENSIONAL CASE: SOME REMARKS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper extends He and Pearson's (1991) martingale approach to the study of optimal intertemporal consumption and portfolio policies with incomplete markets and short-sale constraints to a framework in which no assumptions are made on the price process for the securities. We show how both their characterization of the budget-feasible set and duality result can be extended to account for an unbounded set II of Arrow-Debreu state prices compatible with the arbitrage-free assumption. We also supply a (fairly general) sufficient condition for II to be bounded, as required in their setting.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00051.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 74
    Electronic Resource
    Electronic Resource
    A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk-neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15-minute intervals. It substantially outperforms the Black-Scholes model. the empirical success of the Cox-Ingersoll-Ross model implies that the continuous-time interest rate implicit in synchronous transaction quotes of 90-day Treasury-bill futures contracts is an-albeit noisy-proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit-root process. With this approximation, the Cox-Ingersoll-Ross model only slightly overprices long-maturity options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00091.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 75
    Electronic Resource
    Electronic Resource
    ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00045.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 76
    Electronic Resource
    Electronic Resource
    BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. The third one is the valuation of perpetuities or annuities under stochastic interest rates within the Cox-Ingersoll-Ross framework. Moreover, without using time changes or Bessel processes, but only simple probabilistic methods, we obtain further results about Asian options: the computation of the moments of all orders of an arithmetic average of geometric Brownian motion; the property that, in contrast with most of what has been written so far, the Asian option may be more expensive than the standard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interesting resemblance with the Black-Scholes formula, even though the comparison cannot be carried too far.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00092.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 77
    Electronic Resource
    Electronic Resource
    OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if Mt is the maximum level of wealth W attained on or before time t, then the constraint imposed on his portfolio choice is that WtαMt, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the “surplus”Wt - αMt. the optimal policy may appear similar to the constant-proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor αMt. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all-time high; i.e., when Wt =Mt. It can be shown that at Wt=Mt, αMt is expected to grow at a faster rate than Wt, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when Wt is close to αMt. We conjecture that in an equilibrium model the stochastic character of the floor creates “resistance” levels as the market approaches an all-time high (because of the reluctance of investors to take more risk when Wt=Mt).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00044.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 78
    Electronic Resource
    Electronic Resource
    DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00046.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 79
    Electronic Resource
    Electronic Resource
    Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00080.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 80
    Electronic Resource
    Electronic Resource
    A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed-form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility indices. Our analysis demonstrates that when the underlying jumps of the aggregate consumption process are not negligible, then the traditional form of the consumption-based capital asset princing model need not hold and the asset risk premiums may be larger than predicted by the traditional CCAPM in continuous time, based on pure Itô diffusion processes. Our analysis suggests an explanation for the large estimates of the risk premiums reported in empirical tests of the single-beta CCAPM.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00079.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 81
    Electronic Resource
    Electronic Resource
    From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we develop a new notion of convergence for discussing the relationship between discrete and continuous financial models, D2-convergence. This is stronger than weak convergence, the commonly used mode of convergence in the finance literature. We show that D2-convergence, unlike weak convergence, yields a number of important convergence preservation results, including the convergence of contingent claims, derivative asset prices and hedge portfolios in the discrete Cox-Ross-Rubinstein option pricing models to their continuous counterparts in the Black-Scholes model. Our results show that D2-convergence is characterized by a natural lifting condition from nonstandard analysis (NSA), and we demonstrate how this condition can be reformulated in standard terms, i.e., in language that only involves notions from standard analysis. From a practical point of view, our approach suggests procedures for constructing good (i.e., convergent) approximate discrete claims, prices, hedge portfolios, etc. This paper builds on earlier work by the authors, who introduced methods from NSA to study problems arising in the theory of option pricing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00081.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 82
    Electronic Resource
    Electronic Resource
    Consols In the Cir Model (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A consol is a default-free financial instrument paying a constant stream of one unit of money. A synonym is a perpetuity. the valuation of a consol presents a particular difficulty: the time horizon of this instrument is infinity, and hence the usual technique of replacing the physical probability measure by a new probability measure represents serious problems with regard to absolute continuity of the two measures. We will work out explicit formulas when the instantaneous riskless interest rate follows a square-root process under the risk-free measure. Several mathematical properties will be investigated. Yor and Geman and Yor have considered the problem of pricing consols and carry out a more fundamental analysis (see References). This paper is self-contained and emphasizes properties or techniques not covered by those authors.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00082.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 83
    Electronic Resource
    Electronic Resource
    Optimal Investment With Undiversifiable Income Risk (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-Jacobi-Bellman equation, which is shown to exist and is characterized. the optimal policy is then given from the first-order conditions of the Hamilton-Jacobi-Bellman equation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00083.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 84
    Electronic Resource
    Electronic Resource
    Option and Futures Evaluation With Deterministic Volatilities (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00084.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 85
    Electronic Resource
    Electronic Resource
    Impulse Control Method and Exchange Rate (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the exchange rate and prove that it is possible to keep the exchange rate in a target zone with discrete interventions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00085.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 86
    Electronic Resource
    Electronic Resource
    Convergence of the Critical Price In the Approximation of American Options (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00086.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 87
    Electronic Resource
    Electronic Resource
    Option Pricing For Jump Diffusions: Approximations and Their Interpretation (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an interpretation of the approximating option values, in particular in the context of a discrete-time model associated with the approximating continuous-time model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00087.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 88
    Electronic Resource
    Electronic Resource
    The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The aim of this paper is to develop a model for the pricing of European options under the assumption of a stochastic interest rate in a discrete-time context. This is accomplished by combining the well-known binomial model for a stock with a binomial model for the spot interest rate.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00088.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 89
    Electronic Resource
    Electronic Resource
    On Some Exponential-Integral Functionals of Bessel Processes (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00090.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 90
    Electronic Resource
    Electronic Resource
    A Counterexample to Several Problems In the Theory of Asset Pricing (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct a continuous bounded stochastic process (St,)1E[0,1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00089.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 91
    Electronic Resource
    Electronic Resource
    Hedging Index Options With Few Assets (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider hedging strategies against contingent claims depending on a large number of assets (typically options on an index). We introduce strategies involving a limited number of assets and give explicit formulae to characterize optimal strategies. Numerical methods to compute these formulae are also discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00036.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 92
    Electronic Resource
    Electronic Resource
    A Microeconomic Approach to Diffusion Models For Stock Prices (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete-time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous-time model. the resulting process is an Ornstein-Uhlenbeck process in a random environment, and we analyze its qualitative behavior. In particular, we provide simple criteria for the stability or instability of the corresponding stock price model, and we give explicit formulae for the invariant distributions in the recurrent case.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00035.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 93
    Electronic Resource
    Electronic Resource
    Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c 〉 0. the problem is motivated by modeling the returns from trading on financial markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00038.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 94
    Electronic Resource
    Electronic Resource
    Martingale Measures For A Class of Right-Continuous Processes (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The subject of the present paper is the following. Suppose that W is a class of adapted, right-continuous processes on the continuous time horizon [0, 1], and for every stopping time and W, () is bounded below. A necessary and sufficient condition will be given for the existence of a probability measure Q which is equivalent to the original measure and such that each process in W is a martingale under Q. If the processes in W represent the discounted prices of available securities, then the condition given here for the existence of a martingale measure can be interpreted as absence of “free lunch” in the securities market. This is a familiar kind of theorem from the finance literature; the novelty of this paper is that the security prices are not required to be in LP for some 1 p, nor are they assumed to be continuous. Also, the concept of free lunch is invariant under the substitution of the original probability measure by an equivalent probability measure. the assumption that () is bounded below for every W and stopping time is quite natural since prices are nonnegative.We shall define a class of admissible subjective probability measures and assume that each agent in the economy has selected a subjective probability measure from (hat class. Subjective free lunch for an agent will be defined using his or her subjective probability measure. It will be shown that under an additional condition the existence of free lunch is equivalent to the existence of a common subjective free lunch simultaneously for all possible agents in the economy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00037.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 95
    Electronic Resource
    Electronic Resource
    A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We establish necessary and sufficient conditions for an H1-martingale to be representable with respect to a collection, of local martingales. M H1(P) is representable if and only if M is a local martingale under all p.m.'s Q which are “uniformly equivalent” to P and which make all the elements of local martingales (Theorem 1.1). We then give necessary and sufficient conditions which are easier to verify, and only involve expectations (Theorem 1.2). We go on to apply these results to the problem of pricing claims in an incomplete financial market-establishing two conjectures of Harrison and Pliska(1981).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00031.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 96
    Electronic Resource
    Electronic Resource
    Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00030.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 97
    Electronic Resource
    Electronic Resource
    Optimal Consumption-Portfolio Policies With Habit Formation (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This is a companion paper to the authors ‘Asset Prices in an Exchange Economy with Habit Formation” in Econometrica which focuses on consumption demand and asset pricing when preferences are habit forming. Here we prove existence of optimal consumption-portfolio policies for (i) utility functions for which the marginal cost of consumption (MCC) interacts with the habit formation process and satisfies a recursive integral equation with forward functional Lipschitz integrand and (ii) utilities for which the MCC is independent of the standard of living and satisfies a recursive integral equation with locally Lipschitz integrand. Result (i) is demonstrated here for the first time. Result (ii) is novel and enables us to consider Cobb-Douglas utilities without placing lower bounds on the system of Arrow-Debreu prices. We also review and extend our earlier results in the linear case; in particular, we provide new insights about the structure of optimal portfolios. Additional new features of the model include the possibility of finite marginal utility of consumption at zero and habit formation mechanisms with stochastic coefficients. an extension to a financial market model with general processes is outlined. A byproduct of the analysis is a set of fixed-point theorems for recursive integral equations with forward functional Lipschitz or locally Lipschitz integrands.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00032.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 98
    Electronic Resource
    Electronic Resource
    Option Pricing When Jump Risk Is Systematic (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00034.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 99
    Electronic Resource
    Electronic Resource
    Pricing Options With Curved Boundaries (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path-dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00033.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 100
    Electronic Resource
    Electronic Resource
    Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00028.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...