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21.
Angelos Dassios 《Quantitative Finance》2013,13(4):337-347
Although the square-root process has long been used as an alternative to the Black–Scholes geometric Brownian motion model for option valuation, the pricing of Asian options on this diffusion model has never been studied analytically. However, the additivity property of the square-root process makes it a very suitable model for the analysis of Asian options. In this paper, we develop explicit prices for digital and regular Asian options. We also obtain distributional results concerning the square-root process and its average over time, including analytic formulae for their joint density and moments. We also show that the distribution is actually determined by those moments. 相似文献
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Angelos Pagoulatos 《American journal of agricultural economics》2005,87(4):1095-1096
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This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using monthly data for the period 1976–1993. We apply a recent test developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (1) In contrast to the findings of previous studies, EGARCH-M processes characterize each bilateral exchange rate series in both markets; (2) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (3) The results indicate that the major exporter of causality is the Mexican black market with the black market of Argentina and the black and official markets of Brazil being the smallest contributors. 相似文献
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AN ANALYTICAL SOLUTION FOR THE TWO‐SIDED PARISIAN STOPPING TIME,ITS ASYMPTOTICS,AND THE PRICING OF PARISIAN OPTIONS 下载免费PDF全文
In this paper, we obtain a recursive formula for the density of the two‐sided Parisian stopping time. This formula does not require any numerical inversion of Laplace transforms, and is similar to the formula obtained for the one‐sided Parisian stopping time derived in Dassios and Lim. However, when we study the tails of the two distributions, we find that the two‐sided stopping time has an exponential tail, while the one‐sided stopping time has a heavier tail. We derive an asymptotic result for the tail of the two‐sided stopping time distribution and propose an alternative method of approximating the price of the two‐sided Parisian option. 相似文献
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Angelos Kanas 《Empirical Economics》2013,44(3):1291-1314
A significantly positive risk-return relation for the S&P 500 market index is detected if the squared implied volatility index (VIX) is allowed for as an exogenous variable in the conditional variance equation of the parsimonious GARCH(1,1) model. This result holds for both daily and weekly observations, for extended conditional mean and variance specifications, and is robust to sub-samples. We show that the conditional variance obtained from the GARCH model with VIX has better predictive ability for realized volatility than the conditional variance from GARCH without VIX and VIX itself, thereby documenting an important information content of VIX for conditional variance. The results are interpreted as evidence that adding VIX squared in the conditional variance equation yields a better measure of conditional variance which, subsequently, uncovers a strong risk-return relation. 相似文献
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Ten years after Greece’s accession to EMU, the venture has proved to be almost a complete failure. Obviously, the country
joined EMU disappointingly unprepared. After EMU accession, Greece failed to seek the necessary adaptations. Its economic
policy was inconsistent with the economic logic and rules of the game of a monetary union. EMU did not in itself lead to the
Greek crisis. Nevertheless, the supervisory arrangements clearly failed to work. Moreover, the unfolding of the crisis was
assisted by EMU’s inherent weakness in managing asymmetric disturbances and the absence of early warning and rapid intervention
mechanisms. 相似文献