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1.
In this paper we generalize the recent comparison results of El Karoui et al. (Math Finance 8:93–126, 1998), Bellamy and Jeanblanc (Finance Stoch 4:209–222, 2000) and Gushchin and Mordecki (Proc Steklov Inst Math 237:73–113, 2002) to d-dimensional exponential semimartingales. Our main result gives sufficient conditions for the comparison of European options with respect to martingale pricing measures. The comparison is with respect to convex and also with respect to directionally convex functions. Sufficient conditions for these orderings are formulated in terms of the predictable characteristics of the stochastic logarithm of the stock price processes. As examples we discuss the comparison of exponential semimartingales to multivariate diffusion processes, to stochastic volatility models, to Lévy processes, and to diffusions with jumps. We obtain extensions of several recent results on nontrivial price intervals. A crucial property in this approach is the propagation of convexity property. We develop a new approach to establish this property for several further examples of univariate and multivariate processes. 相似文献
2.
Bruno Bouchard 《Finance and Stochastics》2006,10(2):276-297
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is. 相似文献
3.
We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right- or left- continuous) processes of finite variation related to the bid-ask process by economically meaningful relations. Under the assumption of existence of a strictly consistent price system (SCPS), we prove a closedness property for the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of that property, thus generalizing to possibly discontinuous bid-ask processes analogous results obtained by Kabanov (Financ. Stoch. 3, 237–248, 1999), Kabanov and Last (Math. Financ. 12, 63–70, 2002) and Kabanov and Stricker (Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, pp 125–136, 2002). Rásonyi’s counter-example (Lecture Notes in Mathematics 1832, 394–398, 2003) served as an important motivation for our approach. 相似文献
4.
This paper considers the behavior of the critical price for the American put in the exponential Lévy model when the underlying
stock pays dividends at a continuous rate. We prove the continuity of the free boundary and give a characterization of the
critical price at maturity, generalizing a recent result of S.Z. Levendorskiǐ (Int. J. Theor. Appl. Finance 7:303–336, 2004).
相似文献
5.
Bev Dahlby 《International Tax and Public Finance》2011,18(3):304-321
A lump-sum intergovernmental transfer has a “price effect”, as well as an “income effect”, because it allows the recipient
government to reduce its tax rate, which lowers its marginal cost of public funds, while still providing the same level of
public service. This reduction in the effective price of providing the public service helps to explain the “flypaper effect”—the
empirical observation that a lump-sum grant has a much larger effect on spending than an increase in personal income. Contrary
to the assertions of Mieszkowski (Modern Public Finance, 1994) and Hines and Thaler (J. Econ. Perspect. 9:217–226, 1995), a model of a benevolent local government financing its expenditures with a distortionary tax predicts flypaper effects
from lump-sum grants that are similar to those observed in many econometric studies. 相似文献
6.
Marc K. Francke 《The Journal of Real Estate Finance and Economics》2010,41(1):24-52
The repeat sales model is commonly used to construct reliable house price indices in absence of individual characteristics
of the real estate. Several adaptations of the original model by Bailey et al. (J Am Stat Assoc 58:933–942, 1963) are proposed in literature. They all have in common using a dummy variable approach for measuring price indices. In order
to reduce the impact of transaction price noise on the estimates of price indices, Goetzmann (J Real Estate Finance Econ 5:5–53,
1992) used a random walk with drift process for the log price levels instead of the dummy variable approach. The model that is
proposed in this article can be interpreted as a generalization of the Goetzmann methodology. We replace the random walk with
drift model by a structural time series model, in particular by a local linear trend model in which both the level and the
drift parameter can vary over time. An additional variable—the reciprocal of the time between sales—is included in the repeat
sales model to deal with the effect of the time between sales on the estimated returns. This approach is robust can be applied
in thin markets where relatively few selling prices are available. Contrary to the dummy variable approach, the structural
time series model enables prediction of the price level based on preceding and subsequent information, implying that even
for particular time periods where no observations are available an estimate of the price level can be provided. Conditional
on the variance parameters, an estimate of the price level can be obtained by applying regression in the general linear model
with a prior for the price level, generated by the local linear trend model. The variance parameters can be estimated by maximum
likelihood. The model is applied to several subsets of selling prices in the Netherlands. Results are compared to standard
repeat sales models, including the Goetzmann model. 相似文献
7.
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann–Morgenstern investor in the liquidity
model of Almgren (Appl. Math. Finance 10:1–18, 2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions
of nonlinear parabolic partial differential equations. We furthermore analyze the sensitivities of the value function and
the optimal strategy with respect to the various model parameters. In particular, we find that the optimal strategy is aggressive
or passive in-the-money, respectively, if and only if the utility function displays increasing or decreasing risk aversion.
Surprisingly, only few further monotonicity relations exist with respect to the other parameters. We point out in particular
that the speed by which the remaining asset position is sold can be decreasing in the size of the position but increasing
in the liquidity price impact.
相似文献
8.
Minqiang Li 《Review of Derivatives Research》2010,13(1):75-99
Many efficient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate
option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations
for American options based on the quadratic approximation. We compare our methods with existing analytical methods including
the quadratic approximations in Barone-Adesi and Whaley (J Finance 42:301–320, 1987) and Barone-Adesi and Elliott (Stoch Anal
Appl 9(2):115–131, 1991), the lower bound approximation in Broadie and Detemple (Rev Financial Stud 9:1211–1250, 1996), the
tangent approximation in Bunch and Johnson (J Finance 55(5):2333–2356, 2000), the Laplace inversion method in Zhu (Int J Theor
Appl Finance 9(7):1141–1177, 2006b), and the interpolation method in Li (Working paper, 2008). Both of our methods give much
more accurate critical stock prices than all the existing methods above. 相似文献
9.
John Schoenmakers 《Finance and Stochastics》2012,16(2):319-334
In this paper, we present a dual representation for the multiple stopping problem, hence multiple exercise options. As such,
it is a natural generalization of the method in Rogers (Math. Finance 12:271–286, 2002) and Haugh and Kogan (Oper. Res. 52:258–270, 2004) for the standard stopping problem for American options. We term this representation a ‘pure martingale’ dual as it is solely
expressed in terms of an infimum over martingales rather than an infimum over martingales and stopping times as in Meinshausen and Hambly (Math. Finance 14:557–583, 2004). For the multiple dual representation, we propose Monte Carlo simulation methods which require only one degree of nesting. 相似文献
10.
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels 总被引:1,自引:1,他引:1
We revisit the previous work of Leland [J Finance 49:1213–1252, 1994], Leland and Toft [J Finance 51:987–1019, 1996] and Hilberink
and Rogers [Finance Stoch 6:237–263, 2002] on optimal capital structure and show that the issue of determining an optimal
endogenous bankruptcy level can be dealt with analytically and numerically when the underlying source of randomness is replaced
by that of a general spectrally negative Lévy process. By working with the latter class of processes we bring to light a new
phenomenon, namely that, depending on the nature of the small jumps, the optimal bankruptcy level may be determined by a principle
of continuous fit as opposed to the usual smooth fit. Moreover, we are able to prove the optimality of the bankruptcy level according to the appropriate choice of fit.
相似文献
11.
Under the assumption that the asset value follows a phase-type jump-diffusion, we show that the expected discounted penalty
satisfies an ODE and obtain a general form for the expected discounted penalty. In particular, if only downward jumps are
allowed, we get an explicit formula in terms of the penalty function and jump distribution. On the other hand, if the downward
jump distribution is a mixture of exponential distributions (and upward jumps are determined by a general Lévy measure), we
obtain closed-form solutions for the expected discounted penalty. As an application, we work out an example in Leland’s structural
model with jumps. For earlier and related results, see Gerber and Landry [Insur. Math. Econ. 22:263–276, 1998], Hilberink and Rogers [Finance Stoch. 6:237–263, 2002], Asmussen et al. [Stoch. Proc. Appl. 109:79–111, 2004], and Kyprianou and Surya [Finance Stoch. 11:131–152, 2007].
相似文献
12.
Empirical findings are mixed about the performance of structural models for term structure of credit spreads. It is commonly
believed that all structural models have equally poor performance after calibration. However, proper calibration is not a
trivial issue, especially for highly structural models. This paper proposes a more accurate procedure for calibrating two
models: Leland–Toft (J Finance 51:987–1019, 1996) and Collin-Dufresne and Goldstein (J Finance 56:2177–2208, 2001). Using
rating-based bond data, we find that the Leland–Toft model has significantly greater explanatory power for credit spreads
across rating categories than previously reported. We provide theoretical explanations for these findings, and further extend
our empirical analysis to include 286 individual senior bonds. Our findings help clarify the controversies over the performance
of structural models in general and that of the Leland–Toft model in particular. In addition, we offer a rigorous procedure
that can be used for calibrating other structural models more effectively.
相似文献
13.
Hsuan-Chu Lin Ren-Raw Chen Oded Palmon 《Review of Quantitative Finance and Accounting》2012,38(1):109-129
There is much research whose efforts have been devoted to discovering the distributional defects in the Black–Scholes model,
which are known to cause severe biases. However, with a free specification for the distribution, one can only find upper and
lower bounds for option prices. In this paper, we derive a new non-parametric lower bound and provide an alternative interpretation
of Ritchken’s (J Finance 40:1219–1233, 1985) upper bound to the price of the European option. In a series of numerical examples, our new lower bound is substantially
tighter than previous lower bounds. This is prevalent especially for out of the money options where the previous lower bounds
perform badly. Moreover, we present how our bounds can be derived from histograms which are completely non-parametric in an
empirical study. We discover violations in our lower bound and show that those violations present arbitrage profits. In particular,
our empirical results show that out of the money calls are substantially overpriced (violate the lower bound). 相似文献
14.
We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility
models. This framework does not require the asset to be a martingale. We obtain semiexplicit formulas for the optimal hedging
strategy and the minimal hedging error by applying general structural results and Laplace transform techniques. The approach
is illustrated numerically for a Lévy-driven stochastic volatility model with jumps as in Carr et al. (Math Finance 13:345–382,
2003).
相似文献
15.
Risk-neutral and actual default probabilities with an endogenous bankruptcy
jump-diffusion model 总被引:1,自引:0,他引:1
This paper focuses on historical and risk-neutral default probabilities in a structural model, when the firm assets dynamics
are modeled by a double exponential jump diffusion process. Relying on the Leland [(1994a) Journal of Finance, 49, 1213–1252; (1994b) Bond prices, yield spreads, and optimal capital structure with default risk. Working paper no. 240, IBER,
University of California, Berkeley] or Leland and Toft [(1996) Journal of Finance, 51(3), 987–1019] endogenous structural approaches, as formalized by Hilberink and Rogers [(2002) Finance and Stochastics, 6(2), 237–263], this article gives a coherent construction of historical default probabilities. The risk-neutral world where
evolve the firm assets, modeled by a class of geometric Lévy processes, is constructed based on the Esscher measure, yielding
useful and new analytical relations between historical and risk-neutral probabilities. We do a complete numerical analysis
of the predictions of our framework, and compare these predictions with actual data. In particular, this new framework displays
an enhanced predictive power w.r.t. current Gaussian endogenous structural models.
相似文献
16.
The structural model uses the firm-value process and the default threshold to obtain the implied credit spread. Merton’s (J
Finance 29:449–470, 1974) credit spread is reported too small compared to the observed market spread. Zhou (J Bank Finance
25:2015–2040, 2001) proposes a jump-diffusion firm-value process and obtains a credit spread that is closer to the observed
market spread. Going in a different direction, the reduced-form model uses the observed market credit spread to obtain the
probability of default and the mean recovery rate. We use a jump-diffusion firm-value process and the observed credit spread
to obtain the implied jump distribution. Therefore, the discrepancy in credit spreads between the structural model and the
reduced-form model can be removed. From the market credit spread, we obtain the implied probability of default and the mean
recovery rate. When the solvency-ratio process in credit risk and the surplus process in ruin theory both follow jump-diffusion
processes, we show a bridge between ruin theory and credit risk so that results developed in ruin theory can be used to develop
analogous results in credit risk. Specifically, when the jump is Logexponentially distributed, it results in a Beta distributed
recovery rate that is close to market experience. For bonds of multiple seniorities, we obtain closed-form solutions of the
mean and variance of the recovery rate. We prove that the defective renewal equation still holds, even if the jumps are possibly
negative. Therefore, we can use ruin theory as a methodology for assessing credit ratings.
相似文献
17.
Christian Bender 《Finance and Stochastics》2011,15(1):1-26
In this paper, we study the pricing problem of multi-exercise options under volume constraints. The volume constraint is modelled
by an adapted process with values in the positive integers, which describes the maximal number of rights to be exercised at
a given time. We derive a representation of the marginal value of an additional nth right as a standard single stopping problem with a modified cash-flow process. This representation then leads to a dual
pricing formula, which generalizes a result by Meinshausen and Hambly (Math. Finance 14:557–583, 2004) from the standard multi-exercise option (with at most one right per time step) to general constraints. We also state an
explicit Monte Carlo algorithm for computing confidence intervals for the price of multi-exercise options under volume constraints
and present numerical results for the pricing of a swing contract in an electricity market. 相似文献
18.
One explanation provided for the relatively high and increasingly stable spreads for moderate-sized IPOs ($20–$80 million)
documented in Chen and Ritter (J Finance 55:1105–1131, 2000) is that issuing firms focus less on price and more on a combination
of investment bank-differentiating factors (such as underwriter prestige, analyst coverage, industry expertise, under-pricing,
price stabilization activities, liquidity provision, and so on), and banks use industry-based differentiation as a source
of market power. Using a new approach developed in a model of firm location choice due to Ellison and Glaeser (J Politi Econ
105:889–927, 1997), this paper presents some evidence on the combined relevance of such bank-differentiating factors, over
and above bank size, for firms choosing investment banks for floating IPOs. For moderate-sized IPOs, there is a little, but
not much evidence that such factors are a good explanation for high and increasingly stable spreads. Other than in a few of
the largest industries, bank-differentiating factors are not significantly relevant for a large proportion of industries.
Moreover, one aggregate measure of differentiation is declining over time.
We are grateful to Preston McAfee for suggesting this approach to the problem, to Jay Ritter for providing an updated list
of IPOs, and to Robert Anderson and anonymous referees for very helpful comments. We are grateful to seminar audiences at
the University of Texas at Austin and Macalester College for helpful comments. 相似文献
19.
Jeff Fisher David Geltner Henry Pollakowski 《The Journal of Real Estate Finance and Economics》2007,34(1):5-33
This article presents a methodology for producing a quarterly transactions-based index (TBI) of property-level investment
performance for U.S. institutional real estate. Indices are presented for investment periodic total returns and capital appreciation
(or price-changes) for the major property types included in the NCREIF Property Index. These indices are based on transaction
prices to avoid appraisal-based sources of index “smoothing” and lagging bias. In addition to producing variable-liquidity
indices, this approach employs the Fisher-Gatzlaff-Geltner-Haurin (Real Estate Econ., 31: 269–303, 2003) methodology to produce separate indices tracking movements on the demand and supply sides of the investment
market, including a “constant-liquidity” (demand side) index. Extensions of Bayesian noise filtering techniques developed
by Gatzlaff and Geltner (Real Estate Finance, 15: 7–22, 1998) and Geltner and Goetzmann (J. Real Estate Finance Econ., 21: 5–21, 2000) are employed to allow development of quarterly frequency, market segment specific indices. The hedonic price
model used in the indices is based on an extension of the Clapp and Giacotto (J. Am. Stat. Assoc., 87: 300–306, 1992) “assessed value method,” using a NCREIF-reported recent appraised value of each transacting property
as the composite “hedonic” variable, thus allowing time-dummy coefficients to represent the difference each period between
the (lagged) appraisals and the transaction prices. The index could also be used to produce a mass appraisal of the NCREIF property database each quarter, a byproduct of which would be the ability to provide transactions price based
“automated valuation model” estimates of property value for each NCREIF property each quarter. Detailed results are available
at . 相似文献
20.
We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have $S$-shaped reference-dependent preferences, whereby utility is defined over gains and losses relative to a reference level and is concave over gains and convex over losses. For a price process following a time-homogeneous diffusion, we employ the constructive potential-theoretic solution method developed by Dayanik and Karatzas (Stoch. Process. Appl. 107:173–212, 2003). As an example, we revisit the single optimal stopping model of Kyle et al. (J. Econ. Theory 129:273–288, 2006) to allow partial liquidation. In contrast to the extant literature, we find that the investor may partially liquidate the asset at distinct price thresholds above the reference level. Under other parameter combinations, the investor sells the asset in a block, either at or above the reference level. 相似文献