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This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. A non-zero correlation between jumps and diffusive risks is necessary in order to resolve the positively sloped implied volatility term structure inherent in traditional jump diffusion models. Our evidence is consistent with a negative covariance, producing a non-monotonic term structure. For the proposed market structure, we present a closed form asset pricing model that depends on the factors of the traditional jump-diffusion models, and on both the covariance of the diffusive pricing kernel with price jumps and the covariance of the jumps of the pricing kernel with the diffusive price. We present statistical evidence that these covariances are positive. For our model the expected stock return, jump and diffusive risk premiums are non-linear functions of time. 相似文献
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This article examines the out‐of‐sample pricing performance and biases of the Heston’s stochastic volatility and modified Black‐Scholes option pricing models in valuing European currency call options written on British pound. The modified Black‐Scholes model with daily‐revised implied volatilities performs as well as the stochastic volatility model in the aggregate sample. Both models provide close and similar correspondence to actual prices for options trading near‐ or at‐the‐money. The prices generated from the stochastic volatility model are subject to fewer and weaker aggregate pricing biases than are the prices from the modified Black‐Scholes model. Thus, the stochastic volatility model may provide improved estimates of the measures of option price sensitivities to key option parameters that may lead to more effective hedging and speculative strategies using currency options. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:265–291, 2000 相似文献
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This teaching case is based on a Six Sigma project undertaken by a subsidiary of a Fortune 100 company to improve its quarterly financial-reporting process. It is presented as a six-phase Problem-Based Learning (PBL) unfolding problem. The first five phases correspond to the stages of the Define–Measure–Analyze–Improve–Control (DMAIC) model, a process-improvement methodology used extensively in Six Sigma. The sixth phase focuses on Six Sigma as a way of doing business. 相似文献
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We estimate tail parameters and construct risk statistics for unconditional distributions of daily logarithmic price changes of the NYMEX energy complex and apply the conditional extreme value method proposed by A. J. McNeil and R. Frey (2000) for estimating VAR and related risk statistics from the tails of conditional distributions for these commodities. The unconditional distribution of spot market price declines is found to be fat tailed relative to the normal for all commodities examined. Backtesting of candidate conditional risk measurement methods indicates that the conditional extreme value method is significantly more accurate for measuring risk exposure due to price declines for 7 of the 10 price series examined. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:309–337, 2005 相似文献
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The likelihood of extreme daily changes in London Interbank Offer rates are estimated using the peaks-over-threshold method developed from extreme value theory. Value at risk and expected shortfall for high quantiles are produced for the left and right tails of the distributions for each maturity. The Generalized Pareto distribution of the peaks-over-threshold method is found to be unsuitable for modeling exceedances above a high threshold for samples of simple daily changes in the LIBOR. When the series are transformed to logarithmic daily changes, extreme value analysis proceeds smoothly and yields useful information about the relative frequency or magnitudes of extreme events. The main consequence of this is that the risk statistics associated with a given change in the LIBOR depend on the initial rate level; at higher (lower) interest rates, changes of a given size are more (less) likely to occur. 相似文献
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Matthew Krehbiel 《董事会》2010,(2):101-101
组织结构图如同企业的建筑蓝图,不仅可以从侧面反映运营状况,更能透视出企业的经营能力与竞争优势所在。在最新研究中,对于常见的两种企业组织形式——功能型和生产线型,凯洛格商学院的贝赞可(Besanko)教授等人分析了二者的利弊。 相似文献
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