✦ LIBER ✦

Stochastic arbitrage return and its implication for option pricing

✍ Scribed by Sergei Fedotov; Stephanos Panayides

Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 226 KB
Volume: 345
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.07.028

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Consumption asset pricing with stable sh

Consumption asset pricing with stable shocks—exploring a solution and its implications for mean equity returns

✍ Prasad V. Bidarkota; J.Huston McCulloch 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 161 KB

We study the consumption based asset pricing model due to Lucas (Econometrica 46 (1978(Econometrica 46 ( ) 1429)). The exogenous endowment sequence is modeled as a linear stochastic process driven by stable shocks in an otherwise standard framework. The Gaussian process emerges as a special case. We

Is it important to consider the jump com

Is it important to consider the jump component for pricing and hedging short-term options?

✍ In Joon Kim; Sol Kim 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 155 KB

The usefulness of the jump component for pricing and hedging short-term options is studied for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that jumps have only a marginal effect and stochastic volatility is of the most importance. There is evidence of jumps in the u