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Pricing Models

An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models

An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models

... option pricing literature over the years highlighting the hurdles and challenges that researchers have come across, while trying to do a comparative study of option pricing ...the models in the ...

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Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market

Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market

... asset pricing model (X-CAPM), respectively include: ...asset pricing model (X-CAPM), respectively include: ...assets pricing models (X- CAPM), companies admitted in Tehran Exchange Market, ...

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Comparisons of Asset Pricing Models in the Egyptian Stock Market

Comparisons of Asset Pricing Models in the Egyptian Stock Market

... Our results do not provide strong support to the literature regarding the essential role of liquidity in asset pricing models and its compatibility with Fama-French model. This may be due to the defective ...

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Comparing Consumption based Asset Pricing Models: The Case of an Asian City

Comparing Consumption based Asset Pricing Models: The Case of an Asian City

... asset pricing models and generate their log-return prediction ...asset pricing models. The prediction performance of the models is compared in terms of 4 measures: mean squared errors ...

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The role of factor strength and pricing errors for estimation and inference in asset pricing models

The role of factor strength and pricing errors for estimation and inference in asset pricing models

... and pricing errors in asset pricing models, and their implications for identification and estimation of risk ...the pricing errors and the presence of weak factors that are correlated with ...

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Evaluating Asset Pricing Models in a Simulated Multifactor Approach

Evaluating Asset Pricing Models in a Simulated Multifactor Approach

... tion pricing model studied in Brandt et ...asset pricing models, we use the average and median of the HJ-distances and a goodness-of-fit statistic provided by the pricing ...

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Pricing Models in Marketing Research

Pricing Models in Marketing Research

... The next step for finding optimal prices is presented by various pricing techniques used in conjoint and discrete choice models (DCM) [38-43]. A simple DCM with price the sole variable, the so-called price ...

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Memory and Asset Pricing Models with Heterogeneous Beliefs

Memory and Asset Pricing Models with Heterogeneous Beliefs

... asset pricing model consists of fundamentalists with some information gathering costs that are necessary in general to obtain understanding of how markets work and to be able to price according to the efficient ...

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Solving asset pricing models with stochastic volatility

Solving asset pricing models with stochastic volatility

... asset pricing facts, the use of stochastic volatility has become a wide- spread addition to standard business cycle ...cycle models to match stylized asset pricing facts, there is a growing use of ...

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Calibration of interest rate term structure and derivative pricing models

Calibration of interest rate term structure and derivative pricing models

... The time dependence in the drift and volatility increase arbitrarily the degree of freedom in the short rate process to allow the proposed model to fit specified properties such as the i[r] ...

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Empirical tests of the predictive ability of asset pricing models and of stock market overreaction in the U K

Empirical tests of the predictive ability of asset pricing models and of stock market overreaction in the U K

... Several repeated attempts have been made to explain away the firm size anomaly (a) infrequent trading Roll (1981) suggested the firm size effect may be a statistical artefact of improperly measured risk due to the less ...

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Asset pricing models, the labour theory of value and their implications for accounting

Asset pricing models, the labour theory of value and their implications for accounting

... The objective of this paper is to analyse differences and similarities in the classical and neo-classical conceptions of value and to examine their implications for accounting. Specifically a comparison is conducted ...

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Stochastic portfolio programming, competitive market equilibria, and market portfolios and risk profiles : a New Zealand capital market analysis : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Ma

Stochastic portfolio programming, competitive market equilibria, and market portfolios and risk profiles : a New Zealand capital market analysis : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University

... asset pricing models and portfolio selection techniques and to provide the framework for their ...economic models in general, models of portfolio analysis will normally belong to one of two ...

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Urban transport funding and pricing

Urban transport funding and pricing

... APPLICATION OF THE PRICING MODELS 43 43 Introduction Modifications to the Road Model 44 Input Data for the Road Pricing Mbdel 47 - Annual Rental Cost of Roads 47 49 - Speed Flaw Relation[r] ...

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An RBF scheme for option pricing in exponential Levy models

An RBF scheme for option pricing in exponential Levy models

... option pricing models by splitting up the time domain according to the dividend dates, and then solving the pricing problem between each pair of consecutive dividend dates, starting with the final ...

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Pricing and Hedging in Stochastic Volatility Regime Switching Models

Pricing and Hedging in Stochastic Volatility Regime Switching Models

... volatility models where both the asset and the volatility dynamics depend on the values of a Markov jump ...of pricing and hedging contingent claims in this ...perfect pricing and hedging are not ...

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Pricing and hedging exotic options in stochastic volatility models

Pricing and hedging exotic options in stochastic volatility models

... on pricing barrier options in stochastic volatility models, Lipton [26] derives a (semi-)analytical solutions for double barrier options in a reduced Heston framework (with zero correlation between ...

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Affine-Structure Models and the Pricing of Energy Commodity Derivatives

Affine-Structure Models and the Pricing of Energy Commodity Derivatives

... derivatives pricing and risk management, energy investment evaluation, asset allocation and ...futures pricing, options pricing and ...nested models for comparison: a diffusion with stochastic ...

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Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate

Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate

... the pricing accuracy between the proposed model and the BS and the Kou (2002) models using real market ...average pricing accuracy of our proposed model is much higher than that of the BS and Kou ...

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Pricing of Volatility Derivatives using 3/2- Stochastic Models

Pricing of Volatility Derivatives using 3/2- Stochastic Models

... While models for variance dynamics such as (2) with 0 ≤ γ ≤ 1 are able to capture the mean-reverting nature of variance, they may not necessarily capture the actual be- haviour of instantaneous variance for ...

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