Pricing models
Cloud brokering : new value-added services and pricing models
... investigated pricing policies for guaranteed bandwidth reser- vation in the Cloud on a short-term basis such as hours or tens of ...different pricing models within the same ...
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A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
... tion Pricing Models The loss of the homogeneity property in usual discrete-time statistical models like ARCH-type models is not as damaging as it appears for several ...discrete-time ...
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... and Dufour et al. (2004). 4. Empirical analysis Our empirical analysis focuses on testing (2.2) in the context of (2.1) with different distributional assumptions on stock market returns. We use nominal monthly returns ...
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On the Dynamic Specification of International Asset Pricing Models
... Asset Pricing Models What di®erentiates international ¯nancial theory from its domestic counterpart is essentially the presence of di®erent nations in the former ...
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. ...
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... asset pricing models has been to use variables that are deemed to help predict excess stock returns and returns volatility, as in Harvey (1995) for ...asset pricing model, it is a good way to test if ...
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. ...
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian ...appropriate pricing of the ...
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From high frequency data information : four empiricals investigations on risks measurements and asset pricing models
... Cette partie est ` a rapprocher des travaux de Gottlieb et Kalay (1985) et de Amilon et Bystr¨ om (2000) qui s’interrogent sur les effets de la pr´ esence de ce type de ph´ enom` ene sur [r] ...
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The cost of equity capital for REITs : an examination of three asset-pricing models
... The main objective of this study is to develop a particular multi- factor pricing model that can be used in practice to effectively estimate the cost of equity capit[r] ...
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Data-snooping biases in tests of financial asset pricing models
... the selection of securities to be included in a given portfolio is almost never at random, but is often based on some of the stocks' empirical characteristics. Th[r] ...
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Comparing Predictive Accuracy of Real Estate Pricing Models: An Applied Study for the City of Montreal
... hedonic pricing method is used to estimate economic value for services or characteristics that directly affect market prices of a ...hedonic pricing method, it has been used to value a wide variety of ...
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... In this paper, we consider the problem of testing the specification of MLR models. Of course, the form of a model can be tested against an infinity of alternative formulations or specification errors. Here we ...
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Asymmetry risk, state variables and stochastic discount factor specification in asset pricing models
... Key words: lattice, portfolio choice, pricing kernel puzzle, risk aversion puzzle, skewness, state variable, stocliastic discount factor.... Contents Sommaire i Suininary iv Dédicace xvi[r] ...
171
Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
... Deduce pricing performances from VIX analysis Even if the ultimate criterion to compare GARCH option pricing models is the value of the pricing errors associated with a large real-world ...
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
... option pricing performance of SV and GARCH models are important, mispricings still exist when comparing these models to actual option data as documented by ...option pricing models ...
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Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
... option pricing performance of SV and GARCH models are important, mispricings still exist when comparing these models to actual option data as documented by Nandi ...option pricing ...
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results
... asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option ...the pricing kernel is an exponential affine function of the state variables, ...
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On competitive nonlinear pricing
... with a large number of market makers or with a large number of types, leading to the Glosten ( 1994 ) allocation and to the Biais et al. ( 2000 ) allocation, respectively. The possibility of precisely targeting types in ...
48
Pricing European options and risk measurement under exponential Lévy models - a practical guide
... Financial models with jumps fall into two ...diffusion models, the evolution of prices is given by a diffusion process, punctuated by jumps at random ...such models are the Merton jumps diffusion ...
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