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Apreçamento de ativos com assimetria e curtose: um teste de comomentos com dados em painel; Asset pricing with skewness and kurtosis: testing co-moments with panel data

Castro Junior, Francisco Henrique Figueiredo de
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 17/07/2008 Português
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Ao longo dos anos, desde a concepção do CAPM, o modelo vem passando por um rigoroso escrutínio por parte da comunidade científica e dos agentes de mercado interessados na sua utilização prática. Evidências tanto a favor quanto contra a sua adequação foram surgindo. Várias foram as causas levantadas para o fraco desempenho do CAPM: omissão de variáveis no modelo, variação no tempo da medida de risco (β) ou, ainda, a ausência de outros momentos tais como assimetria e curtose. Esta pesquisa teve como objetivo a investigação empírica da relação entre momentos sistêmicos (covariância, coassimetria e cocurtose) e a taxa de retorno de ativos financeiros negociados no mercado brasileiro. Foi utilizada uma amostra de 179 empresas brasileiras regularmente negociadas na Bovespa entre os anos de 2003 e 2007. Para o teste do modelo de apreçamento, foi utilizado um procedimento em duas etapas. Na primeira, os comomentos de cada ativo foram estimados usando-se dados longitudinais de taxas de retorno. Os coeficientes estimados foram, então, utilizados em uma segunda etapa, na qual uma regressão com dados em painel buscou determinar a relação entre o prêmio pelo risco dos ativos e os comomentos estimados na primeira etapa. Foram estimados modelos com dados agrupados...

A precificação de opções para processos de mistura de brownianos; Option pricing using mixture of Brownian motion processes

Kimura, Herbert
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 14/09/1998 Português
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O estudo apresenta um modelo de precificação de derivativos financeiros baseado em processos de mistura de movimentos brownianos. A partir de uma modelagem probabilística, são apresentados ajustes ao modelo tradicional de Black-Scholes-Merton para contemplar situações em que o retorno do ativo-objeto não segue uma distribuição normal. O trabalho discute ainda um mecanismo de estimação de parâmetros da mistura de normais. O resultado da pesquisa possibilita a análise de preço de opções em situações mais gerais.; The study presents a model for pricing financial derivatives based on a mixture of Brownian motion processes. From a probabilistic modeling, the research focuses on adjustments to the traditional Black- Scholes- Merton model to address situations where the return of the underlying asset does not follow a normal distribution. The paper also discusses a mechanism to estimate parameters of a mixture of normal distributions. The result of the study allows an analysis of option price in more general situations.

Conditional alphas and realized betas

Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Português
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This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk- adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri- cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios).

Validação da APT (arbitrage pricing theory) na conjuntura da economia brasileira

Fracasso, Laís Martins
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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Os modelos de precificação de ativos ganham cada vem mais importância, na medida em que são desenvolvidos e superam as deficiências dos modelos anteriores. Dentro deste contexto, a Arbitrage Pricing Theory (APT) foi desenvolvida como forma de ir além do Capital Asset Pricing Model (CAPM). A fim de verificar se a APT é um substituto adequado, dado como um novo modelo de precificação, este trabalho visou estudar quantos fatores afetariam uma carteira de ações dada no período de janeiro de 1998 a dezembro de 2008. O estudo foi feito através da Análise Fatorial e inclui uma simulação de investimento baseada em diferentes tercis desta carteira, comparando seus retornos com indicadores de mercado, como o Ibovespa e IbrX. Para o período avaliado e com o modelo estatístico utilizado, foram encontrados cinco fatores que explicam o retorno da carteira de ações proposta. Além disso, através da simulação de investimento, foi verificado que o tercil de maior potencial de retorno proporcionou, de fato, um retorno maior que os índices de mercado, porém também proporcionou maior risco.

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, Paskalis
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
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This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.

A Conceptual Model of Incomplete Markets and the Consequences for Technology Adoption Policies in Ethiopia

Larson, Donald F.; Gurara, Daniel Zerfu
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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In Africa, farmers have been reluctant to take up new varieties of staple crops developed to boost smallholder yields and rural incomes. Low fertilizer use is often mentioned as a proximate cause, but some believe the problem originates with incomplete input markets. As a remedy, African governments have introduced technology adoption programs with fertilizer subsidies as a core component. Still, the links between market performance and choices about using fertilizer are poorly articulated in empirical studies and policy discussions, making it difficult to judge whether the programs are expected to generate lasting benefits or to simply offset high fertilizer prices. This paper develops a conceptual model to show how choices made by agents supplying input services combine with household livelihood settings to generate heterogeneous decisions about fertilizer use. An applied model is estimated with data from a panel survey in rural Ethiopia. The results suggest that adverse market conditions limit the adoption of fertilizer-based technologies...

Asymmetric Smiles, Leverage Effects and Structural Parameters.

GARCIA, René; LUGER, Richard; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 9569067 bytes; application/pdf
Português
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In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.; Dans cet article...

Avaliação da companhia Eternit S.A. estudo de caso pelos métodos de fluxo de caixa descontado e de múltiplos comparáveis

Dall'Igna Júnior, Nelson José
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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A necessidade de maiores conhecimentos sobre a diferenciação dos conceitos de preço e valor revela a importância e utilidade do sistema de precificação de ativos como meio para reduzir a incerteza na tomada de decisão de investimentos de risco. Nesse sentido apresenta-se este estudo de caso com o objetivo principal de testar a eficácia do fluxo de caixa descontado (FCD) e da avaliação relativa por múltiplos como métodos para precificação de empresas. Além de analisar na prática estes dois modelos mais utilizados pelos profissionais o estudo faz uma descrição sucinta de outros modelos de avaliação proporcionados pela Teoria de Finanças, como são estruturados, suas peculiaridades, aplicações, vantagens e limitações. A pesquisa faz a análise do valor da companhia de capital aberto Eternit S.A., empresa que se destaca pela qualidade das informações prestadas ao mercado, matérias-primas básicas para o processo de avaliação que consiste no levantamento da maior quantidade possível de dados sobre o desempenho não apenas da empresa, como do contexto setorial e macroeconômico para a adequada montagem dos modelos que utilizam também projeções, perspectivas, ferramentas de cálculo e comparações com empresas do setor. Como resultado final são apresentados os valores obtidos bem como a avaliação dos métodos utilizados destacando o fluxo de caixa descontado como ferramenta que apresenta melhores resultados.; The demand for better knowledge about the differentiation of the concepts of price and value demonstrates the relevance and utility of the system of asset pricing as a tool to be used in order to reduce the uncertainty in investment decision-making. With this rational the research presents a case study with the aim of testing the efficiency of discounted cash flow (DCF) and relative assessment by multiples methods to pricing firms. Besides the practical analysis of these two most used models by professionals...

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management

Delong, Lukasz
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the applied strategy or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target is contingent and as a replicating portfolio for that liability/target. This is usually the case for capital-protected investments and performance-linked pay-offs. We give examples of pricing, hedging and portfolio management problems (asset-liability management problems) which could be investigated in the framework of time-delayed BSDEs. Our motivation comes from life insurance and we focus on participating contracts and variable annuities. We derive the corresponding time-delayed BSDEs and solve them explicitly or at least provide hints how to solve them numerically. We give a financial interpretation of the theoretical fact that a time-delayed BSDE may not have a solution or may have multiple solutions.

Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

Perello, Josep; Sircar, Ronnie; Masoliver, Jaume
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones Index data.; Comment: 26 pages, 6 colored figures

Non-Parametric Extraction of Implied Asset Price Distributions

Healy, Jerome V.; Dixon, Maurice; Read, Brian J.; Cai, Fang Fang
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 26/07/2006 Português
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Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular...

Tug-of-war, market manipulation and option pricing

Nyström, Kaj; Parviainen, Mikko
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 07/10/2014 Português
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We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a parabolic partial differential equation involving the non-linear and completely degenerate infinity Laplace operator.

A finite dimensional approximation for pricing moving average options

Bernhart, Marie; Tankov, Peter; Warin, Xavier
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/11/2010 Português
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We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we propose to solve with a least squares Monte Carlo approach. We analyze the theoretical convergence rate of our method and present numerical results in the Black-Scholes framework.

Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility

Wang, D. F.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/07/1998 Português
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In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order for the theory to be self-consistent. The replicating methods in existing finance literature are shown to violate the self-financing constraint when the underlying asset has stochastic volatility. Correct self-financing hedge is formed in this article.; Comment: 8 pages, Revtex style

Mirror-time diffusion discount model of options pricing

Levin, Pavel
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic volatility data; it maintains the constant expected value at maturity of the hedged instantaneously self-financing portfolio. The payoff variance dependent on random stock price at maturity obtained under an equivalent martingale measure is taken as a condition for introduced "mirror-time" derivative diffusion discount process. Introduced ksi-return distribution, correspondent to the found general solution of backward drift-diffusion equation and normalized by theoretical diffusion coefficient, does not contain so-called "long tails" and unbiased for considered 2004-2007 S&P 100 index data. The model theoretically yields skews correspondent to practical term structure for interest rate derivatives. The method allows increasing the number of asset price probability distribution parameters.; Comment: 22 pages, 3 figures

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

Petroni, Nicola Cufaro; Sabino, Piergiacomo
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/07/2009 Português
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In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).; Comment: 16 pages

A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model

Borland, Lisa; Evnine, Jeremy; Pochart, Benoit
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/01/2005 Português
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This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.; Comment: Contribution to the Workshop on Complexity, Metastability and Nonextensivity, Erice 2004

Renewal equations for option pricing

Montero, Miquel
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.; Comment: 19 pages, 5 figures, svjour (epj); Enlarged and revised version, two new figures in a new subsection, and a new appendix added

Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints

Chabakauri, Georgy
Fonte: Elsevier Publicador: Elsevier
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em 10/12/2014 Português
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Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints.

Asset pricing with limited risk sharing and heterogeneous agents

Gomes, Francisco; Michaelides, Alexander
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /03/2005 Português
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We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. The high risk premium is driven by incomplete risk sharing among stockholders, which results from the combination of borrowing constraints and (realistically) calibrated life-cycle earnings profiles, subject to both aggregate and idiosyncratic shocks. We show that it is challenging to simultaneously match aggregate quantities (asset prices) and individual quantities (asset allocations). Furthermore, limited participation has a negligible impact on the risk premium, contrary to the results of models where it is imposed exogenously.