Essays on market frictions and model misspecification in asset pricing:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Enth. 4 Sonderabdr. |
| Beschreibung: | XII, 157 S. graph. Darst. 21 cm |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035715205 | ||
| 003 | DE-604 | ||
| 005 | 20100317 | ||
| 007 | t | ||
| 008 | 090908s2009 gw d||| m||| 00||| eng d | ||
| 015 | |a 09,H08,0472 |2 dnb | ||
| 016 | 7 | |a 99470416X |2 DE-101 | |
| 035 | |a (OCoLC)429683009 | ||
| 035 | |a (DE-599)DNB99470416X | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE | ||
| 049 | |a DE-384 |a DE-739 |a DE-355 |a DE-703 |a DE-188 | ||
| 082 | 0 | |a 332.6 |2 22/ger | |
| 084 | |a QP 750 |0 (DE-625)141933: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Seeger, Norman |d 1977- |e Verfasser |0 (DE-588)138364524 |4 aut | |
| 245 | 1 | 0 | |a Essays on market frictions and model misspecification in asset pricing |c vorgelegt von Norman Seeger |
| 264 | 1 | |c 2009 | |
| 300 | |a XII, 157 S. |b graph. Darst. |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Enth. 4 Sonderabdr. | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2009 (Nicht für den Austausch) | ||
| 650 | 7 | |a Börsenkurs |2 stw | |
| 650 | 7 | |a Hedging |2 stw | |
| 650 | 7 | |a Kapitalmarkttheorie |2 stw | |
| 650 | 7 | |a Modell-Spezifikation |2 stw | |
| 650 | 7 | |a Optionspreistheorie |2 stw | |
| 650 | 7 | |a Stochastischer Prozess |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Transaktionskosten |2 stw | |
| 650 | 7 | |a USA |2 stw | |
| 650 | 7 | |a Volatilität |2 stw | |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Transaktionskosten |0 (DE-588)4060619-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionspreis |0 (DE-588)4115453-8 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Optionspreis |0 (DE-588)4115453-8 |D s |
| 689 | 0 | 1 | |a Transaktionskosten |0 (DE-588)4060619-3 |D s |
| 689 | 0 | 2 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | |5 DE-188 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017992072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017992072 | ||
Datensatz im Suchindex
| _version_ | 1804139923507249152 |
|---|---|
| adam_text | Titel: Essays on market frictions and model misspecification in asset pricing
Autor: Seeger, Norman
Jahr: 2009
VII
Inhaltsverzeichnis
Part I Zusammenfassung
Zusammenfassung
Norman Seeger............................................................ 3
Part II Research Papers
Hedging Options in Illiquid Markets
Burkart Mönch, Norman Seeger.............................................. 17
Do Transaction Costs Affect the Optimal Exercise Strategy for American
Put Options?
Norman Seeger............................................................ 49
Hedging Under Model Mis-Specification: All Risk Factors are Equal,
But Some are More Equal than Others ...
Nicole Branger, Christian Schlag, Eva Schneider, Norman Seeger................ 79
Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An
Empirical Analysis of S P500 Dynamics
Katja Ignatieva, Paulo Rodrigues, Norman Seeger.............................. 113
Part III Appendix
Curriculum Vitae........................................................ 153
VIII
Ehrenwörtliche Erklärung............................................... 157
Abbildungsverzeichnis IX
Abbildungsverzeichnis
Hedging Options in Illiquid Markets
Fig. 1 Non-recombinding and recombinding binomial tree 24
Fig. 2 Composition of overall transaction costs 33
Fig. 3 Sensitivity of abs. bid-ask spread w.r.t moneyness and time to maturity 34
Fig. 4 Sensitivity of abs. bid-ask spread w.r.t the half spread in the underlying 34
Fig. 5 Linear and non-linear transaction cost functions 35
Fig. 6 Histogram of spread ratios for Scenario 1 and Scenario S 37
Fig. 7 Histogram of spread ratios for options on non-dividend and dividend
paying Stocks 38
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put
Options?
Fig. 1 Binomial tree with and without transaction costs 56
Fig. 2 No-arbitrage and no-dominance condition for varying transaction costs 61
Fig. 3 Simultaneous Variation of 0 and At 62
Fig. 4 Simultaneous Variation of 6 and a 63
Fig. 5 GRR strategy versus ToZa strategy 64
Fig. 6 Difference between CRR and ToZa strategy 65
Fig. 7 GRR vs ToZa strategy for different levels of 6 74
Fig. 8 CRR vs ToZa strategy for increasing At 75
Fig. 9 CRR vs ToZa strategy for increasing ex 76
Fig. 10 CRR vs ToZa strategy for different levels of moneyness 77
Fig. 11 GRR vs ToZa strategy for increasing T 78
X Abbüdungsverzeichnis
Hedging Under Model Mis-Speclfication: All Risk Factors are Equal, But Some
Are More Equal than Others ...
Fig. 1 Imf lied volatUities and Option prices 107
Fig. 2 Standard deviation of hedging errors without model mis-specification 108
Fig. 3 Performance of delta hedges 109
Fig. 4 Delta and vega for true and calibrated modeis HO
Fig, 5 Performance of minimum-variance hedges Hl
Fig. 6 Per/ormance of delta-vega hedges 112
Stochastic VolatiUty and Jumps: Exponentially Affine Yes or No? An Empirical
Analysis of S P500 Dynamics
QQ ploU for SV model specifications 137
Annualized daily spot volatility path for SV model specifications 138
Annualized daily conditional leverage path for SV model specifications 139
Oondüional volatility of variance path for SV model specifications 140
QQ plots for SVJ model specifications 141
Annualized daily spot volatility path for SVJ model specifications 142
Annualized daily conditional leverage path for SVJ model specifications 143
Gonditional volatility of Dariance path for SVJ model specifications 144
Jump times and jnmp sizes in returns for SVJ model specifications 145
QQ plots for SVCJ model specifications 146
Annualized daily spot volatility pafh for SVCJ model specifications 147
Annualized daily conditional leverage path for SVCJ model specifications 148
Conditional volatäity of variance jwtft for SVCJ model specifications 149
Jump times andjump sizes in retums and volatilüiew for SVJC
model specifications 150
Kg. 1
Fig. 2
Fig. 3 A
rlg. Fig. *! 5
Fig. 6
Fig. 7
Fig. 8
Fig. 9
Fig. 10
Kg. 11
Kg. 12
Kg. 13
Fig. 14
Tabellenverzeichnis XI
Tabellenverzeichnis
Hedging Options in Illiquid Markets
Tab. 1 Relative bid-ask spreads for Volkswagen Stocks and options 18
Tab. 2 Characteristics of the benchmark call Option on Volkswagen 32
Tab. 3 Bid and ask prices for different trading volumes and order book
impact fimctions 36
Tab. 4 Summary statistics for the spread ratio 37
Tab. 5 OLS results for regression of empirical spread on theoretical spread 39
Tab. 6 Mean difference between empirical and model spread for different maturity
and tnoneyness classes 40
Tab. 7 Description of the DAX index 45
Tab. 8 Dividends and dividend dates of DAX companies 46
Tab. 9 Frequency analysis of moneyness and maturity classes 47
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put
Options?
Tab. 1 Parameter sei of benchmark case 60
Tab. 2 Neglect error for varying strike price and time to maturity 68
Tab. 3 Transaction eost factors for 30 DAX Stocks, first quarter 2002 73
XII TabeUenveraeichms
Hedging Under Model Mis-Specification: AU Risk Pactors are Equal, But Some
Are More Equal than Others ...
100
Tab. 1 Galibmted poraroeters
Tab. 2 Qwmtiles of hedging errors (BS delta hedge)
Tab. 3 QuanüUs of hedging errors (Merton delta hedge)
1 n^t
Tab. 4 Quantües of hedging errors (Merton MV hedge)
Tab. 5 Quantües of hedging errors (Heston delta hedge)
Tab. 6 Quantües of hedging errors (Heston MV hedge)
Tab. 7 Quantües of hedging errors (Heston delta-vega hedge)
104
Tab. 5 Quantües of hedging errors (Heston delta hedge)
Tab. 6 Quantües of hedging errors (Heston MV hedge) 10
Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical
Analysis of S P500 Dynamics
Tab. 1 Stochastic volatility specifications *
Tab. 2 Parameter estimates for SV model class 125
Tab. 3 Parameter estimates for SVJ model class 12
Tab. 4 Parameter estimates for SVCJ model class 130
Tab. 5 Models across all model classes ranked by DIC statistics 132
Tab. 6 Bayes factors for comparing model classes ^
|
| any_adam_object | 1 |
| author | Seeger, Norman 1977- |
| author_GND | (DE-588)138364524 |
| author_facet | Seeger, Norman 1977- |
| author_role | aut |
| author_sort | Seeger, Norman 1977- |
| author_variant | n s ns |
| building | Verbundindex |
| bvnumber | BV035715205 |
| classification_rvk | QP 750 |
| ctrlnum | (OCoLC)429683009 (DE-599)DNB99470416X |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02170nam a2200577 c 4500</leader><controlfield tag="001">BV035715205</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100317 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090908s2009 gw d||| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">09,H08,0472</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">99470416X</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)429683009</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB99470416X</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 750</subfield><subfield code="0">(DE-625)141933:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Seeger, Norman</subfield><subfield code="d">1977-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)138364524</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Essays on market frictions and model misspecification in asset pricing</subfield><subfield code="c">vorgelegt von Norman Seeger</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 157 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">21 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Enth. 4 Sonderabdr.</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Frankfurt am Main, Univ., Diss., 2009 (Nicht für den Austausch)</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Börsenkurs</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Hedging</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Modell-Spezifikation</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastischer Prozess</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Theorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Transaktionskosten</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">USA</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Volatilität</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Transaktionskosten</subfield><subfield code="0">(DE-588)4060619-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreis</subfield><subfield code="0">(DE-588)4115453-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreis</subfield><subfield code="0">(DE-588)4115453-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Transaktionskosten</subfield><subfield code="0">(DE-588)4060619-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017992072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017992072</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Aufsatzsammlung Hochschulschrift |
| id | DE-604.BV035715205 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:51:48Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017992072 |
| oclc_num | 429683009 |
| open_access_boolean | |
| owner | DE-384 DE-739 DE-355 DE-BY-UBR DE-703 DE-188 |
| owner_facet | DE-384 DE-739 DE-355 DE-BY-UBR DE-703 DE-188 |
| physical | XII, 157 S. graph. Darst. 21 cm |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| record_format | marc |
| spelling | Seeger, Norman 1977- Verfasser (DE-588)138364524 aut Essays on market frictions and model misspecification in asset pricing vorgelegt von Norman Seeger 2009 XII, 157 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Enth. 4 Sonderabdr. Frankfurt am Main, Univ., Diss., 2009 (Nicht für den Austausch) Börsenkurs stw Hedging stw Kapitalmarkttheorie stw Modell-Spezifikation stw Optionspreistheorie stw Stochastischer Prozess stw Theorie stw Transaktionskosten stw USA stw Volatilität stw Volatilität (DE-588)4268390-7 gnd rswk-swf Transaktionskosten (DE-588)4060619-3 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreis (DE-588)4115453-8 s Transaktionskosten (DE-588)4060619-3 s Volatilität (DE-588)4268390-7 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017992072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Seeger, Norman 1977- Essays on market frictions and model misspecification in asset pricing Börsenkurs stw Hedging stw Kapitalmarkttheorie stw Modell-Spezifikation stw Optionspreistheorie stw Stochastischer Prozess stw Theorie stw Transaktionskosten stw USA stw Volatilität stw Volatilität (DE-588)4268390-7 gnd Transaktionskosten (DE-588)4060619-3 gnd Optionspreis (DE-588)4115453-8 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4060619-3 (DE-588)4115453-8 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Essays on market frictions and model misspecification in asset pricing |
| title_auth | Essays on market frictions and model misspecification in asset pricing |
| title_exact_search | Essays on market frictions and model misspecification in asset pricing |
| title_full | Essays on market frictions and model misspecification in asset pricing vorgelegt von Norman Seeger |
| title_fullStr | Essays on market frictions and model misspecification in asset pricing vorgelegt von Norman Seeger |
| title_full_unstemmed | Essays on market frictions and model misspecification in asset pricing vorgelegt von Norman Seeger |
| title_short | Essays on market frictions and model misspecification in asset pricing |
| title_sort | essays on market frictions and model misspecification in asset pricing |
| topic | Börsenkurs stw Hedging stw Kapitalmarkttheorie stw Modell-Spezifikation stw Optionspreistheorie stw Stochastischer Prozess stw Theorie stw Transaktionskosten stw USA stw Volatilität stw Volatilität (DE-588)4268390-7 gnd Transaktionskosten (DE-588)4060619-3 gnd Optionspreis (DE-588)4115453-8 gnd |
| topic_facet | Börsenkurs Hedging Kapitalmarkttheorie Modell-Spezifikation Optionspreistheorie Stochastischer Prozess Theorie Transaktionskosten USA Volatilität Optionspreis Aufsatzsammlung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017992072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT seegernorman essaysonmarketfrictionsandmodelmisspecificationinassetpricing |