| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2030 |
| DP2030 Revenue Efficiency and Change of Control: The Case of Bankruptcy | |
| Leonardo Felli; Francesca Cornelli | |
| 发表日期 | 1998-11-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-structural method, based on a mixture of log-normal densities, and the semi-nonparametric ones, based on an Hermite approximation of Abken, Madan, Milne, and Ramamurtie, or based on an Edgeworth expansion of Jarrow and Rudd. We also consider two structural approaches namely Malz, who assumes a jump-diffusion for the underlying process, and Heston's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 and June 1997 - covering the 1997 snap election. Models differ when important news hits the market (here the anticipated elections). The non-structural model provides a good fit to options prices but is unable to provide as much information about market participants' expectations as Malz's jump-diffusion model. Methods based on polynomial expansions have difficulties describing the exchange rate data at hand. |
| 主题 | Financial Economics |
| 关键词 | Elections Exchange rate options Risk neutral density |
| URL | https://cepr.org/publications/dp2030 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531157 |
| 推荐引用方式 GB/T 7714 | Leonardo Felli,Francesca Cornelli. DP2030 Revenue Efficiency and Change of Control: The Case of Bankruptcy. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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