DSpace collection: 期刊論文

Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model

title: Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model abstract: The main purpose of this article is to provide an approximate general pricing formula for CMS spread options that can handle the case of nonzero strike rates. A generalized lognormal distribution is used to approximate the distribution of the difference between. two CMS rates. Pricing models for CMS spread options with nonzero strike rates are then derived under the multifactor LIBOR market model and also shown to be analytically tractable for practical implementation. The models are shown to be robustly accurate in comparison with Monte Carlo simulation.

The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

title: The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence abstract: This paper focuses on the defaultable lease rate term structure with endogenous default. We combine the competitive lease market argument proposed by Grenadier (1996) and the endogenous default structural model proposed by Leland and Toft (1996) to examine the interaction between the lessee's capital structure and the equilibrium lease rate. Under this framework, determining the lease rate is a simultaneous equation problem that captures the trade-off between debt and lease financing. Using data on 2,482 real estate lease transactions, we empirically confirm the predictions derived from the numerical analysis of the model.

THE INFORMATION CONTENT OF THE S&P 500 INDEX AND VIX OPTIONS ON THE DYNAMICS OF THE S&P 500 INDEX

title: THE INFORMATION CONTENT OF THE S&P 500 INDEX AND VIX OPTIONS ON THE DYNAMICS OF THE S&P 500 INDEX abstract: Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and density in the S&P 500 index. Our results reveal that the information content implied from these two option markets is not identical. In addition to the information extracted from the S&P 500 index options, all of the predictions for the S&P 500 index are significantly improved by the information recovered from the VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31: 1170-1201, 2011

THE IMPACT OF LIQUIDITY ON OPTION PRICES

title: THE IMPACT OF LIQUIDITY ON OPTION PRICES abstract: This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent with the explanation on hedging costs provided by Cetin, Jarrow, Protter, and Warachka (2006), whereas the latter is consistent with the "illiquidity premium" hypothesis of Amihud and Mendelson (1986a). This study also shows that the slope of the implied volatility curve can be partially explained by option liquidity. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31: 1116-1141, 2011