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AutorRahe, Florentindc.contributor.author
Aufnahmedatum2016-03-15T09:04:14Zdc.date.accessioned
In OPARU verfügbar seit2016-03-15T09:04:14Zdc.date.available
Jahr der Erstellung2012dc.date.created
ZusammenfassungIn this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic volatility) model - which allows to account for time-varying risk aversion. Thereby, we are able to capture the empirical properties of pricing kernels, such as time-variation and the typical S-shape, which is important in order to extract the forward-looking information from option prices. Moreover, the 2-Factor SV model allows to discover the risk preferences of market participants through time. Within an empirical study we apply the 2-Factor SV model by analyzing the risk preferences of market participants from 2001 to 2009 based on S&P 500 index options. We find that risk aversion of market participants strongly increases during stressed market conditions and relaxes during normal market conditions. Moreover, we find that market participants are risk seeking some time before the subprime mortgage crises. In the second part of the empirical study we analyze the ability of the 2-Factor SV model to extract the forward-looking information from option prices. We therefore perform Value-at-Risk (VaR) forecast for the S&P 500 index during the period of the subprime mortgage crises. In order to better classify the corresponding forecasting results, we also perform VaR forecasts based on three alternative VaR models, namely the Black-Scholes and the Heston model, which also rely on option-implied information, and the GARCH model, which relies on historical return information. As a result, the 2-Factor SV model has the best forecasting performance, followed by the Black-Scholes, the Heston and the GARCH model. In particular, the 2-Factor SV model is the only one, which is able to perform highly accurate VaR forecasts for all confidence levels (95 %, 99 % and 99.9 %) and forecasting horizons (1, 2, 3 and 4 weeks) despite the challenging forecasting period.dc.description.abstract
Spracheendc.language.iso
Verbreitende StelleUniversität Ulmdc.publisher
LizenzStandarddc.rights
Link zum Lizenztexthttps://oparu.uni-ulm.de/xmlui/license_v3dc.rights.uri
SchlagwortAffine processdc.subject
SchlagwortForward-lookingdc.subject
SchlagwortPricing kerneldc.subject
SchlagwortS-shapedc.subject
SchlagwortTime-varying risk aversiondc.subject
SchlagwortUnscented Kalman filterdc.subject
SchlagwortValue-at-riskdc.subject
SchlagwortVariance risk premiumdc.subject
SchlagwortVega scalingdc.subject
DDC-SachgruppeDDC 510 / Mathematicsdc.subject.ddc
LCSHForecastingdc.subject.lcsh
LCSHRisk managementdc.subject.lcsh
TitelOption pricing under time-varying risk aversion with applications to risk forecastingdc.title
RessourcentypDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-2550dc.identifier.doi
PPN383922623dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-85538dc.identifier.urn
GNDRisikoaversiondc.subject.gnd
FakultätFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Datum der Freischaltung2013-06-24T15:36:39Zuulm.freischaltungVTS
Peer-Reviewneinuulm.peerReview
Signatur DruckexemplarW: W-H 13.299uulm.shelfmark
DCMI MedientypTextuulm.typeDCMI
VTS-ID8553uulm.vtsID
KategoriePublikationenuulm.category


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