Today
Bookmark and Share    
Peer Reviewed
See detailThe Unblinking Eye: Labour Sciences and the Mechanical Registration of the Human Body
Herman, Frederik; Priem, Karin UL

in Smeyers, Paul; Depaepe, Marc (Eds.) (Re)Presentation, Dissemination and Reception: Purposes, Processes and Practices of Educational Research (in press)

Detailed reference viewed: 33 (1 UL)
Full Text
Peer Reviewed
See detailModel Uncertainty and Pricing Performance in Option Valuation
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten UL

in The Journal of Derivatives (2020), 27(3), 31-49

The objective of this paper is to evaluate option pricing model performance at the cross sectional level. For this purpose, we propose a statistical framework, in which we in particular account for the ... [more ▼]

The objective of this paper is to evaluate option pricing model performance at the cross sectional level. For this purpose, we propose a statistical framework, in which we in particular account for the uncertainty associated with the reported pricing performance. Instead of a single figure, we determine an entire probability distribution function for the loss function that is used to measure option pricing model performance. This methodology enables us to visualize the effect of parameter uncertainty on the reported pricing performance. Using a data driven approach, we confirm previous evidence that standard volatility models with clustering and leverage effects are sufficient for the option pricing purpose. In addition, we demonstrate that there is short-term persistence but long-term heterogeneity in cross-sectional option pricing information. This finding has two important implications. First, it justifies the practitioner’s routine to refrain from time series approaches, and instead estimate option pricing models on a cross-section by cross-section basis. Second, the long term heterogeneity in option prices pinpoints the importance of measuring, comparing and testing option pricing model for each cross-section separately. To our knowledge no statistical testing framework has been applied to a single cross-section of option prices before. We propose a methodology that addresses this need. The proposed framework can be applied to a broad set of models and data. In the empirical part of the paper, we show by means of example, an application that uses a discrete time volatility model on S&P 500 index options. [less ▲]

Detailed reference viewed: 99 (8 UL)
Full Text
Peer Reviewed
See detailTHE MARKET SKEWNESS-RETURN RELATIONSHIP, Plenary Talk
Lehnert, Thorsten UL

Scientific Conference (2019, September 25)

Detailed reference viewed: 33 (4 UL)
Full Text
Peer Reviewed
See detailSimple Conditionals with Constrained Right Weakening
Casini, Giovanni UL; Meyer, Thomas; Varzinczak, Ivan

in Proceedings of the 28th International Joint Conference on Artificial Intelligence (IJCAI 2019) (2019)

In this paper we introduce and investigate a very basic semantics for conditionals that can be used to define a broad class of conditional reasoning systems. We show that it encompasses the most popular ... [more ▼]

In this paper we introduce and investigate a very basic semantics for conditionals that can be used to define a broad class of conditional reasoning systems. We show that it encompasses the most popular kinds of conditional reasoning developed in logic-based KR. It turns out that the semantics we propose is appropriate for a structural analysis of those conditionals that do not satisfy the property of Right Weakening. We show that it can be used for the further development of an analysis of the notion of relevance in conditional reasoning. [less ▲]

Detailed reference viewed: 55 (5 UL)