Loss Functions in Option Valuation: A Framework for Selection
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Dennis Bams & Thorsten Lehnert & Christian C. P. Wolff, "Loss Functions in Option Valuation: A Framework for Selection," Management Science, ...
RePEc: Thorsten Lehnert
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by Thorsten Lehnert; Mandelbrot and the Smile by Thorsten Lehnert; Market perceptions of US and European policy actions around the subprime crisis by Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi; Noise Trading and the Cross-Section of Index Option Prices by Fabian Irek & Thorsten Lehnert & Nicolas Martelin
Thorsten Lehnert | XanEdu Customization Platform
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Author: Thorsten Lehnert. Results. Stock option plans in EuroStoxx 50 companies Emerald Publishing By: Rutger Muurling; Thorsten Lehnert;.
Skewness Risk Premium: Theory and Empirical Evidence - Thorsten...
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Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we show theoretically that the aggregated excess market...
Mandelbrot and the Smile - Duncker & Humblot eLibrary
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By Thorsten Lehnert, Maastricht*. I. Introduction. There is extensive empirical evidence that observed market prices of traded options systematically differ ... › pdf › article › ma...
A Prospect Approach to Option Pricing by Christian C. P. Wolff,...
papers.ssrn.com
It's a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial numbe
Stein's Overreaction Puzzle: Option Anomaly or Perfectly Rational...
papers.ssrn.com
Empirical studies have shown that implied volatilities of long-term options react quite strongly to changes in implied volatilities of short-term options and do
Loss Functions in Option Valuation: A Framework for Model Selection...
papers.ssrn.com
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is imp
Journal of Risk Finance: Volume 15 Issue 5 - Emerald Insight
www.emerald.com
Maria Chiara Amadori, Lamia Bekkour, Thorsten Lehnert. This paper aims to investigate informational efficiency of stock, options and credit default swap ... › ... › Journal of Risk Finance
EconPapers: A Cumulative Prospect Theory Approach to Option Pricing
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By Christian Wolff, Thorsten Lehnert and Cokki Versluis; Abstract: It is a well known empirical fact that actual option prices show persistent and systematic
EconPapers: LSF Research Working Paper Series
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11-04: The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadari
EconPapers: Behavioral Heterogeneity in the Option Market
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Thorsten Lehnert (), Bart Frijns () and Remco Zwinkels () Additional contact information. Thorsten Lehnert: Luxembourg School of Finance, University of ...
All web results to the name "Thorsten Lehnert"
Behavioral heterogeneity in the option market
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by B Frijns · · Cited by 91 — Bart Frijns, Thorsten Lehnert, Remco C.J. Zwinkels. Behavioral heterogeneity in the option market. Journal of Economic Dynamics and Control, Elsevier, 2010, ... › hal
EFMA - European Financial Management Association
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Thorsten Lehnert, Yuehao Lin, Nicolas Martelin . Stein's Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior? › Rome › T.php
Loss Functions in Option Valuation: A Framework for Selection
pubsonline.informs.org
by D Bams · · Cited by 33 — Loss Functions in Option Valuation: A Framework for Selection. Dennis Bams,; Thorsten Lehnert,; Christian C. P. Wolff. › doi › mnsc
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