Questions tagged [market-model]

The tag has no usage guidance.

9 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
10
votes
1answer
606 views

Zero Coupon Bond prices in One Factor Hull White model

I implemented the one factor Hull White model for educational purposes and I calibrated the model from a given (made up!) yield curve: The Zero Coupon Bond Prices from this yield curve are: Taking ...
3
votes
0answers
427 views

Modeling market sentiment and pricing options by volume, open interest

Are there any empirically-proven methods/formulas for weighting IV surfaces, pricing a discount/premium in an option, and/or adjusting any of the 1st- or 2nd-order Greeks for the magnitude (volume or ...
1
vote
0answers
105 views

Modelling Order Flow

I am trying to model the number of order that come at a distance d from the top of the book on either side, both bid and ask. I was wondering what is a good way to model orders which improve the ...
1
vote
0answers
62 views

Interpretation of Market Price of Volatility Risk

In option pricing with market model equipped with stochastic volatility, there are numerous times mentioning "market price of volatility risk" without even define or give any explanation regarding the ...
1
vote
0answers
79 views

What is the intuition to believe that a properly designed option can be dynamically hedged (just for the 1 stock case)?

I would always presume that the portfolio consists of 1 stock and 1 risk-free asset. And that the $r, \alpha,\sigma$ are all non-zero, but might be time-dependent. When I say "any" option, I am ...
0
votes
0answers
30 views

Interpretation of SML (Security Market Line) parameters

I estimated a SML in terms of excess returns and I get the following parameters: $\gamma_0=0.0286$ $\gamma_1=0.0263$ How can i give an economic interpretation of these two values? How they shape ...
0
votes
0answers
38 views

What trading granularity has the strongest self-influence on Forex market?

As I understand, the effects that influence the Forex prices (for the major pairs) can be described as: inside effects - short term speculations by humans/robots real world events - larger scale ...
0
votes
0answers
27 views

Market model for european/american options on underlying paying discrete cash (and maybe proportional) dividends

Black Scholes is the market model for european and american options on an underlying paying no dividends. What is the standard market model for european or american options of underlyings paying ...
0
votes
0answers
110 views

Deriving Single Index Model (Market Model)

is the return of the stock of observation is the return of the reference market is the regression coefficient between the observed stock and the reference market is the regression intercept between ...