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1
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer
(
contributor
);
Veith, Jochen
(
contributor
)
-
2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
Saved in:
2
The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger
-
1995
Persistent link: https://www.econbiz.de/10009699999
Saved in:
3
Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger
-
1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10009700000
Saved in:
4
Modeling and predicting the market
volatility
index : the case of VKOSPI
Han, Heejoon
;
Kutan, Ali Mustafa
;
Ryu, Doojin
-
2015
) the statistical properties of the Korea's representative implied
volatility
index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied
volatility
process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied
volatility
index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10010478493
Saved in:
5
New Nonlinear Jump Diffusion Models for Stock Price and Option Pricing
Pang, Huadong (Henry)
-
2010
Persistent link: https://www.econbiz.de/10013134942
Saved in:
6
The Informational Content of High-Frequency Option Prices
Amaya, Diego
-
2020
We propose the option realized variance as an observable variable to summarize information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute the option's total variability for a given day. Using the S&P 500 index time series and...
Persistent link: https://www.econbiz.de/10012854257
Saved in:
7
New evidence on the information content of implied
volatility
of S&P 500 : model-free versus model-based
Zhang, Weiwei
;
Sun, Tiezhu
;
Ma, Yechi
;
Wang, Zilong
- In:
Romanian journal of economic forecasting
24
(
2021
)
1
,
pp. 109-121
Persistent link: https://www.econbiz.de/10012587118
Saved in:
8
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume
;
Brignone, Riccardo
;
Scotti, Simone
; …
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
Saved in:
9
Pricing
Volatility
Options Under Stochastic Skew with Application to the VIX Index
Marabel Romo, Jacinto
-
2015
In recent years there has been a remarkable growth of
volatility
options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping
volatility
skew and the shape of the skew is largely … independent of the
volatility
level. To take into account these stylized facts, this article introduces a novel two …
Persistent link: https://www.econbiz.de/10013033193
Saved in:
10
Price discovery for options
Malamud, Semyon
;
Tseng, Michael
;
Zhang, Yuan
-
2020
return, such as
volatility
or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the
volatility
straddle …
Persistent link: https://www.econbiz.de/10012271186
Saved in:
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