Narrow search
Showing 1 - 10 of 230
Cover Image
How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
Cover Image
A Non-Parametric Option Pricing Model: Theory and Empirical Evidence
Chen, Ren-Raw; Palmon, Oded - In: Review of Quantitative Finance and Accounting 24 (2005) 2, pp. 115-134
In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options …
Persistent link: https://www.econbiz.de/10005701215
Cover Image
War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
Cover Image
Demand-Based Option Pricing
Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … demand helps explain the overall expensiveness and skew patterns of both index options and single-stock options. …
Persistent link: https://www.econbiz.de/10005067592
Cover Image
Volatility Derivatives
Carr, Peter; Lee, Roger - In: Annual Review of Financial Economics 1 (2009) 1, pp. 319-339
volatility of an underlying asset. Prominent examples of these derivatives include variance swaps and VIX futures and options. We …
Persistent link: https://www.econbiz.de/10008777002
Cover Image
The Dynamics of the S&P 500 Implied Volatility Surface
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les - In: Review of Derivatives Research 3 (2000) 3, pp. 263-282
This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and surfaces by applying Principal Components Analysis. Two components are identified...
Persistent link: https://www.econbiz.de/10005678293
Cover Image
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude; Mingone, Arianna - In: The journal of computational finance : JFC 27 (2023) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
Cover Image
The risk-reversal premium
Hull, Blair; Sinclair, Euan - In: The journal of investment strategies 11 (2022) 1, pp. 59-75
Persistent link: https://www.econbiz.de/10014335810
Cover Image
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248207