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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

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

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

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - 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

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

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

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

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

A refined approach to estimating the implied volatility

Wang, Guan Jun; Islam, Mazhar M.; Ngassam, Christopher - In: International Journal of Business Forecasting and … 1 (2009) 2, pp. 122-133

In this paper we used a refined approach to estimating the implied volatility from options price in the classic … and Miller (1996) which works well for the Index options with the present value of strike price being close to the index … price. Our refined approach provides more accurate implied volatility estimation over a wider range of moneyness. …

Persistent link: https://www.econbiz.de/10009359979

Financial portfolio selection using the multifactor capital asset pricing model and imported options data

Dicle, Mehmet F. - In: Stata Journal 13 (2013) 3, pp. 603-617

, fetchyahoooptions, is provided to download and parse equity options data from Yahoo! Finance webpages and, optionally, to calculate the … implied volatilities for the downloaded options. Copyright 2013 by StataCorp LP. …

Persistent link: https://www.econbiz.de/10010691925