Similar Search Results

A comparison of implied and realized volatility in the Nordic power forward market

Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294

In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...

Persistent link: https://www.econbiz.de/10011208297

Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

Persistent link: https://www.econbiz.de/10011592500

A functional analysis approach to the static replication of European options

Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655

Persistent link: https://www.econbiz.de/10012483843

MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY

DASH, JAN W. - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1287-1304

applications in finance are given, including options, models for credit risk and derivatives, and correlation sensitivities. …

Persistent link: https://www.econbiz.de/10004977433

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of Economic Dynamics and Control 37 (2013) 3, pp. 611-632

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

Persistent link: https://www.econbiz.de/10011051905

Equivalent Black volatilities

Hagan, Patrick; Woodward, Diana - In: Applied Mathematical Finance 6 (1999) 3, pp. 147-157

We consider European calls and puts on an asset whose forward price F(t) obeys dF(t)=α(t)A(F)dW(t,) under the forward measure. By using singular perturbation techniques, we obtain explicit algebraic formulas for the implied volatility σB in terms of today's forward price F0 ≡ F(0), the...

Persistent link: https://www.econbiz.de/10005495434

Macroeconomic information and implied volatility: evidence from Australian index options

Tanha, Hassan; Dempsey, Michael; Hallahan, Terrence - In: Review of Behavioral Finance 6 (2014) September, pp. 46-62

options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … options. Findings –The findings suggest that in-the-money and out-of-the money options have difference characteristics in …

Persistent link: https://www.econbiz.de/10010895044

Monitoring Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of Financial Services Research 44 (2013) 3, pp. 229-257

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

Persistent link: https://www.econbiz.de/10010863572

Alternative Formulas to Compute Implied Standard Deviation

Ang, James S.; Jou, Gwoduan David; Lai, Tsong-Yue - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 159-176

value of the exercise price. Extension of the second formula's approach to third options value derives the third formula. A …

Persistent link: https://www.econbiz.de/10004964026

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