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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
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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
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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
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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
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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
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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), pp. 288-294
Persistent link: https://www.econbiz.de/10011533819
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The 2019 government shutdown increased uncertainty in major agricultural commodity markets
Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012817189
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Modeling realized volatility of the EUR/USD exchange rate : does implied volatility really matter?
Plíhal, Tomáš; Lyócsa, Štefan - In: International review of economics & finance : IREF 71 (2021), pp. 811-829
Persistent link: https://www.econbiz.de/10012630769
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What determines volatility smile in China?
Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
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Belief heterogeneity in the option markets and the cross-section of stock returns
Borochin, Paul; Zhao, Yanhui - In: Journal of banking & finance 107 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012224402