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Time-varying volatility estimates in option pricing : can superior estimates be obtained?

Brailsford, Timothy J.; Oliver, Barry R. - 1993 - 1. draft

Persistent link: https://www.econbiz.de/10000889671

Delta-neutral volatility trading with intra-day prices : an application to options on the DAX

Schmitt, Christian; Kaehler, Jürgen - 1996

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …

Persistent link: https://www.econbiz.de/10011622744

Delta-neutral volatility trading with intra-day prices : an application to options on the DAX

Schmitt, Christian; Kaehler, Jürgen - 1996

Persistent link: https://www.econbiz.de/10013428096

The good, the bad, and the asymmetric : evidence from a new conditional density model

Kostyrka, Andreï; Malakhov, Dmitry - 2021

Persistent link: https://www.econbiz.de/10012542854

Uncertainty shocks and inflation dynamics in the U.S.

Haque, Qazi; Magnusson, Leandro M. - 2020

Persistent link: https://www.econbiz.de/10012601651

Empirical evidence on the dynamics of investment under uncertainty in the U.S.

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012208719

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus - 2001

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10013428452

Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets : identification using prices of gold and oil

Bettendorf, Timo - 2025

This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski (2018), we identify uncertainty shocks using the price...

Persistent link: https://www.econbiz.de/10015410353

Some questions on the pricing of SPI futures contracts

Heaney, Richard A. - 1993

Persistent link: https://www.econbiz.de/10000889675

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik - 2002

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

Persistent link: https://www.econbiz.de/10013428466