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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
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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
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Delta-neutral volatility trading with intra-day prices : an application to options on the DAX
Schmitt, Christian; Kähler, Jürgen - 1996
Persistent link: https://www.econbiz.de/10013428096
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Some questions on the pricing of SPI futures contracts
Heaney, Richard A. - 1993
Persistent link: https://www.econbiz.de/10000889675
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Uncertainty shocks and inflation dynamics in the U.S.
Haque, Qazi; Magnusson, Leandro M. - 2020
Persistent link: https://www.econbiz.de/10012601651
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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
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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
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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
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Market depth and order size : an analysis of permanent price effects of DAX futures' trades
Kempf, Alexander; Korn, Olaf - 1998
In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...
Persistent link: https://www.econbiz.de/10013428144
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...
Persistent link: https://www.econbiz.de/10010249730