Similar Search Results

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285

Implied volatility sentiment : a tale of two tails

Stork, Philip; Félix, Luiz; Kräussl, Roman - 2017

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

Persistent link: https://www.econbiz.de/10011583312

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

Persistent link: https://www.econbiz.de/10010465152

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010464790

What option prices tell us about the ECB's unconventional monetary policies

Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

Persistent link: https://www.econbiz.de/10011940034

Pricing double barrier options : an analytical approach

Pelsser, Antoon André Jean - 1997

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...

Persistent link: https://www.econbiz.de/10010232861

Single stock call options as lottery tickets

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2016

This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight small probability events and overpay for such...

Persistent link: https://www.econbiz.de/10011446895

Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724148

1
2
3
4
5
6
7
8
9
10
Next
Last