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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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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
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The Supply and Demand of S&P 500 Put Options
Constantinides, George M.; Lian, Lei - National Bureau of Economic Research (NBER) - 2015
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage models. The key to the puzzle lies in recognizing that, as the disaster risk increases, customers...
Persistent link: https://www.econbiz.de/10011276422
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Notes for a Contingent Claims Theory of Limit Order Markets
Lehmann, Bruce N. - National Bureau of Economic Research (NBER) - 2005
observation: limit orders are equivalent to a portfolio of cash-or-nothing and asset-or-nothing digital options on market order … trading or hedging of limit orders is not feasible. Fortunately, none of these problems is fatal since options on order flow …
Persistent link: https://www.econbiz.de/10005714400
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Cephalon, Inc. Taking Risk Management Theory Seriously
Chacko, George; Tufano, Peter; Verter, Geoffrey - National Bureau of Economic Research (NBER) - 2000
large block of call options on its own stock. If the FDA approved the firm's new drug, the firm would have large cash needs …, which the options were designed to meet. We analyze this stated rationale for the firm's choice, applying the cash flow …
Persistent link: https://www.econbiz.de/10005774665
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Model Uncertainty and Liquidity
Routledge, Bryan R.; Zin, Stanley E. - National Bureau of Economic Research (NBER) - 2001
Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset pricing and trading, in these cases, are intrinsically...
Persistent link: https://www.econbiz.de/10005089127
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Asset Return Dynamics under Bad Environment Good Environment Fundamentals
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …
Persistent link: https://www.econbiz.de/10005037685
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Generalized Transform Analysis of Affine Processes and Applications in Finance
Chen, Hui; Joslin, Scott - National Bureau of Economic Research (NBER) - 2011
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations. We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general...
Persistent link: https://www.econbiz.de/10008876853
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Does option trading convey stock price information?
Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock … independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the … cross section controlling for the past stock and options returns, but the imbalance independent of options has only a …
Persistent link: https://www.econbiz.de/10010743556
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Pinning in the S&P 500 futures
Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585
options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …
Persistent link: https://www.econbiz.de/10010587978