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Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

Persistent link: https://www.econbiz.de/10012818141

Testing the information-based trading hypothesis in the option market : evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … accounts for prescient pricing behavior in options relative to stocks. …

Persistent link: https://www.econbiz.de/10012171287

The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus

Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16

In this paper, we examine the impact of destination risk and currency valuation on the U.S. tourism-growth nexus using the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by tourist arrivals, while growth is measured by real...

Persistent link: https://www.econbiz.de/10013161866

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

Persistent link: https://www.econbiz.de/10011552872

A Hausman test for partially linear models with an application to implied volatility surface

Jiang, Yixiao - In: Journal of risk and financial management : JRFM 13 (2020) 11/287, pp. 1-12

traded options data from September 2009 to December 2018, we find that a partially linear model permitting a flexible … and execute volatility-based strategies using at-the-money options for its high liquidity. …

Persistent link: https://www.econbiz.de/10012388603

Newton-Raphson emulation network for highly efficient computation of numerous implied volatilities

Lee, Geon; Kim, Tae-Kyoung; Kim, Hyun-Gyoon; Huh, Jeonggyu - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-8

In finance, implied volatility is an important indicator that reflects the market situation immediately. Many practitioners estimate volatility by using iteration methods, such as the Newton–Raphson (NR) method. However, if numerous implied volatilities must be computed frequently, the...

Persistent link: https://www.econbiz.de/10014284092

Forecasting the direction of daily changes in the India VIX index using machine learning

Prasad, Akhilesh; Bakhshi, Priti - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-26

Movements in the India VIX are an important gauge of how the market’s risk perception shifts from day to day. This research attempts to forecast movements one day ahead of the India VIX using logistic regression and 11 ensemble learning classifiers. The period of study is from April 2009 to...

Persistent link: https://www.econbiz.de/10014284423

Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models

Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 74-96

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices …

Persistent link: https://www.econbiz.de/10011555938

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

our mLRNVR when pricing options with GARCH models. …

Persistent link: https://www.econbiz.de/10012174118

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

parameters to the American style S&P 100 index options market, using the least square regression method. Moreover, we discuss … path-dependent options, such as Asian and Barrier options. …

Persistent link: https://www.econbiz.de/10012484130