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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
The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...
Persistent link: https://www.econbiz.de/10014301573
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
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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
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
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
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
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
The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...
Persistent link: https://www.econbiz.de/10011543979