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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which … options which possibly have a positive value at the point of creation and non-negative value at the expiration time. An … ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …
Persistent link: https://www.econbiz.de/10011437891
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10003727608
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Calibration design of implied volatility surfaces
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006
this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …
Persistent link: https://www.econbiz.de/10003324186
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V. (contributor) - 2006
special analytic properties of the value function at the optimal stopping boundaries. -- American double barrier options …
Persistent link: https://www.econbiz.de/10003375783
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FX smile in the Heston model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010
a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work … we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters …
Persistent link: https://www.econbiz.de/10008663372
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Volatility investing with variance swaps
Härdle, Wolfgang; Silyakova, Elena - 2010
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...
Persistent link: https://www.econbiz.de/10003952648