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The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies

Hammoudeh, Shawkat; Yuan, Yuan; McAleer, Michael - 2010

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The effect of exchange rate fluctuations on the performance of small and medium sized enterprises : implications for Brexit

Belghitar, Yacine; Clark, Ephraim; Dropsy, Vincent; … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 399-410

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Volatility estimation for stock index options : a GARCH approach

Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450

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Testing the alternative two-state options pricing models : An empirical analysis on TXO

Su, Ender; Wong, Kai Wen - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 101-116

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Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10011872403