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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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A Closed-form Model-free Implied Volatility Formula through Delta Families
Cui, Zhenyu - 2020
In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The method is based on the novel use of the Dirac Delta function, corresponding delta families, and the change of variable technique. The formula is expressed through either a limit or...
Persistent link: https://www.econbiz.de/10012837341
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Information Uncertainty and Implied Volatilities
Hong, Jong-Woon - 2019
In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty … the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …
Persistent link: https://www.econbiz.de/10012870769
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10010297751
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors' preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10013428399
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10011445936
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Macroeconomic Information and Implied Volatility : Evidence from Australian Index Options
Tanha, Hassan - 2014
A key issue in understanding option pricing is the response of option implied volatility to macro-economic announcements. We use high frequency data on ASX SPI 200 Index Options to examine the response of option implied volatility, as well as higher moments of the underlying return distribution,...
Persistent link: https://www.econbiz.de/10013063162
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Stochastic interest rate modelling using a single or multiple curves : an empirical performance analysis of the Lévy forward price model
Verschuren, Robert Matthijs - 2020
In current financial markets negative interest rates have become rather persistent, while in theory it is often common practice to discard such rates as incredible and irrelevant. However, from a risk management perspective, it is crucially important to financial institutions to properly account...
Persistent link: https://www.econbiz.de/10012852344
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Jumps in Option Prices and Their Determinants : Real-Time Evidence From the E-Mini S&P 500 Options Market
Kapetanios, George - 2019
We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we employ high-frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are...
Persistent link: https://www.econbiz.de/10012859159
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On the computation of hedging strategies in affine GARCH models
Augustyniak, Maciej - 2020
This paper discusses risk-minimizing hedging strategies under affine GARCH models driven by Gaussian innovations. First, we derive a closed-form expression for an optimal hedge ratio under this model that is applicable to European derivatives with payoff functions that admit an inverse Laplace...
Persistent link: https://www.econbiz.de/10012847163