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Modelling the implied probability of stock market movements
Glatzer, Ernst - 2003
Persistent link: https://www.econbiz.de/10013434536
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Modelling the implied probability of stock market movements
Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003
Persistent link: https://www.econbiz.de/10001749468
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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …
Persistent link: https://www.econbiz.de/10012650140
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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Hedging under alternative stickiness assumptions : an emperical analysis for barrier options
Engelmann, Bernd; Fengler, Matthias R.; Schwendner, Peter - In: Journal of risk 12 (2009/10) 1, pp. 53-77
Persistent link: https://www.econbiz.de/10003900335
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …
Persistent link: https://www.econbiz.de/10009612026
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Intraday and weekend volatility patterns : implications for option pricing
Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001557353
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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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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices
Bødskov Andersen, Allan (contributor);  … - 2002 - [Elektronische Ressource]
from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …
Persistent link: https://www.econbiz.de/10001723101
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869