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Asset price volatility and option hedging in imperfectly elastic markets

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10004299305

Derivatives Trading in Emerging Economies with Special Reference to India

Sangmi, Mohi-ud-din; Ali, Khursheed; Chisti, Khalid Ashraf - In: The Journal of Accounting and Management (2013) 1, pp. 5-20

In this study The National Stock Exchange of India (NSE) has been taken as the sample exchange since this is the only exchange which provided the derivatives facility throughout the reference period of the study. The reference period of the study has been taken from 2001-02 to 2011-12.MAGR has...

Persistent link: https://www.econbiz.de/10011124157

Volatility forecasting in the framework of the option expiry cycle

Gwilym, Owain Ap; Buckle, Mike - In: The European Journal of Finance 5 (1999) 1, pp. 73-94

. Historical volatility estimators are found to have greater forecast accuracy than implied volatilities. Although implied … volatility is a biased estimator of realized volatility, regression tests show that it contains more information than historical … volatility. Also, a simple trading rule using historical volatility estimators is unable to exploit the forecast improvements …

Persistent link: https://www.econbiz.de/10005471845