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Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010491388

FIX: the fear index : measuring market fear

Dhaene, Jan; Dony, Julia; Forys, Monika B.; Linders, Daniel - 2011

Persistent link: https://www.econbiz.de/10009428158

The herd behavior index : a new measure for systemic risk in financial markets

Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - 2011

Persistent link: https://www.econbiz.de/10009485835

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014

Persistent link: https://www.econbiz.de/10011418887

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011333475

On the (in-)dependence between financial and actuarial risks

Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; … - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 522-531

Persistent link: https://www.econbiz.de/10009763595

A note on the independence between financial and actuarial risks

Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; … - 2012

Persistent link: https://www.econbiz.de/10009731599

A multivariate dependence measure for aggregating risks

Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - 2013

Persistent link: https://www.econbiz.de/10010204096

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010464790

Static hedging of Asian options under Lévy models

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72

Persistent link: https://www.econbiz.de/10002672510