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Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin; Jarrow, Robert A. - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
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An explosion time characterization of asset price bubbles
Jarrow, Robert A.; Kwok, Simon Sai Man - In: International review of finance : the official journal … 23 (2023) 2, pp. 469-479
Persistent link: https://www.econbiz.de/10014326312
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Option pricing
Jarrow, Robert A.; Rudd, Andrew - 1983
Persistent link: https://www.econbiz.de/10000065976
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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …
Persistent link: https://www.econbiz.de/10012974407
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Discretely sampled variance and volatility swaps versus their continuous approximations
Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10009730815
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Liquidity Suppliers and High Frequency Trading
Jarrow, Robert A. - 2013
This paper provides a mathematical analysis of how high frequency traders profi t from their speed with respect to the limit order book. We show that their pro ts can be decomposed into two components. The rest is due to their ability to execute market orders at limit order prices and without...
Persistent link: https://www.econbiz.de/10013071783
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Variance and Volatility Swaps : Bubbles and Fundamental Prices
Jarrow, Robert A. - 2010
continuous semimartingales, we characterize the conditions under which variance and volatility swaps inherit the underlying asset …
Persistent link: https://www.econbiz.de/10013141918
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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
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Modeling fixed income securities and interest rate options
Jarrow, Robert A. - 2020 - Third edition
"The third edition of this popular textbook offers several new updates. The book presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models. The author's pricing model is widely...
Persistent link: https://www.econbiz.de/10012098809
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An introduction to derivative securities, financial markets, and risk management
Jarrow, Robert A.; Chatterjea, Arkadev - 2019 - Second edition
Persistent link: https://www.econbiz.de/10011855540