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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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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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Option pricing
Jarrow, Robert A.; Rudd, Andrew - 1983
Persistent link: https://www.econbiz.de/10000065976
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Financial derivatives pricing : selected works of Robert Jarrow
Jarrow, Robert A. - 2008
Persistent link: https://www.econbiz.de/10003765886
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Convenience yields
Jarrow, Robert A. - In: Review of derivatives research 13 (2010) 1, pp. 25-43
Persistent link: https://www.econbiz.de/10008695502
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The dangers of calibration and hedging the Greeks in option pricing
Chatterjea, Arkadev; Jarrow, Robert A. - In: Journal of financial education 38 (2012) 1/2, pp. 1-12
Persistent link: https://www.econbiz.de/10009615610
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Pricing derivatives on financial securities subject to credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Credit risk models and management, (pp. 333-374). 2004
Persistent link: https://www.econbiz.de/10002432611
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An integrated approach to the hedging and pricing of Eurodollar derivatives
Jarrow, Robert A. - In: The journal of risk and insurance : the journal of the … 64 (1997) 2, pp. 271-299
Persistent link: https://www.econbiz.de/10001227995
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Option pricing and implicit volatilities
Jarrow, Robert A. - In: Journal of economic surveys 3 (1989) 1, pp. 59-81
Persistent link: https://www.econbiz.de/10001072609
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Financial Derivatives Pricing : Selected Works of Robert Jarrow
Jarrow, Robert A. - 2009
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations...
Persistent link: https://www.econbiz.de/10013156482