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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011958447
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
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A functional analysis approach to the static replication of European options
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
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Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order
Schlögl, Erik - 2010
the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …
Persistent link: https://www.econbiz.de/10013135174
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Concept and Mathematics of Islamic Financial Engineering
Aydin, Nadi Serhan - 2012
We argue that Islamic principles, in particular the avoidance of ribā and gharar should be applied with respect to real economic value rather than to monetary value in terms of conventional currency. In order to reconcile monetary value with economic value, we propose a reference currency...
Persistent link: https://www.econbiz.de/10013102582
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Gram-Charlier Densities (Revised version)
Jondeau, Eric - 2015
The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance …
Persistent link: https://www.econbiz.de/10013038353
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The Valid Regions of Gram-Charlier Densities
Lin, Wei - 2020
truncated Gram-Charlier series where skewness and kurtosis directly appear as parameters. However, the existing literature is …
Persistent link: https://www.econbiz.de/10012838232
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Quantitative Selection of Long-Short Hedge Funds
Chen, Kevin - 2005
We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify...
Persistent link: https://www.econbiz.de/10012737497
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Financial Econometrics
Lo, Andrew W. - 2007
This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of...
Persistent link: https://www.econbiz.de/10012776824