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Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10010478816
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The information content of derivatives for monetary policy: Implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10010478817
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On the Effects of Private Information on Volatility
Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; … - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …
Persistent link: https://www.econbiz.de/10010325972
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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
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Implied volatility of foreign exchange options: Is it worth tracking?
Gereben, Áron; Pintér, Klára - 2005
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …
Persistent link: https://www.econbiz.de/10010322417
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
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Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007
This paper performs a thorough statistical examination of the time-series properties of the market volatility index …
Persistent link: https://www.econbiz.de/10011807372
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …
Persistent link: https://www.econbiz.de/10010292171
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The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928