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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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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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Unifying exotic option closed formulas
Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010
This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...
Persistent link: https://www.econbiz.de/10010301702
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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...
Persistent link: https://www.econbiz.de/10010303744
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Option replication with large transactions costs
Reiß, Ariane - 1997
In this paper we addressed the problem of determining the optimal replicating strategy for a European call option under differential transactions costs. We derived an upper boundary for the cost factor in a market where all Investors face the same factor. This upper boundary ensures the...
Persistent link: https://www.econbiz.de/10010435527
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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011
an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …
Persistent link: https://www.econbiz.de/10010305714
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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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Keine erhöhte Volatilität auf Agrarmärkten durch Optionshandel
Prehn, Sören; Glauben, Thomas; Dannemann, Tebbe; … - In: Wirtschaftsdienst 95 (2015) 4, pp. 280-283
dealers. Concerns that soaring options trading could spark incremental volatility of international agricultural commodity … options trading does not have a volatility increasing effect. …
Persistent link: https://www.econbiz.de/10011773179