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This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011506571
incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility …
Persistent link: https://www.econbiz.de/10010266937
examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are … evaluated on several cost functions. Results from such analysis can be used to appraise the need for hedging. Of the three …
Persistent link: https://www.econbiz.de/10010292735
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10010303744
Persistent link: https://www.econbiz.de/10010316281
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular …. The first step requires to extract implied volatility data from observed option prices, in the second step the actual … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …
Persistent link: https://www.econbiz.de/10010296461
volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …
Persistent link: https://www.econbiz.de/10010296646
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
Persistent link: https://www.econbiz.de/10010478817
on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …
Persistent link: https://www.econbiz.de/10010263102