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Predicting volatility of stock indexes for option pricing on a small security market

Berglund, Tom; Hedvall, Kaj; Liljeblom, Eva - 1990

Persistent link: https://www.econbiz.de/10000816312

Three essays on executive compensation, mergers and acquisitions, and index changes

Cai, Jie - 2005

Persistent link: https://www.econbiz.de/10003952815

The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012

Persistent link: https://www.econbiz.de/10009504643

The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012

Persistent link: https://www.econbiz.de/10009485768

Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462

Persistent link: https://www.econbiz.de/10011300430

Modeling and predicting the market volatility index : the case of VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...

Persistent link: https://www.econbiz.de/10010478493