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The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87

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Theta neutral gamma hedging

Högholm, Kenneth; Sundkvist, Kim - In: Contributions to accounting and finance : essays in …, (pp. 39-59). 2007

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Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Bernales, Alejandro - 2013

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

Persistent link: https://www.econbiz.de/10013073319

Essays in derivatives markets

Mörke, Mathis - 2023

Persistent link: https://www.econbiz.de/10014282085

Implied correlation indices and volatility forecasting

Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588

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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342

Persistent link: https://www.econbiz.de/10010468417

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140

Implied volatility surface predictability : the case of commodity markets

Kearney, Fearghal; Shang, Han Lin; Sheenan, Lisa - In: Journal of banking & finance 108 (2019), pp. 1-16

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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012

Persistent link: https://www.econbiz.de/10011814410

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