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Implied Volatility Surface : Construction Methodologies and Characteristics

Homescu, Cristian - 2011

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of …, choice of calibrating functional and selection of numerical optimization algorithms, volatility surface dynamics and …

Persistent link: https://www.econbiz.de/10013122634

Cross-Section of Option Returns and Idiosyncratic Stock Volatility

Cao, Jie - 2016

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …

Persistent link: https://www.econbiz.de/10013008680

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Investing in Stocks and Bonds in the Long Run

Chen, Yu; Cosimano, Thomas F.; Himonas, Alex - 2007

In recent research on asset allocation attention has been paid to time variations in the expected return on stocks. In particular, how does the long horizon variation in expected returns influence the inter-temporal hedging demand for stocks. Unfortunately, this problem for investors leads to a...

Persistent link: https://www.econbiz.de/10014224825

Arbitrage-Free Models of Stocks and Bonds

Durham, J. Benson - 2014

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10013061074

Arbitrage-free models of stocks and bonds

Durham, J. Benson - 2013

Persistent link: https://www.econbiz.de/10010222892

How integrated are credit and equity markets? : evidence from index options

Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020

In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a...

Persistent link: https://www.econbiz.de/10012271184

Positive Stock Information in Out-of-the-Money Option Prices

Gkionis, Konstantinos - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-the-money (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10012933815

The Effect of Stock Market Indexing on Option Price Efficiency

Chang, Eric C.; Ge, Li; Lin, Tse-Chun; Ma, Xiaorong - 2023

Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...

Persistent link: https://www.econbiz.de/10014350633

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Barras, Laurent - 2016

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …

Persistent link: https://www.econbiz.de/10013006407