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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011958447
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …
Persistent link: https://www.econbiz.de/10011506354
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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …
Persistent link: https://www.econbiz.de/10012818141
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How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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A Review on Implied Volatility Calculation
Orlando, Giuseppe - 2017
This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …
Persistent link: https://www.econbiz.de/10012960021
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An Alternative Approach to Fast Implied Volatility Calculation
Orlando, Giuseppe - 2014
determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value …
Persistent link: https://www.econbiz.de/10013060651
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A Generalized Derivation of The Black-Scholes Implied Volatility Through Hyperbolic Tangents
Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni - 2022
suffers from many limitations, it is still widely used to derive the implied volatility of options. This is particularly …
Persistent link: https://www.econbiz.de/10014235946
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Feel the Market : An Attempt to Identify Additional Factor in the Capital Asset Pricing Model (CAPM) Using Generative Pre-Trained Transformer (GPT) and Bidirectional Encoder Repres...
Zhang, Christopher L. - 2023
In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...
Persistent link: https://www.econbiz.de/10014352641