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~subject:"Derivat"
~subject:"Risiko"
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THREE-POINT VOLATILITY SMILE C...
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1
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
Saved in:
2
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
Saved in:
3
Portfolio Management Framework for Derivative Instruments
Vorobets, Anton
-
2022
The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...
Persistent link: https://www.econbiz.de/10014236873
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
On the Approximation of the Black and Scholes Call Function
Orlando, Giuseppe
-
2020
approximating formula for the Black and Scholes call function that can be useful for deriving the risk of
options
i.e. the implied …
moneyness
…
Persistent link: https://www.econbiz.de/10012823891
Saved in:
9
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
Saved in:
10
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
Saved in:
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