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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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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
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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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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
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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