We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).

In this paper we employ a one-factor Lévy model to determine basket option prices. More precisely, basket option prices are determined by replacing the distribution of the real basket with an appropriate approximation. For the approximate basket we determine the underlying characteristic...

Asset returns are modeled by bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine...

In this paper we consider the problem of deriving correlation estimates from observed option data. An implied correlation estimate arises when we match the observed index option price with a corresponding model price. The underlying model assumes that stock prices can be described using a...

In this paper we consider the problem of deriving correlation estimates from observed option data. An implied correlation estimate arises when we match the observed index option price with a corresponding model price. The underlying model assumes that stock prices can be described using a...