Similar Search Results

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Baule, Rainer - 2020

is an open question if warrant issuers purely adopt options market information about future volatility or if they … contribute to volatility discovery by their own. As a result, the options market is in a clear informational leadership with an … information share highly significant above 0.5. Nevertheless, the aggregated warrants market also contributes to volatility …

Persistent link: https://www.econbiz.de/10012853678

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...

Izmailov, Alexander - 2015

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

Persistent link: https://www.econbiz.de/10013032725

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India

Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289

Persistent link: https://www.econbiz.de/10011430608

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

An extension of the chaos expansion approximation for the pricing of exotic basket options

Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139

Persistent link: https://www.econbiz.de/10010352010

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

1
2
3
4
5
6
7
8
9
10
Next
Last