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Deep learning option price movement
Wang, Weiguan; Xu, Jia - In: Risks : open access journal 12 (2024) 6, pp. 1-17
order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …
Persistent link: https://www.econbiz.de/10014636721
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy economics 48 (2015), pp. 288-294
Persistent link: https://www.econbiz.de/10011533819
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Was the missing 2013 WASDE missed?
Adjemian, Michael K.; Johansson, Robert C.; McKenzie, … - In: Applied economic perspectives and policy 40 (2018) 4, pp. 653-671
Persistent link: https://www.econbiz.de/10012258296
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Pricing and hedging competitiveness of the tree option pricing models : evidence from India
Singh, Vipul Kumar - In: The journal of asset management 17 (2016) 6, pp. 453-475
Persistent link: https://www.econbiz.de/10011648199
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Is Petrobras options market efficient? : a study using the delta-gamma neutral strategy
Araújo, Gustavo Silva; Ribeiro, Ricardo Alves Carmo - In: Latin American business review : journal of the … 17 (2016) 4, pp. 315-331
Persistent link: https://www.econbiz.de/10011649370
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Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Valuation of convexity related derivatives
Witzany, Jiří (contributor) - 2008
We will investigate valuation of derivatives with payoff defined as a nonlinear though close to linear function of tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a typical example. It is generally tempting to replace the...
Persistent link: https://www.econbiz.de/10003755156
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Interpreting prediction market prices as probabilities
Wolfers, Justin (contributor); Zitzewitz, Eric (contributor) - 2006
While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability … ; options ; futures ; binary option …
Persistent link: https://www.econbiz.de/10003310964