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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Der VOLAX-Future : ein Derivat zum Handeln des Vega-Risikos von Optionen
Roth, Randolf - 1998
Persistent link: https://www.econbiz.de/10000978870
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New insights into smile, mispricing, and value at risk : the hyperbolic model
Eberlein, Ernst - In: The journal of business : B 71 (1998) 3, pp. 371-405
Persistent link: https://www.econbiz.de/10001247514
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The effects of Central Bank intervention on the volatility of exchange rates : evidence from the options market
Ko, Jong-moon - In: The Korean economic review 11 (1996) 2, pp. 141-155
Persistent link: https://www.econbiz.de/10001250687
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Jump Risk Premia in Short-Term Spread Options : Evidence from the German Electricity Market
Marckhoff, Jan - 2009
This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...
Persistent link: https://www.econbiz.de/10013159854
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Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options
Rathgeber, Andreas - 2018
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …
Persistent link: https://www.econbiz.de/10012932062
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The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
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The Skew Pattern of Implied Volatility in the DAX Index Options Market
Muzzioli, Silvia - 2012
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …
Persistent link: https://www.econbiz.de/10013110064
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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Topics in derivatives
Fock, John Henning - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003722057