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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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Recovering objective market expectations from option prices for forecasting and risk assessment
Ivanova, Vesela - 2014
Persistent link: https://www.econbiz.de/10010519334
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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert - 2011
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …
Persistent link: https://www.econbiz.de/10009161582
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Market-conform valuation of options
Herwig, Tobias - 2006
Persistent link: https://www.econbiz.de/10003204143
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Market-Conform Valuation of Options
Herwig, Tobias - 2006
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction...
Persistent link: https://www.econbiz.de/10013520525
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GARCH option pricing models and the variance risk premium
Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21
premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …
Persistent link: https://www.econbiz.de/10012174118
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Informationsgewinnung aus Optionspreisen : Eine empirische Analyse des US-Dollar/Euro-Wechselkurses
Locht, Nicole van de - 2009
Grundlagen der Optionspreistheorie -- Extrahierung der risikoneutralen Wahrscheinlichkeitsdichtefunktion …
Persistent link: https://www.econbiz.de/10014015223
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Informationsgewinnung aus Optionspreisen : eine empirische Analyse des US-Dollar/Euro-Wechselkurses
Locht, Nicole van de - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003823547
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …
Persistent link: https://www.econbiz.de/10003727608