Similar Search Results - EconBiz

Nonparametric predictive inference for European option pricing based on the binomial tree model

He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708

Persistent link: https://www.econbiz.de/10012214368

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?

Han, Yufeng - 2020

We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...

Persistent link: https://www.econbiz.de/10012847745

Implied volatility surfaces : a comprehensive analysis using half a billion option prices

Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169

Persistent link: https://www.econbiz.de/10014423871

Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions

Vincent-Humphreys, Rupert de; Noss, Joseph - 2012

Persistent link: https://www.econbiz.de/10009559811

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

Nowcasting networks

Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10012543628

Do Chinese retail option traders know anything about market volatility?

Liu, Ming-hua; Rangan, Nanda K. - In: Frontiers of business research in China : selected … 6 (2012) 4, pp. 508-526

Persistent link: https://www.econbiz.de/10009688736

Option pricing via breakeven volatility

Hull, Blair; Li, Anlong; Qiao, Xiao - In: Financial analysts journal : FAJ 79 (2023) 1, pp. 99-119

Persistent link: https://www.econbiz.de/10013540890

Forecasting with option-implied information

Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2013

Persistent link: https://www.econbiz.de/10011507021

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