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Pricing FTSE 100 index options under stochastic volatility
Lin, Yueh-neng; Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 21 (2001) 3, pp. 197-211
Persistent link: https://www.econbiz.de/10001556705
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The impact of short sales constraints on stock index futures prices : evidence from FT-SE 100 futures
Pope, Peter F. - In: The journal of derivatives : the official publication … 1 (1994) 4, pp. 15-26
Persistent link: https://www.econbiz.de/10001219387
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Modelling implied volatility with OLS and panel data models
Ncube, Mthuli - In: Journal of banking & finance 20 (1996) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10001193528
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Testing the monotonicity property of option prices
Pérignon, Christophe - In: The journal of derivatives : the official publication … 14 (2006) 2, pp. 61-76
Persistent link: https://www.econbiz.de/10003400053
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Pricing options using implied trees: evidence from FTSE-100 options
Lim, Kian-Guan; Zhi, Da - In: The journal of futures markets 22 (2002) 7, pp. 601-626
Persistent link: https://www.econbiz.de/10001678534
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Discrete Dividends and the FTSE-100 Index Options Valuation
Areal, Nelson - 2018
This paper studies the effect of discrete dividends on the FTSE-100 index options valuation, following closely Harvey and Whaley's (1992) study on the S&P-100 index. To the best of our knowledge no such study was ever performed on FTSE-100 options, where the dividends have a discreteness pattern...
Persistent link: https://www.econbiz.de/10012940590
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Performance Persistence and Implied Volatility Smile. Evidence from the S&P 500 Stock Index Options
Guirguis, Michel - 2023
explanation of the volatility smile is the interaction theory between arbitrageurs and noise traders. Deep in or out of the money …
Persistent link: https://www.econbiz.de/10014256898
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Commodities as assets and consumption goods : implications for the valuation of commodity futures
Markert, Viola - 2006
Persistent link: https://www.econbiz.de/10003313613
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608