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Reconstruction of Attractors for Options Implied Volatility with Using Fuzzy Clustering Method
Sylantyev, Sergiy - 2015
On the bases of dynamic system theory and fuzzy clustering methods for attractors of options implied volatility on … market indexes S&P 500, NASDAQ 100, S&P 100 was researched. Results of researches stay that entropy of implied volatility … fuzzy clustering equal from 0.6477 to 0.7986. Implied volatility attractor structure for market indexes are presented with …
Persistent link: https://www.econbiz.de/10013026892
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Warnings about future jumps : properties of the exponential Hawkes model
Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia - 2020
Persistent link: https://www.econbiz.de/10012306820
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Cluster Stability of Error Representation in Option Pricing
Orbay, Berk - 2016
In empirical option pricing studies, model pricing performance is generally evaluated with distance from the market prices. A common approach is to aggregate similar contracts' pricing errors, in terms of remaining time to contract expiry (maturity) and relative position of the exercise price to...
Persistent link: https://www.econbiz.de/10012986374
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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Impacts of derivative markets on spot market volatility and their persistence
Fong, Lik; Han, Chulwoo - In: Applied economics 47 (2015) 22/24, pp. 2250-2258
Persistent link: https://www.econbiz.de/10010516655
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Volatility forecasting using financial statement information
Sridharan, Suhas A. - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 2079-2106
Persistent link: https://www.econbiz.de/10011375882
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At least-squares approach for estimating the volatility implied by option premia : overcoming smiles and frowns
Kensinger, John W. - In: Research in finance 31 (2015), pp. 173-185
Persistent link: https://www.econbiz.de/10011347423
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Are real options "real"? : isolating uncertainty from risk in real options analysis
So, Leh-Chyan - In: Annals of financial economics 9 (2014) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010489151
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Volatility analysis of Shanghai composite index and financial crises
Sheraz, Muhammad; Breda, Vasile - 2016
Persistent link: https://www.econbiz.de/10013164574